{"id":1522,"date":"2018-03-04T11:56:20","date_gmt":"2018-03-04T09:56:20","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1522"},"modified":"2025-02-24T08:41:18","modified_gmt":"2025-02-24T06:41:18","slug":"vx-futures-volatility-spread-vi","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1522","title":{"rendered":"VX Futures \u2013 Volatility Spread \u2013 VI."},"content":{"rendered":"

\u00a0 \u00a0Trading je p\u0159esn\u011b takov\u00fd, jak\u00fd si jej ud\u011bl\u00e1m. V\u0161echno je v\u00a0n\u011bm z\u00e1visl\u00e9 na m\u00e9 volb\u011b a m\u00fdch preferenc\u00edch. Pokud s\u00e1m p\u0159ij\u00edm\u00e1m rozhodnut\u00ed pro vstupov\u00e1n\u00ed do obchod\u016f, tak tak\u00e9 s\u00e1m sob\u011b odpov\u00edd\u00e1m za v\u00fdsledky t\u011bchto rozhodnut\u00ed v\u00a0podob\u011b zisk\u016f a ztr\u00e1t. Obchoduje se pro pen\u00edze, proto m\u016f\u017ee zn\u00edt kuri\u00f3zn\u011b proklamace, \u017ee v\u00a0trz\u00edch by m\u011bl obchodn\u00edk p\u0159edev\u0161\u00edm um\u011bt p\u0159e\u017e\u00edt. Toto pravidlo celkem v\u00fdrazn\u011b s\u00a0t\u00edmto \u201eobchodov\u00e1n\u00edm pro pen\u00edze\u201c nekoresponduje, ale m\u00e1 svou logiku. P\u0159ipraven\u00fd obchodn\u00edk, kter\u00fd um\u00ed \u201echodit po strni\u0161ti bos\u201c pravd\u011bpodobn\u011b l\u00e9pe obstoj\u00ed v\u00a0nejroztodivn\u011bj\u0161\u00edch tr\u017en\u00edch situac\u00edch ne\u017e neznal\u00fd za\u010d\u00e1te\u010dn\u00edk nebo nepou\u010diteln\u00fd hazard\u00e9r. Z\u00e1kladem takov\u00e9 p\u0159ipravenosti by v\u017edy m\u011blo b\u00fdt nejen pozn\u00e1n\u00ed rizika spojen\u00e9 s\u00a0dr\u017een\u00fdm obchodem, ale tak\u00e9 hled\u00e1n\u00ed p\u0159im\u011b\u0159en\u00e9ho zaji\u0161t\u011bn\u00ed pro p\u0159\u00edpad, \u017ee se v\u0161e nebude vyv\u00edjet p\u0159esn\u011b tak, jak jsem si ve sv\u00e9 hlav\u011b p\u0159edstavoval. Pov\u011bdom\u00ed o mo\u017en\u00e9 ztr\u00e1t\u011b a nalezen\u00ed p\u0159im\u011b\u0159en\u00e9ho hed\u017eovac\u00edho n\u00e1stroje jsou spojit\u00e9 n\u00e1doby, jejich\u017e fungov\u00e1n\u00ed by m\u011bl ka\u017ed\u00fd obchodn\u00edk nejen nal\u00e9zt, ale tak\u00e9 vyu\u017e\u00edvat. Dokonce bych si zkusil dovolit p\u0159ijmout tvrzen\u00ed, \u017ee vyu\u017e\u00edv\u00e1n\u00ed zaji\u0161\u0165ovac\u00edch n\u00e1stroj\u016f v\u00a0obchodov\u00e1n\u00ed odd\u011bluje za\u010d\u00e1te\u010dn\u00edky od dobr\u00fdch trader\u016f a mohlo by b\u00fdt pro mnoh\u00e9 kl\u00ed\u010dem k\u00a0p\u0159ekon\u00e1n\u00ed pomysln\u00e9 hranice konzistentn\u011b profitabiln\u00edho tradingu. \u201eZtr\u00e1ty k\u00a0tradingu pat\u0159\u00ed\u201c je zaj\u00edmav\u00e1 v\u011bta, a jej\u00ed vysloven\u00ed t\u00e9m\u011b\u0159 v\u017edy znamen\u00e1 koment\u00e1\u0159 k\u00a0n\u011bjak\u00e9mu nepoveden\u00e9mu obchodu. Nen\u00ed ale ztr\u00e1ta jako ztr\u00e1ta, proto bych si dovolil tento \u201etradersk\u00fd axiom\u201c m\u00edrn\u011b poupravit na \u201eZtr\u00e1ty k\u00a0tradingu nepat\u0159\u00ed<\/strong>\u201c. Axiom je tvrzen\u00ed, kter\u00e9 se pova\u017euje za platn\u00e9 a nijak se nedokazuje a proto se obecn\u011b p\u0159ij\u00edm\u00e1 za sv\u00e9, ani\u017e by se nad jeho platnost\u00ed zam\u00fd\u0161lelo, co\u017e mi p\u0159ijde velmi kuri\u00f3zn\u00ed zejm\u00e9na proto, \u017ee nikdo pravd\u011bpodobn\u011b neobchoduje proto, aby prod\u011blal, z\u00a0tohoto pohledu pak zn\u00ed takto vy\u0159\u010den\u00e9 tvrzen\u00ed podivn\u011b.\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0\u00a0 P\u0159ijmout ztr\u00e1tu abych vyd\u011blal je ur\u010dit\u011b p\u0159\u00edjemn\u011bj\u0161\u00ed zji\u0161t\u011bn\u00ed. Op\u010dn\u00ed obchodn\u00edk nemus\u00ed pro p\u0159\u00edklad takto p\u0159ij\u00edman\u00e9 ztr\u00e1ty pro celkov\u00fd v\u00fdd\u011blek chodit daleko. V\u00fdpis Credit Call Bear Vertical Spreadu, kdy z\u00edsk\u00e1v\u00e1m pr\u00e9mium, je v\u00a0p\u0159\u00edpad\u011b jeho bezcenn\u00e9ho vypr\u0161en\u00ed p\u0159esn\u011b takov\u00fdm p\u0159\u00edkladem. To, co jsem ztratil na n\u00e1kupu levn\u011bj\u0161\u00ed Long Call opce je kompenzov\u00e1no prodejem dra\u017e\u0161\u00ed Short Call opce, celkov\u011b je tak jak\u00e1si ztr\u00e1ta kompenzov\u00e1na jak\u00fdmsi profitem, co\u017e v\u00a0kone\u010dn\u00e9m d\u016fsledku znamen\u00e1 jak\u00fdsi komplexn\u00ed profit. Zaji\u0161t\u011bn\u00ed Long futures kontraktu po\u0159\u00edzen\u00edm jin\u00e9ho Short futures kontraktu m\u016f\u017ee v\u00a0kone\u010dn\u00e9m d\u016fsledku p\u0159in\u00e9st obdobn\u00e9 efekty. V\u00a0obou p\u0159\u00edpadech jde o ur\u010ditou formu zaji\u0161t\u011bn\u00ed p\u0159ed mo\u017enou ztr\u00e1tou plynouc\u00ed z dr\u017een\u00ed sice jednoduch\u00e9, ale rizikov\u00e9 pozice, kdy ztr\u00e1ta jedn\u00e9 \u010d\u00e1sti cel\u00e9 pozice je kompenzov\u00e1na vy\u0161\u0161\u00ed v\u00fdkonnost\u00ed druh\u00e9 \u010d\u00e1sti pozice. Takov\u00e1 ztr\u00e1ta pak k obchodov\u00e1n\u00ed pat\u0159\u00ed, ale je sou\u010d\u00e1st\u00ed obchodn\u00edho pl\u00e1nu, proto\u017ee jej\u00edm kone\u010dn\u00fdm v\u00fdsledkem je profit.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Ve sv\u00fdch p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch o deriv\u00e1tech volatility jsem vyu\u017e\u00edval p\u0159esn\u011b takov\u00e9 p\u0159\u00edstupy, kdy mo\u017en\u00e9 riziko plynouc\u00ed z\u00a0dr\u017een\u00ed jednoho n\u00e1stroje bylo kompenzov\u00e1no po\u0159\u00edzen\u00edm druh\u00e9ho investi\u010dn\u00edho n\u00e1stroje, kter\u00fd by kompenzoval nemal\u00e1 rizika plynouc\u00ed z\u00a0jednoduch\u00e9ho dr\u017een\u00ed p\u0159\u00edm\u00e9ho deriv\u00e1tu, v\u00a0m\u00e9m p\u0159\u00edpad\u011b Volatility Futures kontraktu. Po\u0159\u00edzen\u00ed t\u011bchto kombinac\u00ed v\u00a0ur\u010dit\u00fdch okam\u017eic\u00edch by pak mohlo v\u00e9st k\u00a0dobr\u00fdm obchod\u016fm se zaj\u00edmav\u00fdmi v\u00fdsledky.<\/span><\/p>\n

\n

\u00a0\u00a0 \u201eNek\u0159i\u010d\u00edm na sv\u00e9 hodinky, pokud jdu n\u011bkam pozd\u011b\u201c by mohlo b\u00fdt mottem dne\u0161n\u00edho \u010dl\u00e1nku, proto\u017ee tak, jak si to ud\u011bl\u00e1m, tak takov\u00e9 to budu nakonec m\u00edt. V\u00a0p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch, kde jsem se zam\u011b\u0159il na spreadov\u00e9 mo\u017enosti s VX futures, jsem ukazoval, \u017ee nejvy\u0161\u0161\u00ed citlivost na tr\u017en\u00ed ot\u0159esy na akciov\u00fdch trz\u00edch m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 vykazuje nejbli\u017e\u0161\u00ed VX futures kontrakt, proto je vytv\u00e1\u0159en\u00ed kalend\u00e1\u0159n\u00edch spread\u016f z VX futures za pou\u017eit\u00ed tohoto nejbli\u017e\u0161\u00edho VX futures zna\u010dn\u011b rizikov\u00e9 a psychicky n\u00e1ro\u010dn\u00e9, co\u017e ostatn\u011b uk\u00e1zala doba ned\u00e1vno minul\u00e1, kdy po\u010d\u00e1tkem \u00fanora zaznamenal VIX index jednodenn\u00ed r\u016fstov\u00fd pohyb p\u0159esahuj\u00edc\u00ed 100% sv\u00e9 hodnoty za zna\u010dn\u00e9ho adekv\u00e1tn\u00edho propadu akciov\u00e9ho trhu. Na trz\u00edch VX futures se to projevilo velmi dramatick\u00fdm pohybem na p\u0159edn\u00edch VX futures, kdy\u017e rozd\u00edl mezi hodnotami prvn\u00edch dvou futures vykazoval t\u00e9m\u011b\u0159 sedmibodov\u00fd rozd\u00edl. Pokud bych tedy m\u011bl vytvo\u0159en spreadovou pozici Short prvn\u00ed VX futures\/Long druh\u00e9 VX futures<\/strong>, jeho cena by klesla a\u017e t\u00e9m\u011b\u0159 k\u00a0m\u00ednus sedmi bod\u016fm<\/strong>. Pokud bych po\u0159\u00eddil tuto kombinaci nap\u0159\u00edklad za nula bod\u016f, tak by pak ztr\u00e1ta na takov\u00e9 spreadov\u00e9 pozici \u010dinila a\u017e -7.000 USD, a to by bylo velmi nemil\u00e9. Pou\u010den\u00edm z\u00a0t\u011bchto chvil pro obchodn\u00edky, kte\u0159\u00ed takov\u00e9 cenov\u00e9 pohyby p\u0159edt\u00edm nevn\u00edmali je, \u017ee setrvalost v\u00a0t\u011bchto cenov\u00fdch extr\u00e9mech nem\u00e1 v\u011bt\u0161inou dlouhodob\u00fd charakter, proto po m\u00edrn\u00e9m uklidn\u011bn\u00ed trh\u016f m\u016f\u017ee takov\u00fd v\u00fdvoj nab\u00edzet zaj\u00edmav\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Prozat\u00edm nevlastn\u00edm stroj \u010dasu, kter\u00fd by mi pomohl k\u00a0n\u00e1v\u0161t\u011bv\u011b vzd\u00e1len\u00e9 budoucnosti, abych zjistil, jak se nakonec trhy budou vyv\u00edjet, proto se mus\u00edm pokusit p\u0159ipravit na sv\u00e9 pozice tak, abych mohl odvr\u00e1tit p\u0159\u00edpadn\u00e9 hroz\u00edc\u00ed ztr\u00e1ty vypl\u00fdvaj\u00edc\u00ed z\u00a0nep\u0159\u00edjemn\u00e9ho budouc\u00edho v\u00fdvoje. P\u0159esto\u017ee jsem tedy ochoten podstoupit riziko na trz\u00edch deriv\u00e1t\u016f volatility tak, \u017ee vstoup\u00edm pouze do kalend\u00e1\u0159ov\u00e9 spreadov\u00e9 pozice na VX futures, mus\u00edm p\u0159em\u00fd\u0161let, jestli je to \u00fapln\u011b nejvhodn\u011bj\u0161\u00ed postup pro mou \u00farove\u0148 averze k\u00a0mo\u017en\u00e9mu riziku a nepoohl\u00e9dnout se po n\u011bjak\u00e9m vhodn\u00e9m zaji\u0161t\u011bn\u00ed uva\u017eovan\u00e9ho obchodu. \u010c\u00edm rizikov\u011bj\u0161\u00ed vstup<\/strong>, t\u00edm tak\u00e9 vy\u0161\u0161\u00ed \u00farove\u0148 zaji\u0161t\u011bn\u00ed<\/strong> by mohlo b\u00fdt m\u00e9 z\u00e1kladn\u00ed pravidlo. Za nejrizikov\u011bj\u0161\u00ed mo\u017enou variantu bych pak mohl pova\u017eovat pr\u00e1v\u011b v\u00fd\u0161e uvedenou kombinaci sestavenou s\u00a0prvn\u00edch dvou VX futures kontrakt\u016f.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0jednom z p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nk\u016f<\/a><\/span><\/strong> jsem popisoval vyhodnocen\u00ed jednoduch\u00e9ho obchodn\u00edho pl\u00e1nu s kalend\u00e1\u0159n\u00edm spreadem s prvn\u00edmi dv\u011bma VX futures, kdy jsem za vyu\u017eit\u00ed poruchy \u010dasov\u00e9 struktury VX futures z\u00a0obvykl\u00e9 konstelace Contango<\/strong> do neobvykl\u00e9 formace Backwardation<\/strong>, po\u0159izoval jednotliv\u00e9 spready ve tvaru Short prvn\u00ed VX futures\/Long druh\u00e9 VX futures za dodr\u017eov\u00e1n\u00ed ur\u010dit\u00fdch pravidel. Z\u00e1kladn\u00edmi pravidly pak bylo po\u0159izov\u00e1n\u00ed kalend\u00e1\u0159n\u00edho spreadu ve chv\u00edli, kdy na Close dne se cena spreadu nach\u00e1zela pod<\/strong> hodnotou –1.00 <\/strong>bodu, StopLoss<\/strong> ve v\u00fd\u0161i –2.000 USD<\/strong> a ProfitTarget<\/strong> ve v\u00fd\u0161i stejn\u00fdch +2.000 USD<\/strong>. Pokud bych tento postup aplikoval na obdob\u00ed 2007-2018, mohl by mi vyhodnocen\u00ed historick\u00fdch dat poskytnout obr\u00e1zek equity t\u011bchto obchod\u016f vyobrazen\u00fd n\u00ed\u017ee.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Obr\u00e1zek demonstruje pr\u016fb\u011bhy obchod\u016f v\u00a0dan\u00e9m obdob\u00ed protkan\u00e9 r\u016fzn\u00fdmi krizemi v\u0161eho druhu v\u010detn\u011b krize leto\u0161n\u00edho po\u010d\u00e1tku \u00fanora a je z\u00a0n\u011bj patrn\u00e9, \u017ee nejv\u011bt\u0161\u00ed v\u00fdzvou pro tyto spreadov\u00e9 obchody bylo obdob\u00ed finan\u010dn\u00ed krize 2008-2009, kdy se celkov\u00e1 equity k\u0159ivka t\u00e9m\u011b\u0159 dotkla hodnoty -5.500 USD. V\u00a0kone\u010dn\u00e9m d\u016fsledku by ale velmi jednoduch\u00fd obchodn\u00ed pl\u00e1n vygeneroval \u010d\u00e1stku p\u0159esahuj\u00edc\u00ed +21.000 USD, co\u017e ur\u010dit\u011b stoj\u00ed za zaznamen\u00e1n\u00ed a pr\u016fzkum, jak takov\u00fd velmi jednoduch\u00fd obchodn\u00ed pl\u00e1n vylep\u0161it.<\/span><\/p>\n

\u00a0\u00a0 Vylep\u0161en\u00ed hrub\u00e9 historick\u00e9 anal\u00fdzy je pro m\u011b p\u0159edev\u0161\u00edm spojeno s\u00a0odejmut\u00edm<\/strong> nebo eliminov\u00e1n\u00edm<\/strong> nep\u0159\u00edjemn\u00e9ho hroz\u00edc\u00edho rizika<\/strong> dal\u0161\u00edho propadu dr\u017een\u00e9 spreadov\u00e9 pozice za existence zachov\u00e1n\u00ed dobr\u00e9 v\u00fdkonnosti mo\u017en\u00fdch obchod\u016f. Pouh\u00fdm vstupem do takto rizikov\u00e9ho spreadu toti\u017e nemohu v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b o\u010dek\u00e1vat, \u017ee v\u0161e se bude d\u00edt tak, jak jsem si sm\u011brem do budoucnosti napl\u00e1noval. Proti m\u00e9mu pl\u00e1nu stoj\u00ed dva z\u00e1sadn\u00ed faktory<\/strong>, kter\u00e9 se mus\u00edm sna\u017eit alespo\u0148 ur\u010dit\u00fdm zp\u016fsobem kompenzovat \u2013 mo\u017en\u00e9 pokra\u010duj\u00edc\u00ed tr\u017en\u00ed ot\u0159esy<\/strong> a b\u011b\u017e\u00edc\u00ed \u010das<\/strong> do expirace prvn\u00edho VX futures ze spreadov\u00e9 pozice. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 K\u00a0\u0159e\u0161en\u00ed tohoto \u00fakolu se mi nab\u00edz\u00ed cel\u00e1 plej\u00e1da mo\u017enost\u00ed, jak takov\u00e9 rizika omezit, jsem ale p\u0159edev\u0161\u00edm op\u010dn\u00ed obchodn\u00edk, proto se budu sna\u017eit, za poznan\u00e9ho chov\u00e1n\u00ed VX futures v\u00a0ur\u010dit\u00fdch tr\u017en\u00edch situac\u00edch, vyu\u017e\u00edt op\u010dn\u00ed kontrakty pro kompenzaci t\u011bchto rizik. Ke konstrukci zaji\u0161t\u011bn\u00ed budu vych\u00e1zet z\u00a0ji\u017e na\u010derpan\u00fdch poznatk\u016f:<\/span><\/p>\n

\u00a0 \u00a0A\/<\/strong> VX futures<\/strong> jsou deriv\u00e1ty, kter\u00e9 reprezentuj\u00ed o\u010dek\u00e1vanou volatilitu na akciov\u00fdch trz\u00edch m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500<\/strong> v\u00a0obdob\u00edch jejich expirace v\u00a0budoucnosti.<\/span><\/p>\n

\u00a0 \u00a0B\/<\/strong> Spotovou cenou<\/strong> o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility americk\u00fdch akciov\u00fdch trh\u016f m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 je VIX Index<\/strong>, k\u00a0jeho\u017e hodnot\u011b jsou plynut\u00edm \u010dasu ceny jednotliv\u00fdch VX futures nekompromisn\u011b p\u0159itahov\u00e1ny.<\/span><\/p>\n

\u00a0\u00a0 C\/<\/strong> Hodnota VIX Indexu<\/strong> je stanovov\u00e1na ur\u010dit\u00fdm matematick\u00fdm v\u00fdpo\u010dtem<\/strong><\/span>, kter\u00fd pracuje s cenami op\u010dn\u00edch kontrakt\u016f<\/strong> indexu S&P 500<\/strong> (ticker SPX).<\/span><\/p>\n

\u00a0\u00a0 D\/<\/strong> Pohyb VIX Indexu<\/strong> a akciov\u00e9ho indexu S&P 500<\/strong> je opa\u010dn\u011b korelov\u00e1n zhruba v\u00a080% \u010dasu<\/strong>.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Ponech\u00e1m nyn\u00ed stranou VIX op\u010dn\u00ed kontrakty a zam\u011b\u0159\u00edm se pro univerz\u00e1lnost na jin\u00e9 deriv\u00e1ty, kter\u00e9 jsou svou podstatou prakti\u010dt\u011bji vyu\u017eiteln\u00e9 ne\u017e VIX opce (odli\u0161n\u00e1 struktura pr\u00e9mi\u00ed…). \u00a0Pokud tedy v\u0161e vych\u00e1z\u00ed a je nav\u00e1z\u00e1no na akciov\u00fd index S&P 500, stanou se hledan\u00fdm zaji\u0161t\u011bn\u00edm op\u010dn\u00ed kontrakty<\/strong> spojen\u00e9 pr\u00e1v\u011b s\u00a0t\u00edmto indexem, m\u00e1 volba tedy jasn\u011b padne na op\u010dn\u00ed kontrakty ozna\u010den\u00e9 tickerem SPX<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Pokud tedy v\u00edm, \u010d\u00edm budu zaji\u0161\u0165ovat, je nutn\u00e9 se vypo\u0159\u00e1dat s\u00a0ot\u00e1zkou, co budu zaji\u0161\u0165ovat.<\/strong> Dovol\u00edm si tvrdit, \u017ee VX futures kontrakty (a ostatn\u00ed Volatility Futures kontrakty na tomto webu popisovan\u00e9) nab\u00edzej\u00ed nev\u00eddan\u00fd luxus, t\u00fdkaj\u00edc\u00ed se jejich chov\u00e1n\u00ed v\u00a0ur\u010dit\u00fdch tr\u017en\u00edch situac\u00edch, oproti jin\u00fdm typ\u016fm futures na jin\u00e9 podklady. Vzorce chov\u00e1n\u00ed Volatility Futures pak budou v\u00fdchoz\u00edm bodem pro konstrukci op\u010dn\u00edho zaji\u0161t\u011bn\u00ed. Ji\u017e jsem se na jin\u00fdch m\u00edstech tohoto miniseri\u00e1lu o spreadech s Volatility Futures zm\u00ednil, \u017ee u ostatn\u00edch komoditn\u00edch futures je velmi obt\u00ed\u017en\u00e9 stanovit, jak\u00fdm zp\u016fsobem se budou v\u00a0budoucnosti pohybovat, proto\u017ee na tyto pohyby p\u016fsob\u00ed velk\u00e9 mno\u017estv\u00ed zejm\u00e9na fundament\u00e1ln\u00edch zpr\u00e1v, jejich\u017e dopad na cenov\u00fd v\u00fdvoj t\u011bchto futures je velmi t\u011b\u017ek\u00e9 odhadnout a je k\u00a0tomu zapot\u0159eb\u00ed zna\u010dn\u00e9 mno\u017estv\u00ed dovednost\u00ed. Pokud bych tedy po\u0159\u00eddil spreadovou kombinaci nap\u0159\u00edklad z\u00a0kuku\u0159i\u010dn\u00fdch futures kontrakt\u016f, nemohu jednozna\u010dn\u011b tvrdit, kter\u00e9 futures se kam cenov\u011b pohne, proto\u017ee na ob\u011b \u010d\u00e1sti spreadov\u00e9 pozice p\u016fsob\u00ed tr\u017en\u00ed vlivy r\u016fzn\u00fdmi tlaky, co\u017e se projevuje v\u00a0nevyzpytatelnosti mo\u017en\u00fdch budouc\u00edch samostatn\u00fdch (mnohdy protich\u016fdn\u00fdch) pohyb\u016f obou \u010dast\u00ed takov\u00e9ho kuku\u0159i\u010dn\u00e9ho spreadu. Volatility Futures maj\u00ed obrovskou v\u00fdhodu, \u017ee pokud trhy<\/strong>, m\u011b\u0159en\u00e9 ur\u010dit\u00fdm akciov\u00fdm indexem, klesaj\u00ed<\/strong>, potom ceny p\u0159\u00edslu\u0161n\u00fdch Volatility Futures rostou<\/strong> a naopak, pokud trhy rostou<\/strong>, ceny p\u0159\u00edslu\u0161n\u00fdch Volatility Futures klesaj\u00ed<\/strong> a aby toho nebylo m\u00e1lo, tak nejv\u00edce<\/strong> rostou\/klesaj\u00ed nejbli\u017e\u0161\u00ed<\/strong> Volatility Futures kontrakty, sm\u011brem do budouc\u00edch expirac\u00ed jsou tyto obousm\u011brn\u00e9 cenov\u00e9 pohyby p\u0159\u00edslu\u0161n\u00fdch Volatility Futures v\u017edy vla\u017en\u011bj\u0161\u00ed. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Jak si takov\u00e9 hled\u00e1n\u00ed zaji\u0161t\u011bn\u00ed metodicky nastartovat by mohlo b\u00fdt patrn\u00e9 z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku, kter\u00fd reprezentuje dva konkr\u00e9tn\u00ed obchody podle m\u00e9ho jednoduch\u00e9ho obchodn\u00edho pl\u00e1nu, kter\u00fdm je vstoupen\u00edm n\u00e1kupn\u00edm p\u0159\u00edkazem BUY do spreadu Short VX1\/Long VX2<\/strong> na hodnot\u011b po prora\u017een\u00ed \u00farovn\u011b -1.00 s\u00a0vystoupen\u00edm na StopLossu -2.000 USD nebo ProfitTargetu +2.000 USD.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Na obr\u00e1zku jsou vid\u011bt dva grafy, kter\u00e9 zobrazuj\u00ed \u00fasp\u011b\u0161n\u00fd a ne\u00fasp\u011b\u0161n\u00fd VX futures spreadov\u00fd obchod.<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> \u00dasp\u011b\u0161n\u00fd obchod<\/strong> je doprov\u00e1zen kles\u00e1n\u00edm obou \u010d\u00e1st\u00ed spreadu<\/strong>, jednotliv\u00fdch VX futures kontrakt\u016f (tenk\u00e9 k\u0159ivky), kter\u00e9 vyjad\u0159uj\u00ed uklidn\u011bn\u00ed situace na trz\u00edch, volatilita kles\u00e1. Do tohoto obchodu je vstoupeno na hodnot\u011b cca -1.50, reprezentuj\u00edc\u00edm situaci, kdy je trh v\u00a0Backwardation a cena bli\u017e\u0161\u00edho VX futures je tak vy\u0161\u0161\u00ed ne\u017e cena vzd\u00e1len\u011bj\u0161\u00edho VX futures. Obchod byl ukon\u010den na hodnot\u011b spreadu zhruba +1.00 za neust\u00e1l\u00e9ho kles\u00e1n\u00ed obou VX futures, kdy je patrn\u00e9, \u017ee \u010derven\u00e1 k\u0159ivka VX Short futures, kter\u00e9 je nejbli\u017e\u0161\u00edm futures kontraktem, klesala rychleji ne\u017e cena vzd\u00e1len\u011bj\u0161\u00edho VX futures zobrazen\u00e9ho zelenou k\u0159ivkou. Ob\u011b k\u0159ivky se uprost\u0159ed grafu prot\u00ednaj\u00ed, co\u017e znamen\u00e1 okam\u017eik n\u00e1vratu z\u00a0Backwardation do Contango a definuje tak princip \u00fasp\u011b\u0161nosti cel\u00e9ho obchodu. \u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Na spodn\u00edm grafu je vyobrazen ne\u00fasp\u011b\u0161n\u00fd obchod<\/strong>, kter\u00fd je naopak doprov\u00e1zen r\u016fstem obou \u010d\u00e1st\u00ed spreadu<\/strong>. Vstup je realizov\u00e1n na podobn\u00e9 hodnot\u011b -1.50, tedy za op\u011btovn\u00e9 situace Backwardation, kdy je cena VX bli\u017e\u0161\u00edho futures (\u010derven\u00e1 k\u0159ivka) op\u011bt vy\u0161\u0161\u00ed ne\u017e cena vzd\u00e1len\u011bj\u0161\u00edho VX futures (zelen\u00e1 k\u0159ivka). Trhy byly pot\u00e9 je\u0161t\u011b nerv\u00f3zn\u011bj\u0161\u00ed ne\u017e p\u0159i vstupu do spreadov\u00e9 pozice, a to zp\u016fsobovalo neust\u00e1l\u00fd r\u016fst cen obou VX futures tvo\u0159\u00edc\u00edch spread, kdy\u017e z\u00a0pr\u016fb\u011bhu obou k\u0159ivek p\u0159edstavuj\u00edc\u00edch \u010d\u00e1sti spreadu vypl\u00fdv\u00e1, \u017ee \u010derven\u00e1 k\u0159ivka (bli\u017e\u0161\u00ed VX futures) roste rychleji ne\u017e k\u0159ivka zelen\u00e1 (vzd\u00e1len\u011bj\u0161\u00ed VX futures). Bli\u017e\u0161\u00ed VX futures je tak op\u011bt \u201edivo\u010dej\u0161\u00ed\u201c ne\u017e vzd\u00e1len\u011bj\u0161\u00ed. Z\u00a0obchodu bylo vystoupeno na hodnot\u011b -3.80 bodu a p\u0159edstavovalo to utr\u017eenou ztr\u00e1tu.<\/span><\/p>\n

\u00a0\u00a0 Tyto pr\u016fb\u011bhy jsou charakteristick\u00e9 pro \u201eprofil \u00fasp\u011bch\/ne\u00fasp\u011bch\u201c cel\u00e9ho spreadov\u00e9ho obchodu na kalend\u00e1\u0159n\u00edm spreadu s\u00a0VX futures a z\u00a0nich pak vypl\u00fdv\u00e1, co mus\u00edm zajistit, aby se obchod nevyv\u00edjel proti mn\u011b a j\u00e1 mohl po\u0159\u00eddit takovou ochranu, kter\u00e1 by mohla eliminovat ur\u010ditou \u010d\u00e1st mo\u017en\u00e9ho rizika. Mus\u00edm se zam\u011b\u0159it<\/strong> na nev\u00edtan\u00fd pohyb bli\u017e\u0161\u00edho VX futures kontraktu<\/strong>, kter\u00fd je \u201ezodpov\u011bdn\u00fd\u201c za v\u00fdkonnost cel\u00e9ho obchodu.<\/span><\/p>\n

\u00a0\u00a0 Princip je jednoduch\u00fd, pokud trhy porostou nebo budou stagnovat, m\u00e9mu spreadu se bude da\u0159it a bude vyd\u011bl\u00e1vat, proto\u017ee bude klesat volatilita na trz\u00edch a naopak, pokud trhy budou st\u00e1le klesat d\u00e1l, bude se volatilita d\u00e1le zvy\u0161ovat a m\u016fj spreadov\u00fd obchod na kalend\u00e1\u0159n\u00edm spreadu sestaven\u00e9m z VX futures bude d\u00e1le prod\u011bl\u00e1vat. Proto\u017ee se pohybuji na trz\u00edch VX futures a j\u00e1 ji\u017e zn\u00e1m z\u00e1kladn\u00ed principy chov\u00e1n\u00ed a vazby mezi jednotliv\u00fdmi n\u00e1stroji, budu se sna\u017eit p\u0159\u00edpadn\u00e9 dal\u0161\u00ed poklesy trh\u016f eliminovat po\u0159\u00edzen\u00edm Put op\u010dn\u00edch kontrakt\u016f, a to Put op\u010dn\u00edch kontrakt\u016f SPX.<\/span><\/p>\n

ATM Long Put<\/strong><\/span><\/h1>\n

\u00a0 Pokus\u00edm se tedy vylep\u0161it mou celkovou eqiuty k\u0159ivku spreadov\u00fdch obchod\u016f podle m\u00e9ho jednoduch\u00e9ho obchodn\u00edho pl\u00e1nu z\u00a0\u00favodu \u010dl\u00e1nku za obdob\u00ed 2007 \u2013 2018 tak, \u017ee p\u0159i vstoupen\u00ed do spreadov\u00e9 pozice po\u0159\u00edd\u00edm Long Put<\/strong> op\u010dn\u00ed kontrakt s\u00a0expirac\u00ed odpov\u00eddaj\u00edc\u00ed expiraci bli\u017e\u0161\u00edho VX futures, a to na strike nejv\u00edce odpov\u00eddaj\u00edc\u00edm aktu\u00e1ln\u00ed hodnot\u011b indexu S&P 500 (ATM strike<\/strong>). Zabezpe\u010d\u00edm tak, \u017ee p\u0159i poklesu trh\u016f mi cena opce bude nab\u00fdvat na hodnot\u011b a mohla by p\u0159irozen\u011b eliminovat ztr\u00e1tu na spreadu s\u00a0VX futures, proto\u017ee pokles trh\u016f je p\u0159esn\u011b to, co zp\u016fsobuje ztr\u00e1tovost m\u00e9ho spreadu. Jak by takov\u00e9 po\u0159izov\u00e1n\u00ed ochrany dopadlo je patrn\u00e9 z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Systematick\u00e9 nakupov\u00e1n\u00ed ATM Long Put<\/strong> op\u010dn\u00edho kontraktu bych mohl sm\u011ble nazvat \u201eluxusn\u00edm kon\u00ed\u010dkem\u201c, kter\u00fd by velmi efektivn\u011b zlikvidoval<\/strong> ve\u0161ker\u00e9 nasb\u00edran\u00e9 profity. Tenkou \u010dervenou k\u0159ivkou je zobrazena samostatn\u011b v\u00fdkonnost po\u0159izovan\u00fdch Long Put a siln\u011bj\u0161\u00ed hn\u011bd\u00e1 k\u0159ivka zobrazuje celkovou v\u00fdkonnost<\/strong> takto hed\u017eovan\u00e9 strategie, tedy kalend\u00e1\u0159n\u00ed spread s\u00a0VX futures s\u00a0ochranou v\u00a0podob\u011b ATM Long Put. V\u00a0dob\u00e1ch nejv\u011bt\u0161\u00edch tr\u017en\u00edch ot\u0159es\u016f by fungovala znamenit\u011b (nap\u0159\u00edklad finan\u010dn\u00ed krize 2008-2009), ale v\u00a0dob\u00e1ch \u201em\u00edru na trz\u00edch\u201c by spolehliv\u011b odeb\u00edrala ve\u0161ker\u00e9 profity a celkov\u011b by k\u00a0dne\u0161n\u00edmu datu skon\u010dilo takov\u00e9 obchodov\u00e1n\u00ed m\u00edrnou ztr\u00e1tou. \u201eZaji\u0161t\u011bn\u00ed m\u011b nesm\u00ed zab\u00edt\u201c \u0159ekl by klasik, proto je nutn\u00e9 vyhledat n\u011bjak\u00e9 vylep\u0161en\u00ed. Po\u0159izov\u00e1n\u00ed pouh\u00fdch Long Put opc\u00ed je jednodu\u0161e velmi drah\u00e9 a nav\u00edc v\u00a0dob\u00e1ch zv\u00fd\u0161en\u00e9 volatility jsou tyto ceny je\u0161t\u011b touto skute\u010dnost\u00ed umocn\u011bny. Proto\u017ee vstupy do kalend\u00e1\u0159n\u00edho spreadu VX futures jsou napl\u00e1nov\u00e1ny v\u00a0obdob\u00ed Backwardation (vstupn\u00ed hodnota spreadu je z\u00e1porn\u00e1 na hodnot\u011b ni\u017e\u0161\u00ed ne\u017e -1.00), je takov\u00e9 pouh\u00e9 nakupov\u00e1n\u00ed Long Put opravdu velmi drahou z\u00e1le\u017eitost\u00ed. Rozpad pr\u00e9mia Long Put opce v\u00a0p\u0159\u00edpad\u011b ziskov\u00fdch spreadov\u00fdch obchod\u016f je tak kontraproduktivn\u00ed a ma\u017ee cel\u00e9 nashrom\u00e1\u017ed\u011bn\u00e9 profity. <\/span><\/p>\n

Put Debit Vertical Bear Spread<\/strong><\/span><\/h1>\n

\u00a0 \u00a0\u0158e\u0161en\u00edm, kter\u00e9 je v\u0161ak obchodn\u00edm kompromisem, a to, jak z\u00edskat \u010d\u00e1st ceny<\/strong> vynalo\u017een\u00e9 na ATM Long Put opci zp\u011bt<\/strong>, je vytvo\u0159en\u00ed Vertik\u00e1ln\u00edho Spreadu, tedy vyps\u00e1n\u00edm Short Put opce pod strike nakupovan\u00e9 ochrann\u00e9 Long Put opce. Po v\u0161emo\u017en\u00fdch anal\u00fdz\u00e1ch jsem se tedy rozhodl, \u017ee budu cht\u00edt nakupov\u00e1n\u00ed ochrany vylep\u0161ovat vypisov\u00e1n\u00ed Short Put<\/strong> op\u010dn\u00edho kontraktu ve vzd\u00e1lenosti 10 bod\u016f<\/strong> od strike ATM Long Put opce<\/strong>. V\u00a0obchodov\u00e1n\u00ed je ale v\u017edy \u201en\u011bco za n\u011bco\u201c, z\u00edsk\u00e1n\u00edm pr\u00e9mia z\u00a0v\u00fdpisu vzd\u00e1len\u011bj\u0161\u00ed Short Put opce sice sn\u00ed\u017e\u00edm n\u00e1klady na po\u0159\u00edzen\u00fd zaji\u0161\u0165ovac\u00ed n\u00e1stroj, omez\u00edm si ale rozsah cel\u00e9ho zaji\u0161t\u011bn\u00ed na hodnotu ur\u010denou rozd\u00edlem vzd\u00e1lenost\u00ed strike obou po\u0159izovan\u00fdch Put opc\u00ed. V\u00a0m\u00e9m p\u0159\u00edpad\u011b desetibodov\u00e9ho rozd\u00edlu \u010din\u00ed tento rozd\u00edl v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed +1.000 USD, sn\u00ed\u017een\u00fd o vynalo\u017een\u00e9 n\u00e1klady na po\u0159\u00edzen\u00ed spreadu. V\u00a0modelov\u00e9m p\u0159\u00edpad\u011b n\u00e1klad\u016f ve v\u00fd\u0161i -300 USD, je tak hodnota m\u00e9ho zaji\u0161t\u011bn\u00ed ve v\u00fd\u0161i maxim\u00e1ln\u011b +700 USD, a to v\u00a0p\u0159\u00edpad\u011b, \u017ee trhy poklesnou natolik, \u017ee p\u0159i p\u0159\u00edpadn\u00e9 expiraci budou pod strike obou m\u00fdch op\u010dn\u00edch kontrakt\u016f tvo\u0159\u00edc\u00edch Put Vertical Spread. Vytvo\u0159en\u00ed takov\u00e9ho limitovan\u00e9ho zaji\u0161t\u011bn\u00ed pak mohu analyzovat na sv\u00fdch spreadov\u00fdch obchodech a mohl by se mi naskytnout n\u00ed\u017ee uveden\u00e9 grafick\u00e9 vyj\u00e1d\u0159en\u00ed takov\u00e9ho zaji\u0161\u0165ov\u00e1n\u00ed<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Tenkou \u010dervenou k\u0159ivkou je op\u011bt vyobrazeno, jak by si vedlo pouh\u00e9 po\u0159izovan\u00e9 zaji\u0161t\u011bn\u00ed k\u00a0vlastn\u00edm spreadov\u00fdm obchod\u016fm, K\u0159ivka se ji\u017e nepohybuje<\/strong> v\u00a0z\u00e1porn\u00e9m teritoriu<\/strong> a z\u00a0jejich hodnot pak vypl\u00fdv\u00e1, \u017ee by zcela jist\u011b p\u0159inesla vylep\u0161en\u00ed celkov\u00e9ho pr\u016fb\u011bhu, co\u017e je patrn\u00e9 ze siln\u00e9 hn\u011bd\u00e9 k\u0159ivky reprezentuj\u00edc\u00ed celkovou v\u00fdkonnost takto zaji\u0161t\u011bn\u00e9 pozice. Celkov\u011b by si v\u00fdkonnost polep\u0161ila o zhruba +1.300 USD, znamen\u00e1 to tak, \u017ee zaji\u0161t\u011bn\u00ed v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b celkovou v\u00fdkonnost neohrozilo, ba naopak, je\u0161t\u011b ji m\u00edrn\u011b vylep\u0161ilo. Nemus\u00edm ale nutn\u011b pro zaji\u0161t\u011bn\u00ed „chodit“ pouze na Put stranu op\u010dn\u00edho \u0159et\u011bzce, to je jen jedna z nab\u00edzen\u00fdch mno\u017enost\u00ed.<\/span><\/p>\n

Call Credit Vertical Bear Spread<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Dal\u0161\u00ed mo\u017enost\u00ed pro zaji\u0161t\u011bn\u00ed spreadov\u00e9 pozice na kalend\u00e1\u0159n\u00edm spreadu nejbli\u017e\u0161\u00edch VX futures by bylo z\u00edskat pr\u00e9mium<\/strong> z\u00a0v\u00fdpisu Short Call opc\u00ed<\/strong> na strikes nad<\/strong> moment\u00e1ln\u00ed \u00farovn\u00ed trh\u016f<\/strong>. Z\u00edskan\u00e9 pr\u00e9mium by pak p\u0159edstavovalo ochrann\u00fd pol\u0161t\u00e1\u0159, kter\u00fd by mohl eliminovat \u010d\u00e1st ztr\u00e1ty vytvo\u0159en\u00e9 na VX futures kalend\u00e1\u0159n\u00edm spreadu. Princip takov\u00e9ho po\u0159izov\u00e1n\u00ed je pak jasn\u00fd, p\u0159i poklesu trh\u016f a ztr\u00e1t\u011b vytvo\u0159en\u00e9 na spreadu mi jej\u00ed \u010d\u00e1st pokryje pr\u00e9mium z\u00a0bezcenn\u00fdch opc\u00ed na strikes nad \u00farovn\u00ed trh\u016f, proto\u017ee tyto od po\u0159\u00edzen\u00ed t\u011bchto opc\u00ed klesaly, co\u017e p\u0159ivodilo ztr\u00e1tu na VX futures kalend\u00e1\u0159n\u00edm spreadu. Trhy ale mohou tak\u00e9 stagnovat nebo m\u00edrn\u011b r\u016fst a opce by se mohly st\u00e1t bezcenn\u00e9 i v\u00a0takov\u00e9m p\u0159\u00edpad\u011b, co\u017e by mohlo p\u0159isp\u011bt ke zv\u00fd\u0161en\u00e9 profitabilit\u011b takto zaji\u0161t\u011bn\u00e9ho obchodu. Pokud by ale trhy za\u010daly r\u016fst, tak by samoz\u0159ejm\u011b doch\u00e1zelo k\u00a0poklesu volatility a n\u00e1r\u016fstu profitu na spreadov\u00e9 pozici, Short Call opce by v\u0161ak mohly nab\u00edrat na sv\u00e9 cen\u011b a p\u0159i prora\u017een\u00ed strike by tak ztr\u00e1ta tvo\u0159en\u00e1 na t\u011bchto opc\u00edch mohla b\u00fdt zase kompenzov\u00e1na n\u00e1r\u016fstem ceny (a profitu) spreadov\u00e9 pozice. Pro svou vlastn\u00ed anal\u00fdzu jsem volil, op\u011bt z\u00a0n\u011bjak\u00e9ho vlastn\u00edho analyzovan\u00e9ho d\u016fvodu, vypisov\u00e1n\u00ed dvou<\/strong>\u00a0OTM Call Credit Vertical Bear Spread\u016f<\/strong>\u00a0na podkladu SPX ve vzd\u00e1lenosti 50 bod\u016f<\/strong> od trhu nebo na strike Short Call<\/strong> opce s\u00a0Delta<\/strong> na hodnot\u011b nejv\u00edce 20<\/strong>. Rozsah strike je op\u011bt 10 bod\u016f<\/strong>. Filozofie takov\u00e9ho v\u00fdpisu je takov\u00e1, \u017ee pokud jsem schopen za jeden takov\u00fd Call Credit Vertical Spread inkasovat +150 USD, je m\u016fj risk na tomto spreadu -850 USD, pokud by trhy zp\u016fsobily, \u017ee cel\u00fd tento op\u010dn\u00ed spread skon\u010d\u00ed \u201ev pen\u011bz\u00edch\u201c. Pohyb o v\u00edce ne\u017e 50 bod\u016f nebo prora\u017een\u00ed strike Short Call na p\u016fvodn\u00ed hodnot\u011b Delta 20 a n\u00e1sledn\u011b tak\u00e9 Long Call na vy\u0161\u0161\u00edm strike si dozajista vy\u017e\u00e1d\u00e1 mohutn\u00fd r\u016fst akciov\u00fdch trh\u016f za sou\u010dasn\u00e9ho poklesu volatility, co\u017e zp\u016fsob\u00ed podstatn\u00fd n\u00e1r\u016fst ceny m\u00e9ho kalend\u00e1\u0159n\u00edho spreadu na VX futures, mohl bych tak ztr\u00e1tu na op\u010dn\u00edch pozic\u00edch t\u00edmto profitem kompenzovat. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je mo\u017en\u00e9 vypozorovat, jak by si takov\u00e9 vypisov\u00e1n\u00ed vedlo pro m\u00e9 analyzovan\u00e9 obchody.\u00a0\u00a0 \u00a0\u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0Samotn\u00e9 zaji\u0161t\u011bn\u00ed vypisovan\u00fdmi Call Credit Vertical Spready (tenk\u00e1 \u010derven\u00e1 k\u0159ivka) op\u011bt za celou historii spreadov\u00fdch obchod\u016f neprod\u011blalo<\/strong> a celkov\u011b p\u0159isp\u011blo ke zv\u00fd\u0161en\u00e9 profitabilit\u011b<\/strong> cel\u00e9 zaji\u0161t\u011bn\u00e9 pozice (tlust\u00e1 hn\u011bd\u00e1 k\u0159ivka).<\/span><\/p>\n

Put + Call<\/span><\/strong><\/h1>\n

\u00a0\u00a0\u00a0 Pokud jsem tedy vypozoroval, \u017ee po\u0159\u00edzen\u00ed Put Debit Bear Vertical Spreadu<\/strong> nejen\u017ee neprod\u011blalo<\/strong>, ale p\u0159ineslo ur\u010dit\u00e9 zhodnocen\u00ed spreadov\u00fdch pozic a sou\u010dasn\u011b tak\u00e9 stejn\u011b neprod\u011blalo<\/strong> zaji\u0161t\u011bn\u00ed vytvo\u0159en\u00e9 ze dvou Call Credit Vertical Spread\u016f<\/strong> ve vzd\u00e1lenosti 50 bod\u016f od trhu nebo na strike Short Call opce s\u00a0Delta na hodnot\u011b nejv\u00edce 20, bylo by asi nejmoud\u0159ej\u0161\u00ed toto zaji\u0161t\u011bn\u00ed spojit<\/strong> dohromady a vytvo\u0159it komplexn\u011bj\u0161\u00ed op\u010dn\u00ed hed\u017eovac\u00ed pozici pro spreadov\u00e9 obchody. Cel\u00e1 slo\u017eenina by pak mola m\u00edt v\u00fdkonnost patrnou z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Celkov\u00e1 equity je po celou dobu v\u017edy vy\u0161\u0161\u00ed<\/strong> ne\u017e pouh\u00e9 dr\u017een\u00ed spreadov\u00e9 pozice<\/strong>, po\u0159\u00edzen\u00ed op\u010dn\u00ed ochrany tak m\u00e1 sv\u016fj smysl a rozhodn\u011b jim v\u00fdkonnost spreadov\u00fdch obchod\u016f v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b netrp\u00ed. Po\u017eadavek na margin je vy\u0161\u0161\u00ed o 2.000 USD d\u00edky dv\u011bma Call Credit Spread\u016fm o rozsahu strike p\u0159edstavuj\u00edc\u00ed maxim\u00e1ln\u00ed mo\u017enou ztr\u00e1tu 1.000 USD na ka\u017ed\u00fd tento op\u010dn\u00ed spread.<\/span><\/p>\n

\u00a0\u00a0 Mo\u017en\u00e1 to cel\u00e9 \u201evypad\u00e1 slab\u011b\u201c, ale mo\u017en\u00fd pocit slabosti vypl\u00fdv\u00e1 z\u00a0konstrukce a proveden\u00e9 historick\u00e9 anal\u00fdzy, ta m\u00e1 toti\u017e zna\u010dn\u00e9 z\u00e1kladn\u00ed nedostatky, kter\u00e9 nen\u00ed mo\u017en\u00e9 prakticky zachytit. Proveden\u00e9 ka\u017ed\u00e9 anal\u00fdzy na historick\u00fdch datech samoz\u0159ejm\u011b trp\u00ed nedostatkem, kter\u00fdm je pocit z\u00a0celkov\u00e9 atmosf\u00e9ry a kontextu trh\u016f<\/strong> v\u00a0dan\u00fd okam\u017eik, kter\u00fd by mi napov\u011bd\u011bl, jestli do pozice vstoup\u00edm nebo nevstoup\u00edm, tedy absence jak\u00e9hokoliv \u201e\u0161est\u00e9ho smyslu\u201c vytvo\u0159en\u00e9ho dlouhodob\u00fdm pozorov\u00e1n\u00edm trh\u016f. To je pocitov\u00e1 str\u00e1nka anal\u00fdzy. Praktick\u00e1 str\u00e1nka<\/strong> m\u00e9 anal\u00fdzy vych\u00e1z\u00ed ze vstupov\u00e1n\u00ed do spreadov\u00e9 VX pozice za sou\u010dasn\u00e9ho po\u0159\u00edzen\u00ed cel\u00e9ho op\u010dn\u00edho zaji\u0161t\u011bn\u00ed. P\u0159i vystupov\u00e1n\u00ed<\/strong> ze spreadov\u00e9 pozice na VX futures toti\u017e tak\u00e9 likviduji po\u0159\u00edzen\u00e9 zaji\u0161t\u011bn\u00ed<\/strong>, toto pak zp\u016fsobuje zna\u010dn\u00e9 zkreslen\u00ed, proto\u017ee to nap\u0159\u00edklad znamen\u00e1, \u017ee vykupuji oba Call Credit Spready i v\u00a0p\u0159\u00edpad\u011b, \u017ee jsou dostate\u010dn\u011b vzd\u00e1len\u00e9 trh\u016fm a na jejich v\u00fdkup vynakl\u00e1d\u00e1m dal\u0161\u00ed prost\u0159edky, sni\u017euj\u00edc\u00ed celkovou v\u00fdkonnost. Rovn\u011b\u017e v\u00a0p\u0159\u00edpad\u011b Put Bear Vertical Spreadu, kter\u00fd ochra\u0148uje spreadovou VX pozici proti poklesu, tuto vykupuji zp\u011bt p\u0159i v\u00fdstupu z\u00a0VX futures spreadu, co\u017e p\u0159i zv\u00fd\u0161en\u00e9 volatilit\u011b a vysok\u00fdch cen\u00e1ch op\u010dn\u00edch kontrakt\u016f zp\u016fsobuje, \u017ee se naplno neprojevuje s\u00edla op\u010dn\u00ed ochrany reprezentuj\u00edc\u00ed potenci\u00e1ln\u00ed profit na tomto Put op\u010dn\u00edm spreadu vyj\u00e1d\u0159en\u00e9m dolarov\u00fdm vyj\u00e1d\u0159en\u00edm rozd\u00edl\u016f jeho strikes. Hrub\u00e1 historick\u00e1 anal\u00fdza tak poskytuje velmi zkreslen\u00e9 v\u00fdsledky<\/strong>. V\u00a0obchodn\u00ed praxi pr\u00e1ce s\u00a0op\u010dn\u00ed ochranou p\u0159in\u00e1\u0161\u00ed pozoruhodn\u00e9 v\u00fdsledky, op\u010dn\u00ed spready nebo jednotliv\u00e9 opce mohu rolovat ve sm\u011bru pohybu trh\u016f nebo p\u0159id\u00e1v\u00e1n\u00edm\/ub\u00edr\u00e1n\u00edm op\u010dn\u00edch pozic cel\u00fd obchod efektivn\u011bji \u0159\u00eddit, mohu tak\u00e9 vyu\u017e\u00edvat kvalitn\u011bj\u0161\u00ed \u010dasov\u00e1n\u00ed d\u00edky existenci weeklys op\u010dn\u00edch SPX kontrakt\u016f a tak\u00e9 mohu \u010dasovat po\u0159izov\u00e1n\u00ed jednotliv\u00fdch \u010d\u00e1st\u00ed zaji\u0161t\u011bn\u00ed, v\u0161e dle osobn\u00edch preferenc\u00ed a natr\u00e9novan\u00fdch nastaven\u00ed nebo dovednost\u00ed. \u00dapln\u011b pak odhl\u00e9dnu od mo\u017enosti upravit vstupov\u00e1n\u00ed a vystupov\u00e1n\u00ed ze spreadov\u00fdch pozic na \u00farovn\u00edch jin\u00fdch, ne\u017e dan\u00fdch m\u00fdm velmi jednoduch\u00fdm obchodn\u00edm pl\u00e1nem nebo tak\u00e9 \u00fapravou vzd\u00e1lenosti a rozsahem strike po\u0159izovan\u00fdch Put i Call op\u010dn\u00edch spreadov\u00fdch ochrann\u00fdch pozic nebo zm\u011bnou jejich po\u010dtu.<\/span><\/p>\n

\u00a0\u00a0 Pouk\u00e1z\u00e1n\u00ed na princip a mo\u017en\u00fd sm\u011br po\u0159izov\u00e1n\u00ed ochrany jsou tak sice pouze demonstrativn\u00ed<\/strong>, ale maj\u00ed zna\u010dn\u00fd obchodn\u00ed potenci\u00e1l<\/strong>. Na n\u00ed\u017ee uveden\u00e9m diagramu je vid\u011bt sch\u00e9ma fungov\u00e1n\u00ed takov\u00e9ho zaji\u0161t\u011bn\u00ed z\u00a0jin\u00e9ho pohledu.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Na obr\u00e1zku je diagram zn\u00e1zor\u0148uj\u00edc\u00ed v\u00fdkonnost ka\u017ed\u00e9 jednotliv\u00e9 pozice spreadu na VX futures, po\u0159\u00edzen\u00e9 podle m\u00e9ho velmi hrub\u00e9ho a jednoduch\u00e9ho obchodn\u00edho pl\u00e1nu v\u00a0proveden\u00e9 historick\u00e9 anal\u00fdze. V\u00fdkonost VX futures spreadu<\/strong> je zn\u00e1zorn\u011bna modr\u00fdmi sloupci <\/strong>v diagramu. V\u00fdkonnost<\/strong> samotn\u00e9ho zaji\u0161t\u011bn<\/strong>\u00ed pomoc\u00ed v\u00fd\u0161e popsan\u00fdch op\u010dn\u00edch pozic Call i Put je v\u00a0diagramu zn\u00e1zorn\u011bna hn\u011bd\u00fdmi sloupci<\/strong>. Za pov\u0161imnut\u00ed pak zejm\u00e9na stoj\u00ed, \u017ee pokud VX futures spread prod\u011blal<\/strong> (modr\u00fd sloupec pod \u00farovn\u00ed nula) tak jeho protiv\u00e1hou<\/strong> je v\u017edy v\u00a0ka\u017ed\u00e9m p\u0159\u00edpad\u011b hn\u011bd\u00fd sloupec v\u00fdkonnosti zaji\u0161t\u011bn\u00ed,<\/strong>\u00a0nach\u00e1zej\u00edc\u00ed se v\u00a0kladn\u00fdch hodnot\u00e1ch<\/strong> (nad hodnotou nula). Nav\u00edc, pokud byl na VX futures spreadu vytvo\u0159en profit (modr\u00fd sloupec nad \u00farovn\u00ed nula), tak op\u010dn\u00ed zaji\u0161t\u011bn\u00ed vytvo\u0159ilo bu\u010f ztr\u00e1tu (hn\u011bd\u00fd sloupec pod hodnotou nula), kter\u00e1 byla ale v\u017edy men\u0161\u00ed ne\u017e profit vytvo\u0159en\u00fd na VX futures spreadu nebo dokonce vytvo\u0159ila dal\u0161\u00ed profit k\u00a0ji\u017e realizovan\u00e9mu profitu na futures pozic\u00edch (modr\u00fd i hn\u011bd\u00fd sloupec v\u00a0jednom slo\u017een\u00e9m dvoubarevn\u00e9m sloupci nad hodnotou nula). Toto zji\u0161t\u011bn\u00ed by pak mohlo b\u00fdt dosta\u010duj\u00edc\u00edm z\u00e1kladem k\u00a0mo\u017en\u00e9mu praktick\u00e9mu prov\u00e1d\u011bn\u00ed nebo dal\u0161\u00edmu \u201epilov\u00e1n\u00ed\u201c.<\/span><\/p>\n

\u00a0\u00a0 Zcela na okraj poznamen\u00e1v\u00e1m, \u017ee nazna\u010den\u00fd postup je mo\u017en\u00e9 vyu\u017e\u00edt, po pat\u0159i\u010dn\u00e9 modifikaci, pro jin\u00e9 spreadov\u00e9 kombinace a tak\u00e9 s\u00a0opa\u010dn\u00fdmi op\u010dn\u00edmi kontrakty v\u00a0p\u0159\u00edpad\u011b, \u017ee bych neuva\u017eoval po\u0159izovat VX futures kalend\u00e1\u0159n\u00ed spread ve vyhrocen\u00e9m Backwardation, ale vyu\u017eil opa\u010dn\u00fd obchodn\u00ed p\u0159\u00edstup, kdy bych do VX futures vstupoval na extr\u00e9mn\u00edm Contango (popisov\u00e1no zde<\/a><\/strong><\/span>).<\/span><\/p>\n

\n

Praktick\u00e1 uk\u00e1zka \u2013 re\u00e1ln\u00fd obchod<\/strong><\/span><\/h1>\n

(vstup 2.3.2018)<\/strong><\/span><\/h1>\n

\u00a0\u00a0 V\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch popisovan\u00e9 dr\u017een\u00ed deseti VX kalend\u00e1\u0159ov\u00fdch spreadov\u00fdch pozic<\/a><\/span><\/strong> na vzd\u00e1len\u00fdch VX futures kontraktech po\u0159\u00edzen\u00fdch p\u0159i diskrepanci vytvo\u0159en\u00e9 na \u010dasov\u00e9 struktu\u0159e VX futures a sledov\u00e1n\u00ed dr\u017een\u00e9 spreadov\u00e9 pozice slo\u017een\u00e9 z RVX a VX<\/a><\/span><\/strong> futures kontrakt\u016f se stejnou expirac\u00ed bych cht\u011bl, ve smyslu tohoto \u010dl\u00e1nku, roz\u0161\u00ed\u0159it o konkr\u00e9tn\u00ed vytvo\u0159enou zaji\u0161t\u011bnou pozici na m\u00e9m obchodn\u00edm \u00fa\u010dtu, kter\u00e1 by mohla detailn\u011bji a zejm\u00e9na prakti\u010dt\u011bji zobrazit my\u0161lenky vepsan\u00e9 do v\u00fd\u0161e uveden\u00fdch \u0159\u00e1dk\u016f.<\/span><\/p>\n

\u00a0\u00a0Ud\u00e1losti 5.2.2018 a n\u00e1sledn\u011b 8.2.2018 jsou d\u016fkazem, \u017ee od trh\u016f m\u016f\u017eeme o\u010dek\u00e1vat naprosto v\u0161e. Propad trh\u016f s\u00a0v\u00fdst\u0159elem volatility v\u00a0netu\u0161en\u00fdch \u0159\u00e1dech des\u00edtek procent denn\u011b by m\u011bly b\u00fdt varov\u00e1n\u00edm, \u017ee b\u00fdt \u201enah\u00fd v\u00a0trn\u00ed\u201c nen\u00ed zrovna komfortn\u00ed situace a pokud jsem st\u00e1l od trh\u016f d\u00e1l, tak to mohu p\u0159i\u010d\u00edtat sp\u00ed\u0161e \u0161t\u011bst\u00ed ne\u017e n\u011bjak\u00e9mu sv\u00e9mu promy\u0161len\u00e9mu tahu. Vstupovat do obchod\u016f pr\u00e1v\u011b v\u00a0tyto dny je nad m\u00e9 psychick\u00e9 s\u00edly, i kdy\u017e by se zd\u00e1lo, \u017ee \u201er\u00e1ch\u00e1n\u00ed se ve volatilit\u011b\u201c je m\u00e9 obl\u00edben\u00e9 hobby. Nen\u00ed tomu tak, tyto dny nem\u00e1m r\u00e1d stejn\u011b, jako je nem\u00e1 r\u00e1da v\u011bt\u0161ina obchodn\u00edk\u016f, tv\u016frc\u016f trh\u016f i samotn\u00fdch brokersk\u00fdch dom\u016f. Co m\u00e1m ale r\u00e1d jsou \u201edny pot\u00e9\u201c, kdy doch\u00e1z\u00ed k\u00a0vyjasn\u011bn\u00ed situace a trhy se za\u010d\u00ednaj\u00ed zklid\u0148ovat s\u00a0nad\u011bj\u00ed, \u017ee se volatilita vr\u00e1t\u00ed do obvykl\u00fdch mez\u00ed. Proto\u017ee neust\u00e1le pozoruji v\u00fdvoj spreadov\u00fdch cen mezi jednotliv\u00fdmi VX futures kontrakty, mohl jsem v\u00a0p\u00e1tek 2.3.2018 vypozorovat zv\u00fd\u0161enou nervozitu na trz\u00edch, vyprovokovanou mo\u017en\u00fdm zaveden\u00edm dovozn\u00edch cel oceli, kterou avizoval americk\u00fd prezident a tato prohl\u00e1\u0161en\u00ed rozjit\u0159ila prozat\u00edm nezhojen\u00e9 r\u00e1ny, kter\u00e9 trhu zasadily dramatick\u00e9 poklesy trh\u016f po\u010d\u00e1tkem minul\u00e9ho m\u011bs\u00edce. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Cena spreadu na prvn\u00edch dvou VX futures kontraktech, slo\u017een\u00fdch do konstelace Short VXH18\/Long VXJ18<\/strong> za\u010dala prudce klesat a pohybovala se kolem hodnoty -1.70 bodu<\/strong>. Trhy VX tak prohloubily trvaj\u00edc\u00ed stav Backwardation<\/strong>, proto\u017ee bli\u017e\u0161\u00ed VXH18 futures m\u00e1 vy\u0161\u0161\u00ed cenu ne\u017e vzd\u00e1len\u011bj\u0161\u00ed VXJ18 futures, za t\u00e9to situace jsem s\u00a0odstupem \u201en\u011bjak\u00fdch chvil\u201c po Open trh\u016f, p\u0159ed \u010dtvrtou hodinou na\u0161eho \u010dasu, vstoupil p\u0159\u00edkazem BUY do tohoto spreadu. P\u0159\u00edkaz byl vypln\u011bn a na m\u00e9m \u00fa\u010dtu mohu pozorovat vytvo\u0159enou pozici.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Po\u0159\u00eddil jsem tak spread za cenu -1.675,38 USD<\/strong>, kdy\u017e jsem za Short VXH18 futures obdr\u017eel +21.510 USD, abych za Long VXJ18 futures utratil -19.830 USD. Rozd\u00edlem (s\u00a0poplatky) je pak v\u00fd\u0161e uveden\u00e1 cena. Investoval jsem tak, ve smyslu m\u00e9ho \u00favodn\u00edho \u010dl\u00e1nku<\/a><\/span><\/strong> k\u00a0minis\u00e9rii o spreadov\u00fdch obchodech, \u00a0do neobvykle mal\u00e9 vzd\u00e1lenosti mezi auty, a to tak mal\u00e9, \u017ee je dokonce z\u00e1porn\u00e1 a budu \u010dekat, jestli se nerozt\u00e1hne a p\u0159i jej\u00edm prodeji mi nad\u011bl\u00ed n\u011bjak\u00fd zaj\u00edmav\u00fd profit.<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee si nejsem jist\u00fd v\u00fdvojem n\u00e1sleduj\u00edc\u00edch dn\u016f a tak\u00e9 m\u011b m\u016f\u017ee za\u010d\u00edt tla\u010dit bl\u00ed\u017e\u00edc\u00ed se expirace bli\u017e\u0161\u00edho VXH18 futures (za 19 kalend\u00e1\u0159n\u00edch dn\u016f), rozhodl jsem se tuto pozici zajistit tak, jak jsem popisoval v\u00a0tomto \u010dl\u00e1nku v\u00fd\u0161e. K po\u0159\u00edzen\u00e9 spreadov\u00e9 pozici jsem tedy vyhledal p\u0159\u00edslu\u0161n\u00fd op\u010dn\u00ed \u0159et\u011bzec SPX op\u010dn\u00edch kontrakt\u016f, abych vytvo\u0159il Put Debit Bear Vertical Spread<\/strong>, kter\u00fd by pozici zajistil pro p\u0159\u00edpad dal\u0161\u00edho propadu trh\u016f, ze kter\u00fdch jsou VX futures odvozeny. K\u00a0tomuto zaji\u0161\u0165ovac\u00edmu obchodu jsem si vybral SPX opce s\u00a0expirac\u00ed 21.3.2018<\/strong>, je to tedy st\u0159eda – den, kdy expiruje bli\u017e\u0161\u00ed VX futures kontrakt. Pokud bych dr\u017eel cel\u00fd spread a\u017e do t\u00e9to expira\u010dn\u00ed st\u0159edy, mohly by b\u00fdt op\u010dn\u00ed pozice ji\u017e t\u00e9m\u011b\u0159 bez v\u00fdznamn\u00e9ho pr\u00e9mia v p\u0159\u00edpad\u011b, \u017ee budou \u201ev\u00a0pen\u011bz\u00edch\u201c nebo tak\u00e9 \u201emimo pen\u00edze\u201c. P\u0159\u00edpadn\u00e1 likvidace opc\u00ed by pak nemusel p\u0159edstavovat dodate\u010dn\u00e9 n\u00e1klady mimo pl\u00e1n, opce \u201emimo pen\u00edze\u201c by mohly vypr\u0161et jako bezcenn\u00e9, opce \u201ev\u00a0pen\u011bz\u00edch\u201c by mohly b\u00fdt likvidov\u00e1ny t\u00e9m\u011b\u0159 za vnit\u0159n\u00ed hodnotu, bude v\u0161ak z\u00e1le\u017eet na konkr\u00e9tn\u00edm v\u00fdvoji.<\/span><\/p>\n

\"\"<\/span><\/p>\n

\u00a0\u00a0 P\u0159i cen\u011b SPX<\/strong> ve v\u00fd\u0161i 2654.68<\/strong> bodu jsem tedy po\u0159\u00eddil na ATM strike 2650<\/strong>\u00a0op\u010dn\u00ed kontrakt Long Put 2650<\/strong> a ve vzd\u00e1lenosti 10-ti bod\u016f n\u00ed\u017ee<\/strong> jsem vypsal na strike 2640<\/strong>\u00a0op\u010dn\u00ed kontrakt Short Put 2640<\/strong>. Za n\u00e1kup Long Put 2650 jsem utratil<\/strong> \u010d\u00e1stku\u00a0-4.719 USD<\/strong> a za v\u00fdpis Short Put 2640 jsem z\u00edskal zp\u011bt<\/strong>\u00a0\u010d\u00e1stku +4.361 USD<\/strong>, celkov\u011b jsem po\u0159\u00eddil tento spread za -358 USD<\/strong>. Pokud bych ned\u011blal nic dal\u0161\u00edho, tak v\u00a0p\u0159\u00edpad\u011b propadu trh\u016f, kter\u00fd by samoz\u0159ejm\u011b zp\u016fsobil dal\u0161\u00ed kles\u00e1n\u00ed m\u00e9 spreadov\u00e9 VX futures pozice, by m\u016fj potenci\u00e1l profitu z\u00a0tohoto Put Bear Spreadu byl +1000 USD \u2013 358 USD (n\u00e1klady) = +642 USD<\/strong>. Proto\u017ee po\u0159izovac\u00ed hodnota VX futures spreadu \u010din\u00ed -1.68 bodu, tak jsem si vytvo\u0159il sn\u00ed\u017een\u00ed Break Even bodu tohoto spreadu ve v\u00fd\u0161i -1.68 \u2013 0.642 = -2.32 bodu<\/strong>. Na tuto hodnotu m\u016f\u017ee nyn\u00ed m\u016fj VX futures spread klesnout, abych z\u00a0cel\u00e9 pozice tohoto spreadu a Put opc\u00ed vystoupil bez ztr\u00e1ty.<\/span><\/p>\n

\u00a0\u00a0 Toto mi ale nesta\u010d\u00ed, proto jsem se rozhodl, v\u00a0intenc\u00edch m\u00e9 zaji\u0161\u0165ovac\u00ed strategie v\u00fd\u0161e, po\u0159\u00eddit na vy\u0161\u0161\u00edch strike dv\u011b<\/strong> pozice\u00a0Call Credit Bear Vertical Spread\u016f<\/strong>\u00a0pro z\u00edsk\u00e1n\u00ed dal\u0161\u00edho pr\u00e9mia, kter\u00e9 by mi pomohlo vylep\u0161it mou bilanci a zejm\u00e9na posunout n\u00ed\u017ee Break Even bod na VX futures spreadu. Tyto op\u010dn\u00ed Call Bear Spready budu cht\u00edt po\u0159\u00eddit na takov\u00e9m strike, aby Delta<\/strong>\u00a0pro strike Short Call opc\u00ed byla na hodnot\u011b nejv\u00edce 20<\/strong>. Proto\u017ee trhy pokra\u010dovaly v\u00a0lok\u00e1ln\u00edm poklesu, rozhodl jsem, se \u017ee do t\u011bchto Call op\u010dn\u00edch pozic vstoup\u00edm okam\u017eit\u011b, co\u017e se mi poda\u0159ilo okam\u017eit\u011b po zad\u00e1n\u00ed p\u0159\u00edkazu. Celou op\u010dn\u00ed zaji\u0161\u0165ovac\u00ed pozici je vid\u011bt na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Dva Call Credit Bear Vertical Spready jsem po\u0159\u00eddil na strike 2740<\/strong> a 2750<\/strong> a splnil jsem si po\u017eadavek na Delta u vypsan\u00e9 Call opce spreadu, kter\u00e1 je lehce pod hodnotou 20 (hn\u011bd\u00fd r\u00e1me\u010dek). Za dv\u011b<\/strong> vypsan\u00e9 Short<\/strong>\u00a0Call opce<\/strong> na strike 2740 jsem utr\u017eil<\/strong> 2*(+1.078 USD) = +2156 USD<\/strong> a na dv\u011b<\/strong>\u00a0nakoupen\u00e9 Long Call opce<\/strong> na vy\u0161\u0161\u00edm strike 2750 jsem vynalo\u017eil<\/strong> 2*(-871 USD) = – 1.742 USD<\/strong>, celkov\u011b jsem za tyto dva v\u00fdpisy obdr\u017eel +414 USD<\/strong>. Co jsem z\u00edskal a co to vlastn\u011b znamen\u00e1? Po\u0159\u00eddil jsem dva op\u010dn\u00ed Call Credit Bear Vertical spready ve vzd\u00e1lenosti devades\u00e1t bod\u016f<\/strong> od moment\u00e1ln\u00ed hladiny trh\u016f a zejm\u00e9na jsem pln\u011b zafinancoval<\/strong> n\u00e1kup ochrann\u00e9ho Put Debit Bear Spreadu<\/strong>, kter\u00fd m\u011b st\u00e1l -358 USD, dokonce mi je\u0161t\u011b p\u0159eb\u00fdv\u00e1 pr\u00e9mium ve v\u00fd\u0161i +414 USD (Call Spready) \u2013 358 USD (Put Spread) = +56 USD<\/strong>. Situace na m\u00e9m obchodn\u00edm \u00fa\u010dtu dokumentuje po\u0159\u00edzen\u00ed op\u010dn\u00edho hedge v detailu.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Na obr\u00e1zku je vid\u011bt zejm\u00e9na sumarizace p\u0159ijat\u00fdch pr\u00e9mi\u00ed<\/strong> ze v\u0161ech op\u010dn\u00edch pozic. P\u0159ebytek +56 USD<\/strong> pak znamen\u00e1, \u017ee jsem ochranu proti p\u0159\u00edpadn\u00e9mu poklesu trh\u016f m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 ve form\u011b Put Bear Spreadu po\u0159\u00eddil zadarmo a je\u0161t\u011b mi zbylo +56 USD, co\u017e prakticky znamen\u00e1, \u017ee jsem si po\u0159izovac\u00ed cenu VX futures spreadu zajistil proti propadu o -1.056 bodu, tedy proti ztr\u00e1t\u011b -1.056 USD, tvo\u0159\u00ed jej +1000 USD jako dolarov\u00e9 vyj\u00e1d\u0159en\u00ed maxim\u00e1ln\u00ed hodnoty profitu op\u010dn\u00edho Put Bear Spreadu +2650\/-2640 a +56 USD je nadbyte\u010dn\u00e9 pr\u00e9mium, nov\u00fd Break Even<\/strong> pozice je tak -1.68 (po\u0159\u00edzen\u00ed VX spreadu) \u2013 1.056 = -2.736 bodu.<\/strong> Na tuto kone\u010dnou hodnotu m\u016f\u017ee m\u00e1 hodnota VX futures spreadu klesnout, abych z\u00a0obchodu vystoupil za nula, tedy bez ztr\u00e1ty.<\/span><\/p>\n

\u00a0 Na obr\u00e1zku n\u00ed\u017ee je vid\u011bt sumarizace cel\u00e9 pozice VX futures a opc\u00ed SPX podle TradeLog z\u00a0platformy TWS.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Na dal\u0161\u00edm obr\u00e1zku je pak vid\u011bt seskupen\u00ed<\/strong> VX futures spreadu sou\u010dasn\u011b s\u00a0op\u010dn\u00edm hedge na jednom listu obchodn\u00ed platformy TWS pro dal\u0161\u00ed pozorov\u00e1n\u00ed jej\u00edho v\u00fdvoje.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 M\u00e1m tedy definov\u00e1n spodn\u00ed Break Even<\/strong> bod dr\u017een\u00e9 VX futures spreadov\u00e9 pozice, kter\u00e1 m\u016f\u017ee klesnout na hodnotu -2.736 bodu<\/strong>, ani\u017e by to znamenalo obchodn\u00ed ztr\u00e1tu. Horn\u00ed hranice je definovan\u00e1 situac\u00ed podle toho, jak se bude d\u00e1le vyv\u00edjet. Ka\u017edop\u00e1dn\u011b v\u00edm, \u017ee pokud by trhy za\u010daly stoupat a vystoupaly by o sto bod\u016f nam\u011b\u0159en\u00fdch na indexu S&P 500 vzhledem ke dni po\u0159\u00edzen\u00ed, do\u0161lo by k\u00a0prora\u017een\u00ed obou strike opc\u00ed obou Call Bear Spread\u016f -2740\/+2750 a utr\u017eil bych ztr\u00e1tu -2.000 USD +56 USD (p\u0159ijat\u00e9 pr\u00e9mium) = -1.944 USD, <\/strong>tato ztr\u00e1ta by se ale t\u00fdkala pouze Call op\u010dn\u00ed pozice. V\u00a0tuto chv\u00edli by ale s jistotou do\u0161lo k\u00a0vystoup\u00e1n\u00ed hodnoty m\u00e9ho VX futures spreadu, proto\u017ee takov\u00fd stobodov\u00fd n\u00e1r\u016fst hodnoty indexu S&P 500 by zcela jist\u011b zp\u016fsobil o\u010dek\u00e1van\u00fd pokles volatility. Sta\u010dilo by pak, aby hodnota tohoto VX futures spreadu byla vy\u0161\u0161\u00ed pr\u00e1v\u011b o o\u010dek\u00e1vanou ztr\u00e1tu z\u00a0Call Spread\u016f, tedy vy\u0161\u0161\u00ed o +1.944 bodu, znamenalo by to, \u017ee hodnota VX futures spreadu by m\u011bla b\u00fdt -1.68 (po\u0159izovac\u00ed hodnota) + 1.944 (maxim\u00e1ln\u00ed ztr\u00e1ta Call Spread\u016f) = +0.264 bodu<\/strong>. To je horn\u00ed Break Even m\u00e9 VX futures spreadov\u00e9 pozice. Pokud bude ve chv\u00edli prora\u017een\u00ed obou strike Call Spreadu cena VX futures spreadu vy\u0161\u0161\u00ed ne\u017e hodnota Break Even bodu +0.264 bodu, bude \u010d\u00e1stka p\u0159esahuj\u00edc\u00ed tento Break Even bod p\u0159edstavovat profit ze spreadov\u00e9 pozice i p\u0159esto, \u017ee oba Call Bear Spready skon\u010d\u00ed cel\u00e9 \u201ev\u00a0pen\u011bz\u00edch\u201c. M\u016f\u017ee se ale tak\u00e9 st\u00e1t, \u017ee trhy budou stagnovat nebo m\u00edrn\u011b r\u016fst a volatilita za\u010dne klesat za\u00a0t\u011bchto nev\u00fdrazn\u00fdch tr\u017en\u00edch pohyb\u016f, v\u00a0takov\u00e9m p\u0159\u00edpad\u011b by mohla cena VX futures spreadu nar\u016fstat tak\u00e9, ani\u017e by ohrozila strike vypsan\u00fdch Call Bear Spread\u016f.<\/span><\/p>\n

\u00a0\u00a0 Jsou to velmi realistick\u00e9 sc\u00e9n\u00e1\u0159e, kter\u00e9 by se mohly naplnit, VX futures spread m\u016f\u017ee za\u010d\u00edt klesat, toto nemohu samoz\u0159ejm\u011b v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b vylou\u010dit, potom by mohlo zafungovat nakoupen\u00e9 zaji\u0161t\u011bn\u00ed. Trhy a s\u00a0n\u00edm tak\u00e9 cena po\u0159\u00edzen\u00e9ho VX futures spreadu tak\u00e9 mohou za\u010d\u00edt r\u016fst, potom se bude z\u00e1le\u017eet, jak\u00e9 proporce mezi r\u016fstem trh\u016f a r\u016fstem ceny VX futures spreadu budou vytvo\u0159eny s\u00a0ohledem na hodnotu v\u00fdstupn\u00ed transakce ze v\u0161ech dr\u017een\u00fdch pozic, toto v\u0161ak uk\u00e1\u017ee a\u017e b\u011bh dal\u0161\u00edch dn\u016f\u2026 :c)<\/span><\/p>\n

kontrola pozice 5.3.2018<\/span><\/strong><\/h1>\n

\u00a0\u00a0\u00a0 S\u00a0odstupem dvou obchodn\u00edch dn\u016f dr\u017een\u00ed zaji\u0161t\u011bn\u00e9 pozice kalend\u00e1\u0159n\u00edho VX spreadu bych cht\u011bl kontrolou pozice uk\u00e1zat chov\u00e1n\u00ed zaji\u0161t\u011bn\u00ed p\u0159i pohybu ochra\u0148ovan\u00e9 spreadov\u00e9 pozice. Trhy rostou<\/strong> a z\u00a0p\u016fvodn\u00ed ceny indexu S&P 500 ve v\u00fd\u0161i 2650 bod\u016f<\/strong> p\u0159i vstupu do pozice, nabraly trhy n\u00e1r\u016fst o sedmdes\u00e1t bod\u016f<\/strong> a nyn\u00ed se pohybuj\u00ed kolem hodnoty 2720 bod\u016f<\/strong>. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt situace na cel\u00e9 pozici<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 N\u00e1r\u016fst trh\u016f zp\u016fsobil uklidn\u011bn\u00ed situace a pokles volatility na trz\u00edch, co\u017e se projevilo v\u00a0siln\u00e9m n\u00e1r\u016fstu ceny spreadov\u00e9 pozice. Na obr\u00e1zku v\u00fd\u0161e je aktu\u00e1ln\u00ed pozice zaji\u0161\u0165ovac\u00edch opc\u00ed na podkladu SPX ve sv\u011btle v\u00fdvoje od po\u0159\u00edzen\u00ed do sou\u010dasn\u00fdch chvil. P\u0159ehledn\u00e1 situace z\u00a0platformy TWS je na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Po\u0159\u00edzen\u00ed spreadu<\/strong> VS futures Short VXH18\/Long VXJ18 bylo na hodnot\u011b -1.675 bodu<\/strong> a nyn\u00ed se jeho cena pohybuje na cen\u011b -0.25 bodu<\/strong>, co\u017e p\u0159edstavuje moment\u00e1ln\u00ed zisk na tomto spreadu ve v\u00fd\u0161i +1.425 USD<\/strong>. Tyto hodnoty jsou vyzna\u010deny b\u00edl\u00fdmi krou\u017eky v\u00a0\u0159\u00e1dku ozna\u010den\u00e9m (1)<\/strong>. To je dosti p\u0159\u00edjemn\u00e1 z\u00e1le\u017eitost, znamen\u00e1 to ale, \u017ee ochrann\u00fd Put Debit Vertical Bear Spread<\/strong> +2650\/-2640 se t\u00edmto n\u00e1r\u016fstem vzd\u00e1lil \u201eod pen\u011bz\u201c a pochopiteln\u011b ztratil na sv\u00e9 cen\u011b<\/strong>, tato ztr\u00e1ta je vyzna\u010dena b\u00edl\u00fdm krou\u017ekem na \u0159\u00e1dku (2)<\/strong>. Po\u0159\u00e1d bych ale byl schopen tento op\u010dn\u00ed spread prodat zhruba za +140 USD (viz fialov\u00e9 Ask\/Bid vlevo od b\u00edl\u00e9 dvojky), proto\u017ee do expirace opc\u00ed zb\u00fdv\u00e1 je\u0161t\u011b dost \u010dasu a opce maj\u00ed v sob\u011b dostatek pr\u00e9mia. R\u016fst trh\u016f ale zejm\u00e9na zp\u016fsobil, \u017ee se hodnota indexu S&P 500 p\u0159ibl\u00ed\u017eila ke strike Call Credit Vertical Bear Spreadu<\/strong> -2740\/+2750 a tento nabyl na sv\u00e9 hodnot\u011b<\/strong>. Moment\u00e1ln\u011b bych musel na jeho likvidaci vynalo\u017eit asi -940 USD, kdy\u017e ale jsem jeho v\u00fdpisem z\u00edskal +415 USD, moment\u00e1ln\u00ed ztr\u00e1ta z\u00a0t\u00e9to likvidace by \u010dinila -525 USD, vyzna\u010deno na \u0159\u00e1dku ozna\u010den\u00e9m (3)<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych tedy nyn\u00ed z\u00a0pozice vystoupil, z\u00edskal bych okam\u017eit\u00fd profit +677 USD<\/strong> (\u010derven\u00e1 \u0161ipka), to ale nen\u00ed na moment\u00e1ln\u00ed situaci to nejpodstatn\u011bj\u0161\u00ed, cht\u011bl jsem t\u00edmto aktu\u00e1ln\u00edm pohledem pouk\u00e1zat na skute\u010dnost, \u017ee n\u00e1r\u016fst ceny spreadu pln\u011b kompenzuje ztr\u00e1tu na zaji\u0161t\u011bn\u00ed a nav\u00edc nech\u00e1v\u00e1 dostatek prostoru pro p\u0159im\u011b\u0159en\u00fd profit. Mus\u00edm upozornit, \u017ee n\u00e1r\u016fst ceny VS spreadov\u00e9 pozice a r\u016fst ztr\u00e1ty na op\u010dn\u00edm Call Credit Bear Vertical Spreadu nen\u00ed line\u00e1rn\u00ed z\u00e1le\u017eitost<\/strong>, proto\u017ee p\u0159esto\u017ee je prozat\u00edm tento op\u010dn\u00ed Call spread \u201emimo pen\u00edze\u201c, tak ztr\u00e1ta hodnoty jednotliv\u00fdch Call op\u010dn\u00edch kontrakt\u016f nabere na sv\u00e9 dynamice zejm\u00e9na v\u00a0posledn\u00edm t\u00fddnu p\u0159ed svou expirac\u00ed a bude pak jen z\u00e1le\u017eet, kde se tyto strike budou aktu\u00e1ln\u011b nach\u00e1zet. Situace se tak vyv\u00edj\u00ed podle m\u00fdch p\u0159edstav, osobn\u011b bych r\u00e1d vystoupil na hladin\u011b ceny spreadu na VX futures na hodnot\u011b nula, v\u0161e bude ale z\u00e1visl\u00e9 od budouc\u00edho v\u00fdvoje… :c)<\/span><\/p>\n

ukon\u010den\u00ed obchodu 8.3.2018<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Je \u010dtvrtek 8.3.2018, je to t\u00fdden<\/strong>, co jsem otev\u0159el VX spreadovou pozici VS futures Short VXH18\/Long VXJ18<\/strong> na hodnot\u011b -1.675 bodu<\/strong> s\u00a0t\u00edm, \u017ee jsem p\u0159edpokl\u00e1dal n\u00e1r\u016fst ceny tohoto spreadu. Spreadovou pozici jsem zajistil opcemi, a to konkr\u00e9tn\u011b tak, \u017ee jsem proti poklesu vstoupil do op\u010dn\u00ed kombinace SPX Put Debit Vertical Bear Spread +2650\/-2640<\/strong> a jej\u00ed po\u0159\u00edzen\u00ed jsem kompenzoval po\u0159\u00edzen\u00edm dvou SPX Call Credit Vertical Bear Spread\u016f -2740\/+2750<\/strong>. Po\u0159\u00edzen\u00ed opc\u00ed jsem konstruoval tak, \u017ee mi celkov\u011b vznikl p\u0159ebytek pr\u00e9mia ve v\u00fd\u0161i +56 USD. Cel\u00e1 komplexn\u00ed pozice futures a opc\u00ed vytvo\u0159ila dva Break Even body<\/strong>, spodn\u00ed na hodnot\u011b -2.736 bodu<\/strong> a horn\u00ed na hodnot\u011b\u00a0+0.264 bodu<\/strong>. P\u0159edpokladem pak bylo, \u017ee pokud spreadov\u00e1 pozice z\u016fstane mezi Break Even body, bude to znamenat nenulov\u00fd v\u00fdsledek a mohl bych o\u010dek\u00e1vat jak\u00fdsi profit. Pokles pod spodn\u00ed Break Even by pak vytvo\u0159il ji\u017e jen ztr\u00e1tu, n\u00e1r\u016fst nad horn\u00ed Break Even pak vych\u00e1zel z\u00a0mo\u017en\u00e9ho p\u0159edpokladu prora\u017een\u00ed strike obou Call opc\u00ed, kter\u00e9 by p\u0159ivodilo ztr\u00e1tu na t\u011bchto Call spreadech, ta by v\u0161ak m\u011bla b\u00fdt kompenzov\u00e1na n\u00e1r\u016fstem ceny VX spreadov\u00e9 pozice.<\/span><\/p>\n

\u00a0\u00a0 Uplynul\u00fd t\u00fdden ale p\u0159inesl dynamick\u00fd v\u00fdvoj. Hodnota SPX indexu za\u010dala nar\u016fstat slu\u0161n\u00fdm tempem, aby se k\u00a0dne\u0161n\u00edmu dni p\u0159ibl\u00ed\u017eila ke strike Short Call opce na hodnot\u011b 2740 bodu. Situace je viditeln\u00e1 na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Tento rychl\u00fd n\u00e1r\u016fst zp\u016fsobil, \u017ee do\u0161lo k\u00a0o\u010dek\u00e1van\u00e9mu n\u00e1r\u016fstu ceny<\/strong> m\u00e9ho spreadu VX futures Short VXH18\/Long VXJ18<\/strong>, kter\u00fd se pohyboval kolem hodnoty -0.10, co\u017e vyjad\u0159ovalo profit na tomto spreadu ve v\u00fd\u0161i zhruba +1.500 USD. Cena m\u00e9ho ochrann\u00e9ho SPX Put Debit Vertical Bear Spreadu +2650\/-2640 klesla, proto\u017ee se d\u00edky r\u016fstu ceny SPX ocitl velmi daleko \u201eod pen\u011bz\u201c. Na druhou stranu tento r\u016fst hodnoty SPX zp\u016fsobil, \u017ee se zvedly ceny SPX Call Credit Vertical Bear Spreadu -2740\/+2750, proto\u017ee se jeho strike p\u0159ibl\u00ed\u017eily \u201ek pen\u011bz\u016fm\u201c. Hodnoty t\u011bchto op\u010dn\u00edch kombinac\u00ed je mo\u017en\u00e9 vypozorovat na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Vyhodnocen\u00edm t\u00e9to situace jsem p\u0159ikro\u010dil k\u00a0vystoupen\u00ed z\u00a0obchodu s\u00a0t\u00edm, \u017ee si vezmu profit, kter\u00fd se mi nab\u00edz\u00ed. Co zejm\u00e9na vedlo k\u00a0m\u00e9mu rozhodnut\u00ed:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> S\u00a0p\u0159ihl\u00e9dnut\u00edm k Ask\/Bid spreadu bych mohl vystoupit z\u00a0obchodu s\u00a0profitem +\/-700 USD<\/strong>. Pokud bych cht\u011bl tento profit dos\u00e1hnout za p\u0159edpokladu, \u017ee nech\u00e1m cenu proj\u00edt strike m\u00fdch Call opc\u00ed (\u010demu\u017e dosavadn\u00ed v\u00fdvoj nasv\u011bd\u010duje), tak nov\u00fd Break Even na VX futures spreadu by m\u011bl b\u00fdt +0.264 bodu (p\u016fvodn\u00ed) + 700 USD (cht\u011bn\u00fd profit) = +0.964 bodu<\/strong>. Toto je velmi optimistick\u00fd p\u0159edpoklad vzhledem k\u00a0tomu, \u017ee do expirace opc\u00ed a bli\u017e\u0161\u00edho VX futures zb\u00fdv\u00e1 t\u0159in\u00e1ct dn\u016f, takovou cenu by patrn\u011b nemusel m\u016fj dr\u017een\u00fd VX futures spreadu dos\u00e1hnout, pro za vhodn\u011bj\u0161\u00ed \u0159e\u0161en\u00ed pova\u017euji si vz\u00edt tento mo\u017en\u00fd profit ji\u017e nyn\u00ed.<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Z\u00edtra (v p\u00e1tek 9.3.2018) se zve\u0159ej\u0148uj\u00ed data o v\u00fdvoji nezam\u011bstnanosti v\u00a0USA, co\u017e je velmi siln\u00e1 fundament\u00e1ln\u00ed zpr\u00e1va<\/strong> s\u00a0nejist\u00fdm dopadem na trhy. P\u0159i takto vysok\u00e9m n\u00e1r\u016fstu ceny SPX by mohlo doj\u00edt nap\u0159\u00edklad k\u00a0mal\u00e9 korekci za doprovodn\u00e9ho poklesu volatility nebo naopak k\u00a0n\u00e1r\u016fstu za doprovodn\u00e9ho sn\u00ed\u017een\u00ed volatility, co\u017e by mohlo m\u00edt na celou mou pozici n\u011bjak\u00fd vliv.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Rozhodnut\u00ed ukon\u010dit celou pozici jsem tedy realizoval. Shrnut\u00ed v\u00fdstupn\u00edch operac\u00ed s\u00a0celkovou bilanc\u00ed t\u00fddenn\u00edho obchodu je patrn\u00e9 z\u00a0TradeLog platformy TWS.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee jsem na VX spreadov\u00e9 pozici Short VXH18\/Long VXJ18<\/strong> utr\u017eil \u010dist\u00fd profit +1530.76 USD<\/strong><\/span> (hn\u011bd\u00e1 linka). SPX Put Debit Vertical Bear Spread +2650\/-2640<\/strong>, kter\u00fd jsem koupil za -355 USD, jsem dnes prodal za +95 USD, abych na n\u011bm m\u011bl ztr\u00e1tu (s poplatky) -266.51 USD<\/strong><\/span> (zelen\u00e1 linka). Za dva SPX Call Credit Vertical Bear Spready -2740\/+2750<\/strong> jsem p\u0159i jeho v\u00fdpisu obdr\u017eel celkem +420 USD, tyto jsem dnes vykoupil zp\u011bt za -1030 USD, celkov\u011b tento Call spread pro m\u011b znamenal (s poplatky) v\u00fddaje -620.62 USD<\/strong><\/span> (\u010derven\u00e1 linka). Cel\u00fd v\u00fdsledek<\/strong> je pak +1530,76 USD (VX spread) – -266,51 USD (Put) \u2013 620,62 USD (Call) = +643,63 USD profit<\/strong>. Komplexn\u00ed pozice tak splnila o\u010dek\u00e1v\u00e1n\u00ed, VX futures spread vyd\u011blal<\/strong>, zaji\u0161t\u011bn\u00ed prod\u011blalo<\/strong>, prod\u011blek na zaji\u0161t\u011bn\u00ed v\u0161ak byl zna\u010dn\u011b men\u0161\u00ed ne\u017e v\u00fdd\u011blek na zaji\u0161\u0165ovan\u00e9 pozici.\u00a0<\/span><\/span><\/span><\/p>\n

\u00a0\u00a0 Na t\u00fddenn\u00ed dr\u017een\u00ed pozice to v\u016fbec nen\u00ed \u0161patn\u00e9 a s\u00a0v\u00fdsledkem jsem proto velmi spokojen. Mohl jsem samoz\u0159ejm\u011b vy\u010dkat, jak se bude situace vyv\u00edjet n\u00e1sledn\u011b, ale proto\u017ee do budoucnosti opravdu nevid\u00edm, je to pro m\u011b slu\u0161n\u00e9 zhodnocen\u00ed v\u00a0danou chv\u00edli a v\u00a0dan\u00e9 situaci. O vystoupen\u00ed z\u00a0pozice m\u011b p\u0159esv\u011bd\u010dil pr\u00e1v\u011b siln\u00fd\u00a0 a zejm\u00e9na rychl\u00fd uptrend ke strike Call opc\u00ed a bl\u00ed\u017e\u00edc\u00ed se siln\u00fd fundament. Pokud jsem v\u00a0\u010dl\u00e1nku psal o absenci pocitu z\u00a0moment\u00e1ln\u00edho kontextu trh\u016f p\u0159i historick\u00fdch anal\u00fdz\u00e1ch na historick\u00fdch datech, pak je to pr\u00e1v\u011b tento okam\u017eik :c). \u00a0\u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0Trading je p\u0159esn\u011b takov\u00fd, jak\u00fd si jej ud\u011bl\u00e1m. V\u0161echno je v\u00a0n\u011bm z\u00e1visl\u00e9 na m\u00e9 volb\u011b a m\u00fdch preferenc\u00edch. Pokud s\u00e1m p\u0159ij\u00edm\u00e1m rozhodnut\u00ed pro vstupov\u00e1n\u00ed do obchod\u016f, tak tak\u00e9 s\u00e1m sob\u011b odpov\u00edd\u00e1m za v\u00fdsledky t\u011bchto rozhodnut\u00ed v\u00a0podob\u011b zisk\u016f a ztr\u00e1t. Obchoduje se pro pen\u00edze, proto m\u016f\u017ee zn\u00edt kuri\u00f3zn\u011b proklamace, \u017ee Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1537,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[37],"tags":[40,42],"class_list":["post-1522","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vx-futures","tag-vx-spread"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2018\/03\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-oy","jetpack-related-posts":[{"id":1301,"url":"https:\/\/dobretrejdy.com\/?p=1301","url_meta":{"origin":1522,"position":0},"title":"VX Futures \u2013 Volatility Spread \u2013 II.","author":"dobretrejdy :c)","date":"8.1.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00edm, co jsou VX futures a v\u00edm, \u010demu se \u0159\u00edk\u00e1 jejich Spread, nav\u00edc m\u00e1m mo\u017enost z\u00edskat zdarma vhodn\u00e1 data. To by mohl b\u00fdt dobr\u00fd za\u010d\u00e1tek pro bli\u017e\u0161\u00ed n\u00e1hled na mo\u017en\u00e9 spreadov\u00e9 obchodov\u00e1n\u00ed. V\u00a0minul\u00e9m \u010dl\u00e1nku jsem tak\u00e9 popisoval p\u0159ijatou metodu, kterou budu cht\u00edt spreadov\u00e9 pozice pozorovat, abych mohl vyhodnotit p\u0159\u00edpadn\u00e9\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":1522,"position":1},"title":"VX Futures","author":"dobretrejdy :c)","date":"28.11.2017","format":false,"excerpt":"\u00a0 \u00a0VX futures je kr\u00e1lem mezi deriv\u00e1ty volatility. Je nejv\u00fdznamn\u011bj\u0161\u00ed odvozeninou VIX Indexu a p\u0159edstavuje nejjednodu\u0161\u0161\u00ed formu, jak VIX Index v\u00a0praxi obchodovat. Tento deriv\u00e1t je mo\u017en\u00e9 obchodovat na CFE (Chicago Futures Exchange) pat\u0159\u00edc\u00ed pod k\u0159\u00eddla CBOE. Pokud tedy chcete m\u00edt k\u00a0dispozici aktu\u00e1ln\u00ed nezpo\u017ed\u011bn\u00e1 \u017eiv\u00e1 data t\u011bchto futures kontrakt\u016f, nezb\u00fdv\u00e1 ne\u017e\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1345,"url":"https:\/\/dobretrejdy.com\/?p=1345","url_meta":{"origin":1522,"position":2},"title":"VX Futures – Volatility Spread – III.","author":"dobretrejdy :c)","date":"24.1.2018","format":false,"excerpt":"\u00a0\u00a0 Podstatou minul\u00e9ho \u010dl\u00e1nku bylo prezentovat, jakou m\u00e1m mo\u017enost obchodov\u00e1n\u00ed poruchy \u010dasov\u00e9 struktury VX futures. Poruchou tak bylo my\u0161lena zm\u011bna \u010dasov\u00e9 struktury Contango, kdy jednotliv\u00e9 vzd\u00e1len\u011bj\u0161\u00ed VX futures jsou dra\u017e\u0161\u00ed ne\u017e bli\u017e\u0161\u00ed VX futures, do konstelace Backwardation, kdy bli\u017e\u0161\u00ed VX futures jsou dra\u017e\u0161\u00ed ne\u017e VX futures vzd\u00e1len\u011bj\u0161\u00ed. Takov\u00e1 zm\u011bna struktury\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1173,"url":"https:\/\/dobretrejdy.com\/?p=1173","url_meta":{"origin":1522,"position":3},"title":"VIX Opce","author":"dobretrejdy :c)","date":"9.12.2017","format":false,"excerpt":"\u00a0\u00a0 Kde jsou futures, tam jsou tak\u00e9 opce. Velmi zjednodu\u0161en\u00e1 p\u0159edstava o existenci listovan\u00fdch op\u010dn\u00edch kontrakt\u016f na podkladov\u00e1 aktiva jin\u00e1 ne\u017e nap\u0159\u00edklad akcie. Nejinak je tomu u deriv\u00e1t\u016f volatility. Vedle\u00a0obchodov\u00e1n\u00ed VX futures je mo\u017en\u00e9 obchodovat s\u00a0VIX opcemi. P\u0159ibl\u00ed\u017een\u00ed alespo\u0148 z\u00e1kladn\u00edch vlastnost\u00ed t\u011bchto op\u010dn\u00edch kontrakt\u016f bude obsahem tohoto \u010dl\u00e1nku. \u00a0\u00a0 P\u0159esto\u017ee\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1253,"url":"https:\/\/dobretrejdy.com\/?p=1253","url_meta":{"origin":1522,"position":4},"title":"VX Futures – Volatility Spread – I.","author":"dobretrejdy :c)","date":"2.1.2018","format":false,"excerpt":"\u00a0 \u201e\u2026Spread your little wings and fly away\u2026\u201c zp\u00edval nesmrteln\u00fd Freddie Mercury v\u00a0legend\u00e1rn\u00edm songu a netu\u0161il, \u017ee by jeho pokyn mohl b\u00fdt inspiruj\u00edc\u00ed nejen pro zamindr\u00e1kovan\u00e9 nemehlo, ale tak\u00e9 pro obchodn\u00edky s futures kontrakty. Obchodov\u00e1n\u00ed jak\u00fdchkoliv spread\u016f je obrovsk\u00e9 obchodn\u00ed t\u00e9ma, ve kter\u00e9m si ka\u017ed\u00fd m\u016f\u017ee naj\u00edt tu svou spr\u00e1vnou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":1522,"position":5},"title":"VIX Index se obchoduje?","author":"dobretrejdy :c)","date":"19.11.2017","format":false,"excerpt":"\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat. Tato jednoduch\u00e1 v\u011bta je p\u0159\u00ed\u010dinou \u00fadivu mnoha op\u010dn\u00edch (i jin\u00fdch) obchodn\u00edk\u016f a v\u011bt\u0161inou bezpe\u010dn\u011b vyvol\u00e1 obs\u00e1hlou polemiku. V\u00a0t\u00e9to jednoduch\u00e9 v\u011bt\u011b se tak\u00e9 skr\u00fdv\u00e1 mnoho obchodn\u00edch ne\u00fasp\u011bch\u016f pramen\u00edc\u00edch z\u00a0neznalosti fungov\u00e1n\u00ed tohoto n\u00e1stroje. V\u00a0\u010dl\u00e1nku VIX Index \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1522","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1522"}],"version-history":[{"count":11,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1522\/revisions"}],"predecessor-version":[{"id":7512,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1522\/revisions\/7512"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1537"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1522"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1522"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1522"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}