{"id":2329,"date":"2018-08-19T08:45:48","date_gmt":"2018-08-19T06:45:48","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=2329"},"modified":"2022-10-15T18:44:21","modified_gmt":"2022-10-15T16:44:21","slug":"synteticke-pozice-ii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=2329","title":{"rendered":"Syntetick\u00e9 pozice – II."},"content":{"rendered":"

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> \u00a0jsem se pokou\u0161el zobrazit vztah mezi cenami opc\u00ed na stejn\u00e9m strike a z\u00a0t\u011bchto vztah\u016f pak vydolovat jejich praktick\u00e9 vyu\u017eit\u00ed s\u00a0n\u00e1znaky obchodovatelnosti mo\u017en\u00fdch diferenc\u00ed a nesoulad\u016f v\u00a0definovan\u00fdch vztaz\u00edch. V\u0161e jsem pot\u00e9 demonstroval na op\u010dn\u00edm \u0159et\u011bzci akcie AAPL, kdy\u017e z poznan\u00e9ho vztahu mezi cenami opc\u00ed na stejn\u00e9m strike a hodnoty podkladov\u00e9ho aktiva (akcie AAPL) se vykrystalizoval vzorec Call\/Put op\u010dn\u00ed Parity<\/strong> definovan\u00fd n\u00ed\u017ee.<\/span><\/p>\n

Call<\/span> + Cena strike = Put<\/span> + Cena akcie<\/strong><\/span><\/h1>\n

\u00a0 <\/strong>Z\u00a0tohoto vztahu pak vypl\u00fdv\u00e1 zjednodu\u0161en\u00ed, a to bylo demonstrov\u00e1no na pr\u016fb\u011bhu diagramu z\u00e1vislosti velikosti zisku a ztr\u00e1ty na pohybu podkladov\u00e9 akcie, \u017ee dr\u017een\u00ed 100x Long akci\u00ed<\/strong> pe\u010dliv\u011b zaji\u0161t\u011bn\u00e9 Long Put<\/strong> opc\u00ed je identick\u00e1 pozice<\/strong>, jako po\u0159\u00edzen\u00ed Long Call<\/strong> \u010dist\u011b op\u010dn\u00edm obchodn\u00edkem na stejn\u00e9m strike<\/strong>\u00a0na jak\u00e9m je po\u0159\u00edzena ochrann\u00e1 Long Put opatrn\u00e9ho akcion\u00e1\u0159e. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Jednoduch\u00e1 rovnice Call\/Put Parity se ale t\u00fdkala opc\u00ed, kter\u00e9 za dobu sv\u00e9ho \u017eivota nevypl\u00e1cej\u00ed Dividendu. Proto\u017ee v\u00fdplata Dividendy<\/strong> je v\u00fdznamnou ud\u00e1lost\u00ed a u titul\u016f, kter\u00e9 je vypl\u00e1cej\u00ed je nejb\u011b\u017en\u011bj\u0161\u00ed frekvence jejich v\u00fdplaty \u010dtvrtletn\u00ed perioda, je zapot\u0159eb\u00ed hodnotu Dividendy do vzorce Call\/Put Parity zapo\u010d\u00edtat a po\u010d\u00edtat s\u00a0jej\u00ed hodnotou p\u0159i vytv\u00e1\u0159en\u00ed nejr\u016fzn\u011bj\u0161\u00edch syntetick\u00fdch pozic. Pokud bych se toti\u017e pod\u00edval na v\u00fd\u0161e uvedenou rovnici Call\/Put Parity a p\u0159edpokl\u00e1dal, \u017ee v\u00a0pr\u016fb\u011bhu \u017eivota op\u010dn\u00edch kontrakt\u016f vstupuj\u00edc\u00edch do vzorce by s\u00a0dr\u017een\u00edm Long akci\u00ed (na prav\u00e9 stran\u011b vzorce) souviselo pr\u00e1vo na v\u00fdplatu Dividendy, vznikla by o hodnotu vypl\u00e1cen\u00e9 Dividendy disparita, tedy cenov\u00e1 nerovnost vytv\u00e1\u0159ej\u00edc\u00ed nerovnov\u00e1\u017en\u00fd stav ve vypozorovan\u00e9m vztahu Call a Put opc\u00ed na stejn\u00e9m strike. O\u00a0tomto \u201emal\u00e9m detailu\u201c pak bude tento \u010dl\u00e1nek.<\/span><\/p>\n

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Fikce s Facebook<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Na obr\u00e1zku n\u00ed\u017ee je uveden op\u010dn\u00ed \u0159et\u011bzec akcie FB s\u00a0expirac\u00ed za sedm dn\u016f, u kter\u00e9ho si mohu modelov\u011b p\u0159edstavit, \u017ee \u201ese zapomn\u011blo\u201c, <\/strong>\u017ee tato akcie vypl\u00e1c\u00ed\u00a0Dividendy ve v\u00fd\u0161i 1 USD\/akcii<\/strong> (100 USD\/100 akci\u00ed).<\/span><\/p>\n

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\u00a0\u00a0 Kontrolou, jestli funguje vzorec pro Call\/Put Paritu zji\u0161\u0165uji, \u017ee vyzna\u010den\u00e1 Long Call 175 + Strike<\/strong> m\u00e1 hodnotu 0.23 + 175 = 175.23<\/strong>, tolik by \u010dinila lev\u00e1 strana rovnice <\/strong>pro Call\/Put Paritu<\/strong>. P\u0159i cen\u011b akcie FB na \u00farovni 172.76 USD, za kter\u00e9 bych je mohl v\u00a0dan\u00e9m okam\u017eiku nakoupit a zajistit Long Put opc\u00ed na stejn\u00e9m strike 175 nab\u00edzej\u00edc\u00ed se za 2.54, bych mohl spo\u010d\u00edtat pravou strany rovnice<\/strong> Call\/Put Parity, jako Put + Cena akcie<\/strong> s\u00a0hodnotou 2.54 + 172.76 = 175.30<\/strong>. 175.23 (lev\u00e1 strana) se t\u00e9m\u011b\u0159 rovn\u00e1 stran\u011b prav\u00e9 175.30, rozd\u00edl je pouh\u00fdch +\/-7 USD, co\u017e je nev\u00fdznamn\u00fd rozd\u00edl, pokud bych cht\u011bl dra\u017e\u0161\u00ed pravou stranu prodat (Short akcie a Short Put 175) a nakoupit levn\u011bj\u0161\u00ed levou stranu (Long Call), uveden\u00fd rozd\u00edl by byl nav\u00edc smaz\u00e1n cenou Bid pro Short Put 175 na prav\u00e9 stran\u011b (2.39) a Bid pro Short akcie (172.73) a cel\u00e1 konstrukce by tak pozb\u00fdvala smysl ve smyslu minul\u00e9ho \u010dl\u00e1nku. Nepozb\u00fdvala by ale smyslu, pokud bych zjistil, \u017ee do ceny opc\u00ed nejsou zakomponov\u00e1ny Dividendy ve v\u00fd\u0161i 100 USD, kter\u00e9 jsou spjat\u00e9 s\u00a0dr\u017een\u00edm 100x Long akci\u00ed a pro jejich v\u00fdplatu je rozhodn\u00fd den (Ex-Dividend Day) v\u00a0\u00fater\u00fd, p\u0159ed p\u00e1te\u010dn\u00ed expirac\u00ed opc\u00ed, se kter\u00fdmi nyn\u00ed pracuji. Mohl bych si pak dovolit vyu\u017e\u00edt vzorce pro Call\/Put Paritu a vstoupit do klasick\u00e9 Conversion Short Call 175 = Long Put 175 + Long Akcie<\/strong> se ztr\u00e1tou.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0m\u00e9m p\u0159\u00edpad\u011b bych za Short Call 175<\/strong> obdr\u017eel +20 USD<\/strong>, za Long Put 175<\/strong> bych vydal -254 USD<\/strong> a za n\u00e1kup 100x Long akci\u00ed<\/strong> p\u0159i cen\u011b Ask 172.76 USD bych vydal -17.276 USD<\/strong>. Celkov\u011b bych utratil -17.510 USD<\/strong>. M\u011bl bych zaru\u010deno, \u017ee p\u0159i expiraci opc\u00ed v\u00a0p\u00e1tek budu bu\u010f p\u0159i\u0159azen na Short Call 175 nebo uplatn\u011bn na Long Put 175 a v\u00fdsledkem n\u011bkter\u00e9 z\u00a0t\u011bchto dvou operac\u00ed bych v\u017edy p\u0159i\u0161el o nakoupen\u00e9 akcie za strike m\u00fdch opc\u00ed, tedy za 175 USD\/kus a utr\u017eil za takov\u00fd prodej +17.500 USD<\/strong>, znamenalo by to tak p\u0159i n\u00e1kladech -17.510 USD jasnou ztr\u00e1tu –10 USD<\/strong>. Toto by m\u011b ale v\u016fbec netr\u00e1pilo, proto\u017ee bych inkasoval Dividendy<\/strong> ve v\u00fd\u0161i +85 USD<\/strong> (100 USD \u2013 15% da\u0148), vypl\u00fdvaj\u00edc\u00ed z\u00a0\u00fatern\u00edho dr\u017een\u00ed Long akci\u00ed na m\u00e9m \u00fa\u010dtu je\u0161t\u011b p\u0159ed expirac\u00ed opc\u00ed m\u00e9 Conversion a celkov\u00fd profit by pak \u010dinil (-10 USD +85 USD) = +75 USD<\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 Pokud by se tedy ceny Dividend do cen opc\u00ed nijak neprom\u00edtaly, bylo by to skv\u011bl\u00e1 obchodn\u00ed p\u0159\u00edle\u017eitost. Jako prohnan\u00fd op\u010dn\u00ed trader bych vyu\u017eil poznatk\u016f ze vzorce Call\/Put Parity a obezn\u00e1men z\u00a0\u00fatern\u00ed v\u00fdplatou Dividendy, bych pak v\u017edy po\u0159izoval na Close dne p\u0159edch\u00e1zej\u00edc\u00edho Ex-Dividend Day (u Facebooku nap\u0159\u00edklad v pond\u011bl\u00ed) pouze Long akcie zaji\u0161t\u011bn\u00e9 hluboce ITM Long Put, nap\u0159\u00edklad jako na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0 \u00a0P\u0159i m\u00e9 fikci se „zapomenut\u00fdmi Dividendami“ u FB, bych na pond\u011bln\u00edm Close mohl pozorovat, \u017ee na hluboce ITM strike 180 by se dala nakoupit Long Put 180<\/strong> za -735 USD<\/strong> a sou\u010dasn\u011b 100x Long akcie FB<\/strong> za 172.76 USD\/kus<\/strong>. Celkov\u011b bych tak t\u011bsn\u011b p\u0159ed pond\u011bln\u00edm Close investoval -18.011 USD<\/strong>. Vytvo\u0159il bych Syntetickou Long Call 180 opci,<\/strong> levou stranu rovnice Call\/Put Parity pomoc\u00ed strany prav\u00e9, tedy akci\u00ed a Long Put opce. Proto\u017ee pro v\u00fdplatu Dividendy je rozhodn\u00fd okam\u017eik dr\u017een\u00ed Long akci\u00ed p\u0159i Open na Ex-Dividend Day, tedy v\u00a0m\u00e9m p\u0159\u00edpad\u011b \u00fatern\u00ed Open, ihned po otev\u0159en\u00ed trh\u016f bych provedl Exercise m\u00e9 Long Put 180 opce, kter\u00e1 m\u011b oprav\u0148uje k\u00a0prodeji m\u00fdch Long akci\u00ed za cenu strike, tedy za 180 USD\/kus. Na sv\u016fj \u00fa\u010det bych za tento prodej inkasoval +18.000 USD s t\u00edm, \u017ee by zmizely z\u00a0m\u00e9ho \u00fa\u010dtu v\u0161echny pozice (Long Put opce a akcie), v\u00fdsledkem by byla ztr\u00e1ta z\u00a0pozice ve v\u00fd\u0161i (-18.011 + 18.000) = -11 USD<\/span><\/strong>, ale profitoval bych z\u00a0Dividend +85 USD<\/span><\/strong> (100 USD \u2013 15% da\u0148), celkov\u011b tedy bych profitoval +74 USD<\/strong><\/span>. To by nebylo v\u016fbec \u0161patn\u00e9 na n\u011bkolikaminutovou expozici v\u00a0trz\u00edch (n\u011bkolik minut p\u0159i pond\u011bln\u00edm Close a n\u011bjak\u00e1 minuta p\u0159i \u00fatern\u00ed Open).\u00a0<\/span><\/p>\n

\u00a0\u00a0 Trading ale nen\u00ed argentinsk\u00e1 telenovela a na to, \u017ee by \u201en\u011bkdo zapomn\u011bl\u201c do cen opc\u00ed zakomponovat hodnotu Dividendu a nechal na trz\u00edch voln\u011b se povalovat ohromn\u00e9 mno\u017estv\u00ed takto \u201elehce sebrateln\u00fdch\u201c pen\u011bz mohu ihned zapomenout. Akcie FB bohu\u017eel \u017e\u00e1dnou Dividendu nevypl\u00e1cej\u00ed a p\u0159edchoz\u00ed \u0159\u00e1dky bych mohl za\u0159adit mezi tradersk\u00e9 sci-fi.<\/span><\/p>\n

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\u00a0 Realita s MMM<\/span><\/strong><\/h1>\n

\u00a0 \u00a0Pokud tedy plat\u00ed vzorec pro Call\/Put Paritu a s\u00a0Long akciemi je spojena v\u00fdplata Dividendy, mus\u00ed b\u00fdt pro jej\u00ed vyv\u00e1\u017een\u00ed p\u0159id\u00e1na hodnota Dividendy na levou stranu rovnice<\/strong>, tato by pak m\u011bla tento tvar<\/span><\/p>\n

Call<\/strong><\/span> + Strike + Dividenda<\/span> = Put<\/span> + Akcie<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Proto\u017ee na prav\u00e9 stran\u011b jsou Dividendy obsa\u017eeny jako pr\u00e1vo spojen\u00e9 s\u00a0dr\u017een\u00edm Long akci\u00ed za \u017eivota opc\u00ed vstupuj\u00edc\u00edch do vzorce (pokud je po\u0159\u00edd\u00edm – Dividendu obdr\u017e\u00edm), mus\u00edm je pro zachov\u00e1n\u00ed rovnov\u00e1hy \u201ep\u0159ihodit\u201c na levou stranu. K\u00a0tomu, abych se pak dop\u00e1tral spr\u00e1vn\u00e9ho stanoven\u00ed ceny opc\u00ed Call a Put v\u00a0p\u0159\u00edpad\u011b, \u017ee za jejich \u017eivota se vypl\u00e1c\u00ed Dividendy, mi poslou\u017e\u00ed nejjednodu\u0161\u0161\u00ed algebra, kter\u00e1 pouze upravuje vzorec Call\/Put Parity \u201eobohacen\u00fd\u201c o Dividendy v\u00fd\u0161e.<\/span><\/p>\n

Call<\/span> = Put<\/span> + Akcie – Strike – Dividenda<\/span><\/span><\/strong><\/h1>\n

Put<\/span> = Call<\/span> + Strike + Dividenda<\/span> \u2013 Akcie<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Jak by tedy vypadal spr\u00e1vn\u00fd op\u010dn\u00ed \u0159et\u011bzec v p\u0159\u00edpad\u011b, \u017ee by se na zakomponov\u00e1n\u00ed Dividendy nezapomn\u011blo a tyto se opravdu za \u017eivota opc\u00ed vypl\u00e1cely. Na obr\u00e1zku n\u00ed\u017ee je op\u010dn\u00ed \u0159et\u011bzec akciov\u00e9ho titulu MMM<\/strong> s\u00a0expirac\u00ed za sedm dn\u00ed<\/strong>, kdy\u017e \u010dtvrtek<\/strong> p\u0159ed p\u00e1te\u010dn\u00ed expirac\u00ed je stanoven jako Ex-Dividend Day<\/strong> pro vypl\u00e1cenou Dividendu ve v\u00fd\u0161i 1.36 USD\/akcii<\/strong>, tedy 136 USD za 100 akci\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Prozkoum\u00e1m nejd\u0159\u00edve, jestli plat\u00ed klasick\u00fd vzorec Call\/Put Parity<\/strong>, tedy\u00a0 Call + Strike<\/strong> = Put + Akcie<\/strong>, na strike 205 by pak m\u011bla hodnotu lev\u00e1 \u010d\u00e1st vzorce (Call+Strike) 0.73 + 205 = 205.73<\/strong>. Prav\u00e1 strana vzorce (Put+Akcie) by m\u011bla hodnotu 3.90 + 203.05 = 206.95<\/strong>. Prav\u00e1 strana rovnice je tak o (206.95 \u2013 205.73) neuv\u011b\u0159iteln\u00fdch +1.22 bodu dra\u017e\u0161\u00ed<\/strong> (+122 USD). Vysv\u011btlen\u00ed je samoz\u0159ejm\u011b jednoduch\u00e9, po zakomponov\u00e1n\u00ed Dividendy do vzorce Call\/Put Parity a jednoduch\u00e9 algebraick\u00e9 \u00faprav\u011b pro v\u00fdpo\u010det opc\u00ed v\u00fd\u0161e \u00a0(Put = Call + Strike + Dividenda \u2013 Akcie) je jasn\u00e9, \u017ee prav\u00e1 strana vzorce je \u201enafouklej\u0161\u00ed\u201c pr\u00e1v\u011b o hodnotu Dividendy, kter\u00e1 \u010din\u00ed +136 USD na sto akci\u00ed, po 15% zdan\u011bn\u00ed pak \u010din\u00ed +115.60 USD. Jednodu\u0161e to pak znamen\u00e1, \u017ee dr\u017een\u00ed 100x Long akci\u00ed by p\u0159edstavovalo sice dodate\u010dn\u00fd p\u0159\u00edjem +115.60 USD na m\u016fj \u00fa\u010det, ale celkov\u00e9 po\u0159\u00edzen\u00ed podle vzorce Call\/Put Parity by p\u0159edstavovalo -122 USD n\u00e1klad\u016f nav\u00edc, p\u0159esto\u017ee bych tedy p\u0159ijal Dividendu, ztratil bych na po\u0159\u00edzen\u00ed komplexn\u00ed pozice, celkov\u011b bych prod\u011bl\u00e1val v\u00edce ne\u017e \u0161est dolar\u016f.<\/span><\/p>\n

\u00a0\u00a0 Rovn\u011b\u017e, pokud bych cht\u011bl op\u011bt, jako prohnan\u00fd op\u010dn\u00ed trader, vytvo\u0159it pouze\u00a0Syntetickou Long Call 205<\/strong> a po\u0159\u00eddit 100x Long akcie<\/strong> a zajistit je Long Put<\/strong> na strike 205<\/strong>, dopadlo by to jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

\"\"\u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 P\u0159i cen\u011b akci\u00ed MMM<\/strong> na \u00farovni 203.05<\/strong> bych na 100 Long akci\u00ed vynalo\u017eil -20.305 USD<\/strong> a ochrannou\u00a0Long Put 205<\/strong> bych m\u011bl mo\u017enost po\u0159\u00eddit za -390 USD<\/strong>, celkov\u011b bych investoval -20.695 USD<\/strong>. Pokud bych po \u010dtvrte\u010dn\u00edm Open (Ex-Dividend Day) provedl Exercise<\/strong> m\u00e9 Long Put 205, prodal bych sv\u00e9 akcie za +20.500 USD<\/strong> a prod\u011blek na opci a akci\u00edch by byl (-20.695 + 20.500) = -165 USD<\/strong>. \u010cist\u00e1 p\u0159ijat\u00e1 Dividenda ve v\u00fd\u0161i zdan\u011bn\u00fdch +115.60 USD<\/strong> by ztr\u00e1tu redukovala na kone\u010dn\u00fdch -49.40 USD<\/span><\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Pen\u00edze se na trz\u00edch opravdu voln\u011b nepovaluj\u00ed. Mo\u017enou transakci s\u00a0konstrukc\u00ed v\u00fdd\u011ble\u010dn\u00e9 Syntetick\u00e9 Long Call (po\u0159\u00edzen\u00ed ITM Long Put a 100 akci\u00ed) a jej\u00ed okam\u017eit\u00e9 Exercise (pro rychl\u00e9 z\u00edsk\u00e1n\u00ed Dividendy) si samoz\u0159ejm\u011b velmi dob\u0159e uv\u011bdomuj\u00ed konstrukt\u00e9\u0159i cenov\u00fdch model\u016f, kter\u00e9 generuj\u00ed ceny op\u010dn\u00edch kontrakt\u016f a kter\u00e9 jsou v\u00a0kone\u010dn\u00e9 podob\u011b dotv\u00e1\u0159en\u00e9 tlaky nab\u00eddky a popt\u00e1vky a tak\u00e9 viditeln\u00e9 v\u00a0obchodn\u00edch platform\u00e1ch. Z\u00a0popsan\u00e9 logiky tak\u00e9 vypl\u00fdv\u00e1, \u017ee hodnota cel\u00e9 Dividendy bude zapo\u010d\u00edt\u00e1na do ceny ITM Long Put opc\u00ed, aby byla eliminov\u00e1na mo\u017enost jednoduch\u00e9ho obchodu se Syntetickou Long Call popsanou v\u00fd\u0161e, ceny Long Put opc\u00ed \u201emimo pen\u00edze\u201c ji\u017e takovou hodnotu Dividendy samoz\u0159ejm\u011b zapo\u010d\u00edtanou nemaj\u00ed, proto\u017ee by takov\u00fd obchod postr\u00e1dal logiku, nakoupil bych toti\u017e Long akcie spole\u010dnosti, kter\u00e1 vypl\u00e1c\u00ed Dividendu, dr\u00e1\u017e, ne\u017e je hodnota ni\u017e\u0161\u00edho strike zaji\u0161\u0165uj\u00edc\u00ed Long Put opce a jej\u00edm Exercise bych pak jenom potvrdil dra\u017e\u0161\u00ed n\u00e1kup a vynucen\u00fd levn\u011bj\u0161\u00ed prodej proveden\u00edm t\u00e9to Exercise.<\/span><\/p>\n

\u00a0 Pokud tedy z\u00a0rovnice Call\/Put Parity obohacen\u00e9 o v\u00fdplatu Dividendy v\u00edm, \u017ee Long Put opce obsahuj\u00ed ve sv\u00e9 cen\u011b tuto hodnotu Dividendy (pokud se za \u017eivota op\u010dn\u00edch kontrakt\u016f vypl\u00e1c\u00ed), nebylo by \u0161patn\u00e9 prozkoumat mo\u017enost, jak takovou Dividendu z\u00edskat naopak prodejem<\/strong> takov\u00e9 Put opce<\/strong>. P\u0159esto\u017ee to vypad\u00e1 jednodu\u0161e a elegantn\u011b, dr\u017een\u00ed Long akci\u00ed mi toti\u017e p\u0159ivod\u00ed v\u00fdplatu Dividendy sn\u00ed\u017een\u00e9 o da\u0148 15%, kde\u017eto prodejem ITM Short Put<\/strong> z\u00edsk\u00e1m Dividendu celou<\/strong> plus n\u011bjak\u00e9 dal\u0161\u00ed Pr\u00e9mium<\/strong>, nen\u00ed to zdaleka tak jednoduch\u00e9, jak by se na prvn\u00ed pohled zd\u00e1lo. T\u00edmto obchodn\u00edm probl\u00e9mem jsem ji\u017e zab\u00fdval v\u00a0\u010dl\u00e1nku Dividendy \u2013 VII.<\/a><\/span><\/strong>, nebudu tedy takov\u00e9 p\u0159\u00edstupy v tomto \u010dl\u00e1nku d\u00e1le rozv\u00e1d\u011bt. Cel\u00e1 minis\u00e9rie \u010dl\u00e1nk\u016f o Dividend\u00e1ch<\/a><\/span><\/strong> je pak o obchodn\u00edch p\u0159\u00edstupech op\u010dn\u00edho obchodn\u00edka spojen\u00fdch pr\u00e1v\u011b s\u00a0efektem v\u00fdplaty Dividendy.<\/span><\/p>\n

\u00a0\u00a0 Vliv Dividendy na cenu op\u010dn\u00edho kontraktu se m\u016f\u017ee zd\u00e1t malichernou z\u00e1le\u017eitost\u00ed, kterou se nen\u00ed t\u0159eba zab\u00fdvat. Nen\u00ed to pravda, proto\u017ee hodnota vypl\u00e1cen\u00e9 Dividendy m\u016f\u017ee b\u00fdt dosti podstatn\u00e1 a m\u016f\u017ee m\u00edt na dr\u017een\u00ed op\u010dn\u00edho kontraktu zna\u010dn\u00fd vliv<\/strong>. Mohu si p\u0159edstavit mnoho praktick\u00fdch a v\u0161edn\u00edch obchodn\u00edch situac\u00ed, kdy v\u00fdplata Dividendy m\u00e1 podstatn\u00fd vliv na dr\u017een\u00ed op\u010dn\u00edch kontrakt\u016f. Nap\u0159\u00edklad dr\u017een\u00ed ITM Short Call<\/strong> op\u010dn\u00edho kontraktu v\u00a0obdob\u00ed v\u00fdplaty Dividendy vede v\u00a0drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f k\u00a0p\u0159ed\u010dasn\u00e9mu p\u0159i\u0159azen\u00ed<\/strong> t\u00e9to vypsan\u00e9 opce, jeho\u017e d\u016fsledkem je nejen z\u00edsk\u00e1n\u00ed Short akci\u00ed na m\u00e9m \u00fa\u010dtu, ale tak\u00e9 povinnost Dividendu zaplatit<\/strong>. Dr\u017een\u00ed vypsan\u00e9 Short Put opce<\/strong> v\u00a0p\u0159\u00edpad\u011b, \u017ee cena podkladu bude nar\u016fstat a m\u00e1 Short Put opce se bude nach\u00e1zet \u201ev pen\u011bz\u00edch\u201c a bude to v\u00a0obdob\u00ed v\u00fdplaty Dividendy, tak jej\u00ed cena o tuto hodnotu \u201enaroste\u201c a jej\u00ed p\u0159\u00edpadn\u00e1 likvidace tak bude logicky dra\u017e\u0161\u00ed z\u00e1le\u017eitost\u00ed<\/strong>. V\u00a0neposledn\u00edm p\u0159\u00edpad\u011b pak nap\u0159\u00edklad v\u00fdb\u011br a n\u00e1kup Long Put<\/strong> \u201ev pen\u011bz\u00edch\u201c (nap\u0159\u00edklad pro pot\u0159eby zaji\u0161t\u011bn\u00ed) tak\u00e9 vyjde v\u00a0obdob\u00ed v\u00fdplaty Dividendy dr\u00e1\u017e<\/strong>, ne\u017e kdyby \u017e\u00e1dn\u00e1 hodnota Dividendy do ceny nevstupovala.<\/span><\/p>\n

\u00a0\u00a0 Porozum\u011bn\u00ed vlivu hodnoty Dividendy na tvorbu nejen Syntetick\u00fdch pozic je tak nutn\u00e9 v\u011bnovat alespo\u0148 ur\u010ditou m\u00edru pozornosti, proto\u017ee se m\u016f\u017ee celkem jednodu\u0161e st\u00e1t zna\u010dn\u00fdm cenotvorn\u00fdm prvkem vstupuj\u00edc\u00edm do ceny op\u010dn\u00edho kontraktu, kter\u00fd jsem rozhodnut\u00fd koupit nebo prodat. Je pak dobr\u00e9 tyto souvislosti alespo\u0148 pozorovat a vyhodnocovat, jak\u00fd budou na m\u016fj zam\u00fd\u0161len\u00fd obchod m\u00edt vliv nebo jak se nad\u00e1le m\u016f\u017ee m\u016fj obchod v\u00a0souvislost\u00ed s\u00a0vypl\u00e1cenou Dividendou vlastn\u011b vyvinout :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku \u00a0jsem se pokou\u0161el zobrazit vztah mezi cenami opc\u00ed na stejn\u00e9m strike a z\u00a0t\u011bchto vztah\u016f pak vydolovat jejich praktick\u00e9 vyu\u017eit\u00ed s\u00a0n\u00e1znaky obchodovatelnosti mo\u017en\u00fdch diferenc\u00ed a nesoulad\u016f v\u00a0definovan\u00fdch vztaz\u00edch. V\u0161e jsem pot\u00e9 demonstroval na op\u010dn\u00edm \u0159et\u011bzci akcie AAPL, kdy\u017e z poznan\u00e9ho vztahu mezi cenami opc\u00ed na stejn\u00e9m strike a Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":2337,"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":[4],"tags":[47],"class_list":["post-2329","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-kombinace","tag-synteticke-pozice"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2018\/08\/main-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-Bz","jetpack-related-posts":[{"id":2295,"url":"https:\/\/dobretrejdy.com\/?p=2295","url_meta":{"origin":2329,"position":0},"title":"Syntetick\u00e9 pozice – I.","author":"dobretrejdy :c)","date":"14.8.2018","format":false,"excerpt":"\u00a0 \u00a0Nov\u00fd odd\u00edl m\u00e9ho webu Logika kombinac\u00ed, ve kter\u00e9m bych cht\u011bl v\u00edce uspo\u0159\u00e1dat a p\u0159idat t\u00e9mata navazuj\u00edc\u00ed na d\u0159\u00edve popsan\u00e9 z\u00e1kladn\u00ed op\u010dn\u00ed poznatky (zejm\u00e9na teoretick\u00e9), by m\u011bl znamenat m\u00edrn\u00fd teoretick\u00fd a praktick\u00fd posun v\u00a0rozkr\u00fdv\u00e1n\u00ed dal\u0161\u00edch z\u00e1kladn\u00edch obchodn\u00edch souvislost\u00ed. Pochopen\u00ed \u00fapln\u00fdch z\u00e1klad\u016f op\u010dn\u00ed problematiky a tradingu obecn\u011b, porozum\u011bn\u00ed tvorby ceny op\u010dn\u00edho\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/08\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/08\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/08\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/08\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2380,"url":"https:\/\/dobretrejdy.com\/?p=2380","url_meta":{"origin":2329,"position":1},"title":"Syntetick\u00e9 pozice \u2013 IV.","author":"dobretrejdy :c)","date":"9.9.2018","format":false,"excerpt":"\u00a0\u00a0 Vytv\u00e1\u0159en\u00edm \u201eum\u011bl\u00fdch\u201c Syntetick\u00fdch Long op\u010dn\u00edch pozic jsem se zab\u00fdval v\u00a0minul\u00e9m \u010dl\u00e1nku, kdy\u017e principi\u00e1ln\u011b jsem vych\u00e1zel z\u00a0rovnice pro Call\/Put Paritu cen op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike, kterou jsem se sna\u017eil oz\u0159ejmit v\u00a0\u010dl\u00e1nku zahajuj\u00edc\u00edm minis\u00e9rii o syntetick\u00fdch pozic\u00edch. Smyslem p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku pak bylo na jednoduch\u00fdch p\u0159\u00edkladech uk\u00e1zat, jak lze p\u0159i dr\u017een\u00ed\u00a0jednoho\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2423,"url":"https:\/\/dobretrejdy.com\/?p=2423","url_meta":{"origin":2329,"position":2},"title":"Syntetick\u00e9 pozice – V.","author":"dobretrejdy :c)","date":"24.9.2018","format":false,"excerpt":"\u00a0 \u00a0Vyu\u017eit\u00ed rovnice Call\/Put Parity o vztahu cen op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike vygenerovalo mo\u017enosti, jak libovoln\u011b p\u0159ech\u00e1zet z\u00a0jednoho typu op\u010dn\u00ed pozice do opa\u010dn\u00e9 a \u010dinit tak pokud mo\u017eno efektivn\u011b, toto bylo p\u0159edm\u011btem minul\u00fdch \u010dl\u00e1nk\u016f. Jestli je to v\u00a0danou chv\u00edli v\u00fdhodn\u00e9 je odvisl\u00e9 od aktu\u00e1ln\u00ed tr\u017en\u00ed situace vzhledem k\u00a0aktu\u00e1ln\u00ed profitabilit\u011b\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":308,"url":"https:\/\/dobretrejdy.com\/?p=308","url_meta":{"origin":2329,"position":3},"title":"Delta","author":"dobretrejdy :c)","date":"4.5.2017","format":false,"excerpt":"\u00a0 \u00a0Delta je rozd\u00edl. Delta Praha \u2013 Brno je 200 (kilometr\u016f), o tom ale \u010dl\u00e1nek nebude. Bude to o Delta op\u010dn\u00edch kontrakt\u016f. Porozum\u011bn\u00ed Delta je jednou ze z\u00e1kladn\u00edch dovednost\u00ed, kterou by m\u011bl disponovat ka\u017ed\u00fd op\u010dn\u00ed trader. Toto jednoduch\u00e9 \u0159eck\u00e9 p\u00edsmeno ozna\u010duje m\u00edru z\u00e1vislosti ceny opce na pohybu podkladov\u00e9ho aktiva. 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Jednoduchou algebraickou \u00fapravou z\u00e1kladn\u00edch vzorc\u016f pak byly tyto jednoduch\u00e9 vztahy d\u00e1le rozvedeny a v\u00a0tomto \u201erozpl\u00e9t\u00e1n\u00ed\u201c bych cht\u011bl pokra\u010dovat tak\u00e9 v\u00a0tomto \u010dl\u00e1nku. 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