{"id":2563,"date":"2018-11-02T09:44:14","date_gmt":"2018-11-02T07:44:14","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=2563"},"modified":"2022-09-18T08:13:22","modified_gmt":"2022-09-18T06:13:22","slug":"ratio-spread-i","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=2563","title":{"rendered":"Ratio Spread – I."},"content":{"rendered":"

\u00a0 Pozn\u00e1n\u00ed v\u00fdhod a nev\u00fdhod op\u010dn\u00ed kombinace Butterfly<\/strong> a jej\u00ed mo\u017en\u00e9 obchodov\u00e1n\u00ed podle minul\u00fdch \u010dl\u00e1nk\u016f<\/a><\/strong><\/span> m\u016f\u017ee leckomu p\u0159ij\u00edt nez\u00e1bavn\u00e9 a m\u00e1lo ak\u010dn\u00ed, p\u0159esto\u017ee je doprov\u00e1zeno mo\u017enost\u00ed m\u00edt p\u0159edem jasn\u011b definovanou mo\u017enost ztr\u00e1ty k\u00a0mo\u017en\u00e9mu maxim\u00e1ln\u00edmu profitu. Stejn\u00fd pocit pak m\u016f\u017ee nastat p\u0159i obchodov\u00e1n\u00ed Call Bull Spread\u016f<\/strong><\/span><\/a> nebo Put Bear Spread\u016f, kter\u00e9 maj\u00ed stejn\u00e9 vlastnosti p\u0159edem dan\u00e9ho pom\u011bru rizika a ztr\u00e1ty. Je jednodu\u0161e dosti obt\u00ed\u017en\u00e9 p\u0159istoupit na my\u0161lenku, \u017ee nejd\u0159\u00edve mus\u00edm pen\u00edze vydat, abych jich mohl posl\u00e9ze v\u00edce vyd\u011blat, kdy\u017e je na op\u010dn\u00edm trhu mo\u017en\u00e9 prov\u00e1d\u011bt prav\u00fd opak, tedy nejd\u0159\u00edve pen\u00edze p\u0159ij\u00edmat na strategi\u00edch, kter\u00e9 generuj\u00ed na m\u016fj \u00fa\u010det p\u0159ebytek Pr\u00e9mia, p\u0159esto\u017ee se tyto strategie p\u0159ev\u00e1\u017en\u011b vyzna\u010duj\u00ed zna\u010dn\u00fdm nepom\u011brem p\u0159ij\u00edman\u00e9ho risku k\u00a0omezen\u00e9 mo\u017enosti profitu. Vzhledem k\u00a0elasticit\u011b op\u010dn\u00edho obchodov\u00e1n\u00ed, p\u0159i poznan\u00fdch vlastnostech jednotliv\u00fdch typ\u016f op\u010dn\u00edch kontrakt\u016f, si ale mohu vz\u00edt v\u017edy n\u011bco z \u201eobou sv\u011bt\u016f\u201c a vytvo\u0159it tak nejr\u016fzn\u011bj\u0161\u00ed hybridn\u00ed pozice poskl\u00e1dan\u00e9 z\u00a0r\u016fzn\u00fdch typ\u016f opc\u00ed na nejr\u016fzn\u011bj\u0161\u00edch strike a t\u00edm vytv\u00e1\u0159et r\u016fzn\u011b profilovan\u00e9 podoby pom\u011br\u016f risku a profitu. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Utr\u017een\u00ed jednoho z\u00a0k\u0159\u00eddel Butterfly nebo infikov\u00e1n\u00ed Call Bull Spreadu p\u0159ikoupenou Short Call opc\u00ed toho m\u016f\u017ee b\u00fdt jednoduch\u00fdm d\u016fkazem. Jak nau\u010dit takov\u00e9ho invalidn\u00edho mot\u00fdla l\u00e9tat a jak zbavit Call Bull Spread jeho n\u00e1kazy bude n\u00e1pln\u00ed tohoto a n\u00e1sleduj\u00edc\u00edho \u010dl\u00e1nku.<\/span><\/p>\n

\u00a0\u00a0 Po\u0159\u00edzen\u00ed Call Butterfly<\/strong> v\u00a0jeden okam\u017eik, nap\u0159\u00edklad jedn\u00edm obchodn\u00edm p\u0159\u00edkazem, je mo\u017en\u00e9 pouze tak, \u017ee m\u011b to bude st\u00e1t n\u011bjak\u00e9 pen\u00edze. Odm\u011bnou pak je, \u017ee mohu ztratit pouze tyto vynalo\u017een\u00e9 pen\u00edze a p\u0159i n\u011bjak\u00e9 cenov\u00e9 konstelaci u expirace pak mohu vyd\u011blat mnohem v\u00edce, ne\u017e byla pr\u00e1v\u011b p\u016fvodn\u00ed investice. Podstatou nejjednodu\u0161\u0161\u00ed formy Call Ratio Spreadu<\/strong> je pak jednoduch\u00e1 \u00faprava Call Butterfly, spo\u010d\u00edvaj\u00edc\u00ed v tom, \u017ee k\u00a0nakoupen\u00e9 Long Call<\/strong> opci vyp\u00ed\u0161u dv\u011b Short Call<\/strong> na vy\u0161\u0161\u00edch strike a dal\u0161\u00ed Long Call<\/strong> na je\u0161t\u011b vy\u0161\u0161\u00edm strike ji\u017e po\u0159izovat nebudu<\/strong>. Chyb\u011bj\u00edc\u00ed \u201ehorn\u00ed k\u0159\u00eddlo\u201c Butterfly vytvo\u0159\u00ed z\u00a0m\u00e9 pozice jak\u00e9hosi pomysln\u00e9ho mot\u00fdl\u00edho invalidu, kter\u00e9ho si mohu interpretovat jako po\u0159\u00edzen\u00ed jednoho Call Bull Spreadu, ke kter\u00e9mu m\u00e1m je\u0161t\u011b vypsanou nekrytou Short Call opci. Co to vlastn\u011b pro takovou op\u010dn\u00ed pozici znamen\u00e1? Call Ratio Spread<\/strong> m\u00e1 omezenou mo\u017enost profitu<\/strong>, kter\u00e1 je d\u00e1na dolarov\u00fdm rozd\u00edlem strike Call Bull Spreadu (po ode\u010dten\u00ed n\u00e1klad\u016f na po\u0159\u00edzen\u00ed cel\u00e9ho Call Ratio Spreadu) a neomezenou mo\u017enost ztr\u00e1ty<\/strong>, danou existenc\u00ed nekryt\u00e9ho Short Call op\u010dn\u00edho kontraktu.<\/span><\/p>\n

\u00a0\u00a0 Omezen\u00e1 mo\u017enost profitu a neomezen\u00e1 mo\u017enost ztr\u00e1ty nen\u00ed nic, \u010deho bych byl velk\u00fd fanou\u0161ek, mohu ale sv\u00e9 mo\u017en\u00e9 fandovstv\u00ed pos\u00edlit prozkoum\u00e1n\u00edm, jak vlastn\u011b k\u00a0maxim\u00e1ln\u00edmu profitu doch\u00e1z\u00ed a v\u00a0jak\u00e9m p\u0159\u00edpad\u011b utrp\u00edm maxim\u00e1ln\u00ed ztr\u00e1tu a jak\u00e9 mohu m\u00edt nad\u011bje a n\u00e1stroje, kter\u00fdmi budu schopen tyto rizika um\u011bt \u0159\u00eddit nam\u00edsto jin\u00fdch strategi\u00ed, kter\u00e9 jsou na tom s\u00a0profily risku a profitu obdobn\u011b.<\/span><\/p>\n

Margin<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Prvn\u00ed z\u00e1sadn\u00ed nev\u00fdhodou Ratio Spread\u016f, tedy po\u0159\u00edzen\u00ed v\u011bt\u0161\u00edho mno\u017estv\u00ed vypsan\u00fdch opc\u00ed ne\u017e nakoupen\u00fdch, je doprov\u00e1zeno po\u017eadavkem na margin<\/strong>. Pokud budu konkr\u00e9tn\u00ed, tak po\u0159\u00edzen\u00ed Call Ratio Spreadu 1:2, tedy jedenkr\u00e1t Long Call a dvakr\u00e1t Short Call na vy\u0161\u0161\u00edm strike, p\u0159edstavuje blokovan\u00fd margin odpov\u00eddaj\u00edc\u00ed jednomu nekryt\u00e9mu naked Short Call op\u010dn\u00edmu kontraktu. Druh\u00e1 Short Call spole\u010dn\u011b s\u00a0nakoupenou Long Call pak tvo\u0159\u00ed Call Bull Spread, kter\u00fd po\u017eadavek na margin nevytv\u00e1\u0159\u00ed. S\u00a0t\u00edmto mus\u00edm jednodu\u0161e po\u010d\u00edtat, na\u0161t\u011bst\u00ed nen\u00ed po\u017eadavek na margin nijak z\u00e1vratn\u00fd, ale tvo\u0159\u00ed zhruba 20% ceny podkladov\u00e9ho aktiva zv\u00fd\u0161en\u00fd\/sn\u00ed\u017een\u00fd o dolarovou vzd\u00e1lenost strike opce od sou\u010dasn\u00e9 ceny.<\/span><\/p>\n

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\u00a0\u00a0 Prvotn\u00edmi ot\u00e1zkami, kter\u00fdmi se mus\u00edm nutn\u011b zab\u00fdvat p\u0159i vstupov\u00e1n\u00ed do Ratio Spread\u016f, je \u201eKdy do pozice vstoupit?<\/strong>\u201c a \u201eJak do pozice vstoupit?<\/strong>\u201c. Odpov\u011bd\u00ed na druhou ot\u00e1zku je volit takov\u00fd po\u017eadavek na vstup, abych mohl z\u00edskat co nejv\u00edce Pr\u00e9mia (nejl\u00e9pe kredit) a toto \u0159e\u0161en\u00ed pak zakl\u00e1d\u00e1 odpov\u011b\u010f na prvn\u00ed ot\u00e1zku, tedy v\u00a0takovou vhodnou chv\u00edli, kdy se nab\u00edz\u00ed takov\u00e9ho Pr\u00e9mia nejv\u00edce. Kl\u00ed\u010dem k odpov\u011bdi, kdy se tedy nab\u00edz\u00ed Pr\u00e9mia nejv\u00edce, le\u017e\u00ed v hodnot\u00e1ch Implied Volitlity titul\u016f, kter\u00e9 chci zapojit do strategie Ratio Spread.\u00a0<\/span><\/p>\n

Vstup na n\u00edzk\u00e9 Implied Volatilit\u011b<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Pozdn\u00ed srpen zastihl akciov\u00fd titul DIS<\/strong> v\u00a0nev\u00fdrazn\u00e9m pohybu. Po vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f do\u0161lo k\u00a0uklidn\u011bn\u00ed a cena se p\u0159evalovala \u201edo strany\u201c. Implied Volatilita byla na velmi n\u00edzk\u00fdch \u00farovn\u00edch.<\/span><\/p>\n

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\u00a0\u00a0 Za t\u00e9to situace jsem se pokou\u0161el vyhodnotit, jak\u00fdm zp\u016fsobem bych mohl sestavit Call Ratio Spread 1:2<\/strong>. 22.8.2018 jsem p\u0159i cen\u011b akci\u00ed DIS na \u00farovni 111.94 USD<\/strong> mohl pozorovat tyto cenov\u00e9 parametry opc\u00ed do vybran\u00e9ho Call Ratio Spreadu.<\/span><\/p>\n

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\u00a0\u00a0 Nab\u00edzen\u00e9 \u0159e\u0161en\u00ed sest\u00e1v\u00e1 z\u00a0n\u00e1kupu Long Call 112<\/strong> za -207 USD<\/strong> a v\u00fdpisu dvou Short Call<\/strong> opc\u00ed na strike 114<\/strong> za Pr\u00e9mium ve v\u00fd\u0161i +111 za ka\u017edou z\u00a0nich, celkov\u011b bych tak p\u0159ijal +222 USD<\/strong>, spolu s\u00a0v\u00fddajem na n\u00e1kup Long Call 112 bych tak na sv\u016fj \u00fa\u010det p\u0159ijal (-207 USD + 222 USD) = +15 USD<\/strong>, po\u0159\u00eddil bych tak tento Call Ratio Spread za kredit +15 USD. Implied Volatilita<\/strong> je zobrazena v\u00a0hn\u011bd\u00e9m obd\u00e9ln\u00edku na \u00farovni 15.42%<\/strong>, jako Implied Volatilita na ATM Call op\u010dn\u00edm kontraktu.<\/span><\/p>\n

\u00a0\u00a0 Jak\u00e9 jsou m\u00e9 vyhl\u00eddky na n\u00e1sleduj\u00edc\u00edch t\u0159icet dn\u016f, kdy budou m\u00e9 op\u010dn\u00ed kontrakty expirovat?<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Pokud bude cena akcie DIS do expirace\u00a0stagnovat nebo klesat<\/strong> a z\u016fstane p\u0159i expiraci pod strike Long Call 112<\/strong>, bude to znamenat, \u017ee v\u0161echny opce vypr\u0161\u00ed jako bezcenn\u00e9 a z\u016fstane mi pouze p\u0159ijat\u00fd kredit ve v\u00fd\u0161i +15 USD<\/strong> a na Call Ratio Spread mohu zapomenout.<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Cena akcie DIS do expirace stagnovat nebo klesat nebude, ale bude do expirace nar\u016fstat<\/strong>, nebude v\u0161ak vy\u0161\u0161\u00ed ne\u017e 114 USD<\/strong>. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b ob\u011b Short Call vypr\u0161\u00ed jako bezcenn\u00e9 a j\u00e1 mohu likvidovat Long Call 112 nejm\u00e9n\u011b za cenu jej\u00ed Vnit\u0159n\u00ed Hodnoty<\/strong>, bude tedy z\u00e1le\u017eet, jak\u00e1 bude konkr\u00e9tn\u00ed cena p\u0159i expiraci. V\u00a0p\u0159\u00edpad\u011b, \u017ee bude nap\u0159\u00edklad 113 USD, tak to bude znamenat, \u017ee jej\u00ed cena bude minim\u00e1ln\u011b +100 USD, kterou si mohu p\u0159ipo\u010d\u00edtat k\u00a0p\u0159ijat\u00e9mu Pr\u00e9miu +15 USD a m\u00edt tak celkov\u00fd profit +115 USD<\/strong><\/span><\/p>\n

\u00a0\u00a0\u00a0 3\/<\/strong> Cena akcie DIS do expirace stagnovat nebo klesat nebude, ale bude do expirace nar\u016fstat<\/strong> a bude vy\u0161\u0161\u00ed ne\u017e 114 USD<\/strong>. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b mus\u00edm na Call Ratio Spread nahl\u00ed\u017eet jako na Call Bull Spread +112\/-114<\/strong> a jednu nekrytou Short Call 114<\/strong> opci. Call Bull Spread +112\/-114 m\u00e1 potenci\u00e1l maxim\u00e1ln\u00edho profitu o velikosti dolarov\u00e9ho rozsahu strike (+200 USD), od kter\u00e9ho mus\u00edm ode\u010d\u00edst po\u0159izovac\u00ed n\u00e1klady, tyto v\u0161ak nebyly \u017e\u00e1dn\u00e9, ba naopak jsem za celou op\u010dn\u00ed konstrukci dostal zaplaceno +15 USD. Potenci\u00e1l maxim\u00e1ln\u00edho profitu takov\u00e9ho Call Bull Spreadu +112\/-114 nastane v\u00a0p\u0159\u00edpad\u011b, \u017ee bude p\u0159i expiraci cel\u00fd \u201ev\u00a0pen\u011bz\u00edch\u201c, tedy v\u00a0p\u0159\u00edpad\u011b, \u017ee se cena bude nach\u00e1zet nad hodnotou 114 USD, v\u00a0tomto p\u0159\u00edpad\u011b budu m\u00edt maxim\u00e1ln\u00ed profit +200 USD<\/strong> a p\u0159ijat\u00fd kredit ve v\u00fd\u0161i +15 USD<\/strong>, celkov\u011b tedy +215 USD. To by bylo skv\u011bl\u00e9, ale bohu\u017eel tuto radost z\u00a0takov\u00e9ho profitu mi bude kazit druh\u00e1 vypsan\u00e1 Short Call na strike 114, proto\u017ee p\u0159i n\u00e1r\u016fstu nad cenu 114 USD sice vyd\u011bl\u00e1v\u00e1m na Call Bull Spreadu +112\/-114, ale budu muset tuto nekrytou Short Call opci likvidovat. Je jasn\u00e9, \u017ee pokud na jej\u00ed likvidaci vynalo\u017e\u00edm v\u00edce, ne\u017e je +215 USD (utr\u017een\u00fd maxim\u00e1ln\u00ed profit na Call Bull Spreadu +112\/-114 + Pr\u00e9mium), tak na Call Ratio Spreadu prod\u011bl\u00e1m, tato situace nastane v\u00a0p\u0159\u00edpad\u011b, \u017ee se cena p\u0159i expiraci bude nach\u00e1zet nad cenou 114 USD (strike Short Call) + 2.15 (profit) = 116.15 USD. Hodnota 116.15 USD<\/strong> je tak cenov\u00e1 hladina, kdy budu moci vystoupit z pozice a nebudu m\u00edt \u017e\u00e1dn\u00fd profit ani ztr\u00e1tu a bude tak\u00a0BreakEven bodem<\/strong>\u00a0m\u00e9ho Call Ratio Spreadu. N\u00e1r\u016fst nad tento BreakEven bod pak bude ji\u017e znamenat ztr\u00e1tu a ta m\u016f\u017ee b\u00fdt tak\u00e9 neomezen\u00e1, proto\u017ee neomezen\u00fd m\u016f\u017ee b\u00fdt tak\u00e9 r\u016fst ceny akcie.<\/span><\/p>\n

\u00a0\u00a0 Ve shrnut\u00ed je podle zobrazen\u00fdch cen p\u0159i velmi n\u00edzk\u00e9 Implied Volatilit\u011b<\/strong>\u00a0m\u016fj BreakEven<\/strong> bod p\u0159i cen\u011b akcie DIS na \u00farovni 111.94 USD na hodnot\u011b 116.15 USD<\/strong> a akcie by musela pos\u00edlit<\/strong> o +4.21 USD<\/strong>, aby jej bylo dosa\u017eeno a p\u0159edstavuje tak nutn\u00fd n\u00e1r\u016fst o +3.80%<\/strong>. \u00a0<\/span><\/p>\n

Vstup na vysok\u00e9 Implied Volatilit\u011b<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Stejn\u00fd akciov\u00fd titul DIS<\/strong> se v\u00a0dubnu nach\u00e1zel ve zcela jin\u00e9 situaci, pokud bych ji posuzoval podle Implied Volatility. Jej\u00ed \u00farove\u0148 byla zna\u010dn\u011b vysok\u00e1 a nebyla zp\u016fsobena \u017e\u00e1dn\u00fdmi o\u010dek\u00e1van\u00fdmi fundament\u00e1ln\u00edmi zpr\u00e1vami, jako je nap\u0159\u00edklad vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f, akvizice konkurenc\u00ed, soudn\u00ed spor, v\u00fdplata Dividendy apod. Akcie, jako titul obrovsk\u00e9 spole\u010dnosti, pravd\u011bpodobn\u011b koreloval s n\u00e1ladami cel\u00fdch trh\u016f nebo alespo\u0148 sektor\u016f a toto p\u0159ineslo zv\u00fd\u0161en\u00ed hodnoty Implied Volatility na tomto akciov\u00e9m titulu.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0tomto obdob\u00ed jsem pak mohl dne 2.4.2018 pozorovat, pro pot\u0159eby prozkoum\u00e1n\u00ed vstupu do Call Ratio Spreadu 1:2,<\/strong> n\u00e1sleduj\u00edc\u00ed ceny v\u00a0op\u010dn\u00edm \u0159et\u011bzci s\u00a0expirac\u00ed za 32 kalend\u00e1\u0159n\u00edch dn\u016f, tedy toto\u017enou dobou do expirace, jako v\u00a0p\u0159edchoz\u00edm p\u0159\u00edpad\u011b, kdy DIS vykazovalo velmi n\u00edzkou Implied Volatilitu.<\/span><\/p>\n

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\u00a0\u00a0 Implied Volatilita<\/strong>\u00a0m\u011b\u0159en\u00e1 jej\u00ed hodnotou na ATM Call strike byla na hodnot\u011b 24.73%<\/strong> (hn\u011bd\u00fd obd\u00e9ln\u00edk) a je tak o deset bod\u016f vy\u0161\u0161\u00ed<\/strong>, ne\u017e v\u00a0p\u0159edch\u00e1zej\u00edc\u00ed uk\u00e1zce. P\u0159esto\u017ee je aktu\u00e1ln\u00ed cena akcie DIS na hodnot\u011b 98.66 USD<\/strong> a je tak ni\u017e\u0161\u00ed ne\u017e v\u00a0p\u0159edchoz\u00ed uk\u00e1zce, maj\u00ed op\u010dn\u00ed kontrakty s\u00a0obdobnou m\u011bs\u00ed\u010dn\u00ed expirac\u00ed v\u00fdrazn\u011b vy\u0161\u0161\u00ed ceny. Mohl jsem tak Call Ratio Spread 1:2 po\u0159\u00eddit tak, \u017ee jsem nakoupit Long Call 98.50<\/strong> za -310 USD<\/strong>, co\u017e je opravdu vysok\u00e1 cena, ov\u0161em v\u00fdpisem dvou Short Call<\/strong> na strike 102<\/strong> bych z\u00edskal naopak slu\u0161n\u00fdch +145 USD za ka\u017edou takovou opci a celkov\u011b tak za tento v\u00fdpis mohl p\u0159ijmout +290 USD<\/strong> Pr\u00e9mia. Ve v\u00fdsledku by m\u011b po\u0159\u00edzen\u00ed Call Ratio Spreadu<\/strong> st\u00e1lo (-310 USD + 290 USD) = -20 USD<\/strong>. Nepo\u0159\u00eddil bych tak tento Call Ratio Spread za kredit, ale m\u00edrn\u00fd Debit. Co tedy znamen\u00e1 tato situace po\u0159\u00edzen\u00ed p\u0159i vysok\u00e9 Implied Volatilit\u011b vysv\u011btluje op\u011bt pohled na budouc\u00ed v\u00fdvoj ceny akcie DIS do expirace.<\/span><\/p>\n

\u00a0\u00a01\/<\/strong> Pokud bude cena DIS do expirace klesat<\/strong> a z\u016fstane p\u0159i expiraci pod strike Long Call 98.50<\/strong>, bude to znamenat, \u017ee v\u0161echny opce vypr\u0161\u00ed jako bezcenn\u00e9 a z\u016fstane mi pouze ztr\u00e1ta ve v\u00fd\u0161i po\u0159izovac\u00ed hodnoty Call Ratio Spreadu ve v\u00fd\u0161i -20 USD<\/strong>.<\/span><\/p>\n

\u00a0 \u00a02\/<\/strong> Cena bude do expirace m\u00edrn\u011b nar\u016fstat<\/strong> a zakon\u010d\u00ed p\u0159esn\u011b na cen\u011b 98.70 USD<\/strong>. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b ob\u011b Short Call vypr\u0161\u00ed jako bezcenn\u00e9 a j\u00e1 mohu likvidovat Long Call 98.50 nejm\u00e9n\u011b za cenu jej\u00ed Vnit\u0159n\u00ed Hodnoty<\/strong>, kter\u00e1 by m\u011bla b\u00fdt +20 USD. Tato cena pak znamen\u00e1, \u017ee vystoup\u00edm u expirace z\u00a0pozice bez ztr\u00e1ty a profitu. Proto\u017ee jsem do cel\u00e9 struktury Call Ratio Spreadu vstupoval s\u00a0debetem, mus\u00edm tak\u00e9 v\u011bd\u011bt, kde bude spodn\u00ed BreakEven bod<\/strong>, v\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b pak tato cena 98.70 USD<\/strong> bude jeho hodnota<\/span><\/p>\n

\u00a0 \u00a03\/<\/strong> Cena bude do expirace nar\u016fstat<\/strong>, bude vy\u0161\u0161\u00ed ne\u017e 98.70 USD<\/strong>, ale nebude vy\u0161\u0161\u00ed ne\u017e 102 USD<\/strong>, co\u017e je hodnota strike vypsan\u00fdch Short Call opc\u00ed. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b ob\u011b Short Call 102 vypr\u0161\u00ed jako bezcenn\u00e9 a j\u00e1 mohu likvidovat Long Call 98.50 nejm\u00e9n\u011b za cenu jej\u00ed Vnit\u0159n\u00ed Hodnoty<\/strong>, bude tedy z\u00e1le\u017eet, jak\u00e1 bude konkr\u00e9tn\u00ed cena p\u0159i expiraci. V\u00a0p\u0159\u00edpad\u011b, \u017ee bude nap\u0159\u00edklad 100 USD, tak to bude znamenat, \u017ee jej\u00ed cena bude minim\u00e1ln\u011b +150 USD, kterou si mohu p\u0159ipo\u010d\u00edtat k\u00a0debetu p\u0159i po\u0159izov\u00e1n\u00ed Call Ratio Spreadu ve v\u00fd\u0161i -20 USD, aby mi z\u016fstal celkov\u00fd profit +130 USD<\/strong><\/span><\/p>\n

\u00a0 \u00a0 4\/<\/strong> Cena bude do expirace\u00a0nar\u016fstat<\/strong> a bude vy\u0161\u0161\u00ed ne\u017e 102 USD<\/strong>. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b mus\u00edm op\u011bt na Call Ratio Spread nahl\u00ed\u017eet jako na Call Bull Spread +98.50\/-102<\/strong> a jednu nekrytou Short Call 102<\/strong> opci. Call Bull Spread +98.50\/-102 m\u00e1 ale nyn\u00ed potenci\u00e1l maxim\u00e1ln\u00edho profitu o velikosti dolarov\u00e9ho rozsahu strike (+350 USD), od kter\u00e9ho mus\u00edm ode\u010d\u00edst po\u0159izovac\u00ed n\u00e1klady a tyto \u010dinily -20 USD, proto p\u0159i cen\u011b nad 102 USD budu na tomto Call Bull Spreadu +98.50\/-102 v\u017edy profitovat (+350 USD -20 USD) = +330 USD. Potenci\u00e1l maxim\u00e1ln\u00edho profitu takov\u00e9ho Call Bull Spreadu +98.50\/-102 op\u011bt nastane v\u00a0p\u0159\u00edpad\u011b, \u017ee bude p\u0159i expiraci cel\u00fd \u201ev\u00a0pen\u011bz\u00edch\u201c, tedy v\u00a0p\u0159\u00edpad\u011b, \u017ee se cena bude nach\u00e1zet pr\u00e1v\u011b n\u011bkde nad hodnotou 102 USD, v\u00a0tomto p\u0159\u00edpad\u011b budu moci po\u010d\u00edtat s maxim\u00e1ln\u00edm profitem +330 USD<\/strong>. To by bylo v\u00edce ne\u017e skv\u011bl\u00e9, pokud by mi tuto radost profitu op\u011bt nekazila druh\u00e1 vypsan\u00e1 Short Call na strike 102, proto\u017ee p\u0159i n\u00e1r\u016fstu nad cenu 102 USD sice vyd\u011bl\u00e1m na Call Bull Spreadu +98.50\/-102, ale budu muset tuto nekrytou Short Call 102 opci likvidovat. Je jasn\u00e9, \u017ee pokud na jej\u00ed likvidaci vynalo\u017e\u00edm v\u00edce, ne\u017e je +330 USD (utr\u017een\u00fd maxim\u00e1ln\u00ed profit na Call Bull Spreadu 98.50\/-102 \u2013 n\u00e1klady na jeho po\u0159\u00edzen\u00ed), tak na Call Ratio Spreadu prod\u011bl\u00e1m, tato situace nastane v\u00a0p\u0159\u00edpad\u011b, \u017ee se cena p\u0159i expiraci bude nach\u00e1zet nad cenou 102 USD (strike Short Call) + 3.30 (profit) = 105.30 USD. Hodnota 105.30 USD<\/strong> je tak cenov\u00e1 hladina, kdy budu moci vystoupit s\u00a0pozice a nebudu m\u00edt \u017e\u00e1dn\u00fd profit ani ztr\u00e1tu a bude tak\u00a0horn\u00edm BreakEven bodem<\/strong>\u00a0m\u00e9ho Call Ratio Spreadu. N\u00e1r\u016fst nad tento BreakEven bod pak bude ji\u017e znamenat ztr\u00e1tu a ta m\u016f\u017ee b\u00fdt tak\u00e9 neomezen\u00e1, proto\u017ee neomezen\u00fd m\u016f\u017ee b\u00fdt tak\u00e9 r\u016fst ceny akcie.<\/span><\/p>\n

\u00a0\u00a0 V op\u011btovn\u00e9m shrnut\u00ed podle zobrazen\u00fdch cen p\u0159i vysok\u00e9 Implied Volatilit\u011b<\/strong>\u00a0je m\u016fj BreakEven<\/strong> bod p\u0159i cen\u011b akcie DIS na \u00farovni 98.66 USD na hodnot\u011b 105.30 USD<\/strong> a akcie by musela pos\u00edlit<\/strong> o podstatn\u00fdch +6.64 USD<\/strong>, aby jej bylo dosa\u017eeno a p\u0159edstavuje tak nutn\u00fd n\u00e1r\u016fst o zna\u010dn\u00fdch +6.70%<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Co k\u00a0tomu je tedy mo\u017en\u00e9 konstatovat? P\u0159esto\u017ee byla cena akcie DIS ve druh\u00e9m p\u0159\u00edpad\u011b ni\u017e\u0161\u00ed, zv\u00fd\u0161en\u00e1 Implied Volatilita zp\u016fsobila, \u017ee se velmi dramaticky zv\u011bt\u0161ila vzd\u00e1lenost BreakEven bodu Call Ratio Spreadu od aktu\u00e1ln\u00ed ceny, p\u0159i kter\u00e9 jsme jej po\u0159izoval. Desetibodov\u00fd diferenci\u00e1l v\u00a0Implied Volatilit\u011b pak zp\u016fsobil, \u017ee od prod\u011blku na \u00farovni r\u016fstu podkladov\u00e9 akcie ve v\u00fd\u0161i +3.80%<\/strong> v\u00a0p\u0159\u00edpad\u011b n\u00edzk\u00e9 Implied Volatility, m\u011b d\u011bl\u00ed od prod\u011blku v\u00a0p\u0159\u00edpad\u011b vy\u0161\u0161\u00ed Implied Volatility +6.70%<\/strong> n\u00e1r\u016fst ceny podkladu, co\u017e je rozd\u00edl t\u00e9m\u011b\u0159 80%<\/strong> celkov\u00e9ho pohybu. \u010c\u00edm d\u00e1le toti\u017e budu moci posunout strike vypsan\u00fdch opc\u00ed od nakoupen\u00e9 Long opce, t\u00edm zv\u00fd\u0161\u00edm potenci\u00e1l profitu na Call Bull Spreadu tvo\u0159\u00edc\u00ed Call Ratio Spread a odd\u00e1lit tak ztr\u00e1tovost na nekryt\u00e9 Short Call opci, samoz\u0159ejm\u011b za respektov\u00e1n\u00ed pravidla srazit n\u00e1klady na Call Ratio Spread na minimum, nejl\u00e9pe tak, abych jej mohl po\u0159\u00eddit zdarma nebo dokonce za m\u00edrn\u00fd kredit.<\/span><\/p>\n

Pro\u010d Ratio Spread?<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Pro\u010d se vlastn\u011b Ratio Spready s\u00a0takovou konstrukc\u00ed zab\u00fdvat, kdy\u017e nab\u00edzej\u00ed omezenou mo\u017enost profitu a neomezenou mo\u017enost ztr\u00e1ty? Pro jednoduchou filozofii, \u017ee ne\u017e se dopracuji k tomu, \u017ee za\u010d\u00edn\u00e1m prod\u011bl\u00e1vat na nekryt\u00e9 Short opci, tak jsem vytvo\u0159il profit na op\u010dn\u00edm spreadu. K\u00a0vysv\u011btlen\u00ed bych si mohl vz\u00edt srovn\u00e1n\u00ed<\/strong> s Kreditn\u00edm Call Bear Spreadem<\/strong> v\u00a0situaci z\u00a0uk\u00e1zky akcie DIS s\u00a0vysokou Implied Volatilitou v\u00fd\u0161e. Pokud bych na strike, kde jsem um\u00edstil sv\u00e9 vypsan\u00e9 opce Call Ratio Spreadu (102), um\u00edstil strike Short Call potenci\u00e1ln\u00edho Kreditn\u00edho Call Bear Spreadu -102\/+103, z\u00edskal bych kredit ve v\u00fd\u0161i +22 USD. Tyto pen\u00edze by mi nikdo nevzal, pokud by cena nep\u0159ekonala strike vypsan\u00e9 Call opce na \u00farovni 102 USD a o v\u0161echny pen\u00edze bych p\u0159i\u0161el, kdyby cena byla u expirace vy\u0161\u0161\u00ed ne\u017e 102.22 USD<\/strong> \u2013 toto je BreakEven <\/strong>bod Kreditn\u00edho Call Bear Spreadu -102\/+103<\/strong>, nic jin\u00e9ho bych o\u010dek\u00e1vat nemohl. Call Ratio Spread +98.50\/-102\/-102<\/strong> ov\u0161em m\u016f\u017ee profitovat p\u0159i jak\u00e9mkoliv pohybu sm\u011brem nahoru a\u017e ke sv\u00e9mu BreakEven<\/strong> bodu na \u00farovni 105.30 USD<\/strong> a pokud by cena zakon\u010dila na hodnot\u011b strike vypsan\u00fdch opc\u00ed (102) inkasoval bych dokonce +320 USD<\/strong>, takov\u00fd luxus mi Kreditn\u00ed Call Bear Spread v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b nezaru\u010d\u00ed, nemohu s\u00a0n\u00edm profitovat na pohybech do BreakEven bodu a budu v\u017edy moci z\u00edskat pouze p\u0159ijat\u00e9 Pr\u00e9mium +22 USD. Odhl\u00e9dnu nyn\u00ed od skute\u010dnosti, \u017ee BreakEven bod Call Ratio Spreadu +98.50\/-102\/-102 je vzd\u00e1len od BreakEven bodu Call Bear Spreadu -102\/+103 o v\u00edce ne\u017e 3 body (+3.08 bodu) a tak\u00e9 od skute\u010dnosti, \u017ee dosa\u017een\u00ed BreakEven bodu Call Ratio Spreadu znamen\u00e1 pro\u00a0Kreditn\u00ed Call Bear Spread ji\u017e fat\u00e1ln\u00ed ztr\u00e1tu ve v\u00fd\u0161i \u010dty\u0159n\u00e1sobku p\u0159ijat\u00e9ho Pr\u00e9mia…<\/span><\/p>\n

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Hled\u00e1n\u00ed p\u0159\u00edle\u017eitost\u00ed<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Z\u00a0textu ji\u017e vyplynulo, \u017ee patrn\u011b nejvhodn\u011bj\u0161\u00edmi kandid\u00e1ty k\u00a0obchod\u016fm budou tituly s\u00a0vy\u0161\u0161\u00ed Implied Volatilitou. Jak si takov\u00e9 tituly nal\u00e9zt nemus\u00ed b\u00fdt nijak zvl\u00e1\u0161\u0165 obt\u00ed\u017en\u00e9, proto\u017ee na internetu existuje velmi mnoho screener\u016f a aplikac\u00ed, kter\u00e9 takov\u00e9 neobvykl\u00e9 pohyby na Implied Volatilit\u011b zachyt\u00e1vaj\u00ed a zobrazuj\u00ed do r\u016fzn\u00fdch p\u0159ehledn\u00fdch v\u00fdstupn\u00edch form\u00e1t\u016f, n\u011bkter\u00e9 z\u00a0t\u011bchto odkaz\u016f nap\u0159\u00edklad na str\u00e1nk\u00e1ch\u00a0<\/span>Marketchameleon<\/a><\/strong><\/span>\u00a0nebo Barchart<\/a><\/strong><\/span>. Proto\u017ee jsem velmi velk\u00fdm p\u0159\u00edznivcem analytick\u00e9 platformy thinkorswim, kterou jsem zde ji\u017e popisoval<\/a><\/span><\/strong>, uk\u00e1\u017eu na jednoduch\u00e9m p\u0159\u00edkladu, jak takov\u00e9 kandid\u00e1ty jednoduch\u00fdm zp\u016fsobem, pro z\u00e1kladn\u00ed vyhodnocen\u00ed, odfiltrovat pomoc\u00ed t\u00e9to aplikace. Postupovat bych mohl nap\u0159\u00edklad podle n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0(1)<\/strong> V\u00a0hlavn\u00ed nab\u00eddce vyberu volbu \u201eScan<\/strong>\u201c<\/span><\/p>\n

\u00a0 \u00a0(2)<\/strong> Z\u00a0li\u0161ty nab\u00eddek potvrd\u00edm \u201eStock Hacker<\/strong>\u201c<\/span><\/p>\n

\u00a0 \u00a0(3)<\/strong> V\u00a0mo\u017enosti \u201eScan In<\/strong>\u201c vyberu z\u00a0nab\u00eddky Public (R-W)<\/strong> polo\u017eku S&P 500<\/strong>, proto\u017ee m\u011b budou nap\u0159\u00edklad zaj\u00edmat tituly, kter\u00e9 jsou sou\u010d\u00e1st\u00ed tohoto akciov\u00e9ho indexu<\/span><\/p>\n

\u00a0 \u00a0(4)<\/strong> Tla\u010d\u00edtko \u201eAdd filter for stock<\/strong>\u201c mi d\u00e1v\u00e1 mo\u017enosti v\u00fdb\u011bru krit\u00e9ri\u00ed, kter\u00fdmi budu cht\u00edt z\u00a0akci\u00ed z\u00a0indexu S&P 500 d\u00e1le vyb\u00edrat<\/span><\/p>\n

\u00a0 \u00a0(5)<\/strong> Mohu nap\u0159\u00edklad po\u017eadovat, aby akcie nebyla p\u0159\u00edli\u0161 levn\u00e1<\/strong> a m\u011bla cenu nejm\u00e9n\u011b 50 USD, ale zase nebyla drah\u00e1, tak\u017ee cenu omez\u00edm shora \u010d\u00e1stkou 350 USD<\/span><\/p>\n

\u00a0 \u00a0(6)<\/strong> D\u00e1le mohu po\u017eadovat, aby byl akciov\u00fd titul likvidn\u00ed a m\u011bl slu\u0161n\u00fd objem denn\u00edch obchod\u016f, zejm\u00e9na proto, \u017ee tam, kde je velk\u00fd objem obchod\u016f na podkladu mohu o\u010dek\u00e1vat tak\u00e9 likvidn\u011bj\u0161\u00ed op\u010dn\u00ed trhy, zadal jsem si tedy do sv\u00e9ho po\u017eadavku minim\u00e1ln\u00ed Volume<\/strong> 50.000 kus\u016f<\/span><\/p>\n

\u00a0 \u00a0(7)<\/strong> Dal\u0161\u00edm po\u017eadavkem by pak mohlo b\u00fdt odebr\u00e1n\u00ed ze souboru takov\u00fdch titul\u016f, kter\u00e9 maj\u00ed Volatility Index<\/strong> men\u0161\u00ed ne\u017e 10%, tedy velmi m\u00e1lo se pohybuj\u00edc\u00ed a l\u00edn\u00e9 tituly<\/span><\/p>\n

\u00a0 \u00a0(8)<\/strong> V\u0161echny tyto krit\u00e9ria mohu tak\u00e9 zad\u00e1vat ta\u017een\u00edm na p\u00e1su hodnot a upravovat tak po\u017eadavky mo\u017en\u00e1 jednodu\u0161\u0161\u00edm zp\u016fsobem<\/span><\/p>\n

\u00a0 \u00a0(9)<\/strong> Kliknut\u00edm na tla\u010d\u00edtko \u201eScan<\/strong>\u201c provedu po\u017eadovan\u00fd v\u00fdb\u011br<\/span><\/p>\n

\u00a0 \u00a0(10)<\/strong> Kliknut\u00edm prav\u00fdm tla\u010d\u00edtkem my\u0161i na \u0159\u00e1dek „Symbol<\/strong>\u201c mohu po v\u00fdb\u011bru \u201eCustomize<\/strong>\u201c vybrat sledov\u00e1n\u00ed r\u016fzn\u00fdch parametr\u016f vyhledan\u00fdch titul\u016f, kter\u00e9 se projev\u00ed p\u0159id\u00e1n\u00edm sloupce sledovan\u00fdch hodnot do vybran\u00e9ho souboru ticker\u016f<\/span><\/p>\n

\u00a0 \u00a0(11)<\/strong> K\u00a0v\u00fdb\u011bru podle p\u0159edchoz\u00edho \u0159\u00e1dku jsem si zadal sloupec \u201eImpl Vol<\/strong>\u201c s\u00a0aktu\u00e1ln\u00ed Implied Volatilitou<\/strong><\/span><\/p>\n

\u00a0 \u00a0(12)<\/strong> V\u00a0dal\u0161\u00edm sloupci jsem si nechal zobrazit \u201eVol Diff<\/strong>\u201c, kter\u00e1 zobrazuje zm\u011bnu v\u00a0hodnot\u011b Implied Volatility vzta\u017eenou k p\u0159edch\u00e1zej\u00edc\u00edmu obchodn\u00edmu dni.<\/span><\/p>\n

\u00a0\u00a0 Proveden\u00edm takov\u00e9ho v\u00fdb\u011bru mohu po se\u0159azen\u00ed hodnot, v\u00a0m\u00e9m p\u0159\u00edpad\u011b podle aktu\u00e1ln\u00ed v\u00fd\u0161e Implied Volatility, vypozorovat nejvolatiln\u011bj\u0161\u00ed tituly z\u00a0indexu S&P 500. Podle jednotliv\u00fdch ikonek u ticker\u016f jednotliv\u00fdch titul\u016f mohu ihned zaregistrovat, \u017ee se t\u00e9m\u011b\u0159 u ka\u017ed\u00e9ho vyskytuje mal\u00e1 modr\u00e1 \u017e\u00e1rovka (tedy p\u0159edpokl\u00e1d\u00e1m, \u017ee to je \u017e\u00e1rovka), kter\u00e1 znamen\u00e1 bl\u00ed\u017e\u00edc\u00ed se vyhla\u0161ov\u00e1n\u00ed \u010dtvrtletn\u00edch hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f a z n\u011bj vypl\u00fdvaj\u00edc\u00ed vysok\u00e1 Implied Volatilita. Pouze dva tituly tento p\u0159\u00edznak bl\u00ed\u017e\u00edc\u00edch Earnings nemaj\u00ed a p\u0159esto se nach\u00e1zej\u00ed v\u00a0prvn\u00ed des\u00edtce \u2013 tyto jsem ozna\u010dil \u010derven\u00fdm obd\u00e9ln\u00edkem (NFLX, ALGN). Oba tyto tituly ji\u017e maj\u00ed vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f za sebou a p\u0159esto maj\u00ed dostate\u010dn\u011b vysokou Implied Volatilitu, ani\u017e by se na trz\u00edch t\u011bchto titul\u016f r\u00fdsovala n\u011bjak\u00e1 dal\u0161\u00ed fundament\u00e1ln\u00ed zpr\u00e1va, mohu tak konstatovat, \u017ee tyto tituly \u201ese hledaj\u00ed\u201c a mohly by b\u00fdt mezi kandid\u00e1ty na dobr\u00fd obchod.<\/span><\/p>\n

\u00a0\u00a0 Absolutn\u00ed hodnota Implied Volatility<\/strong> by ale nemusela b\u00fdt natolik z\u00e1sadn\u00ed a vypov\u00eddaj\u00edc\u00ed \u00fadaj, proto\u017ee jej mus\u00edm zasadit do kontextu jej\u00edho v\u00fdvoje. K\u00a0takov\u00e9mu prozkoum\u00e1n\u00ed je op\u011bt k\u00a0dispozici mnoho dal\u0161\u00edch aplikac\u00ed a pom\u016fcek, osobn\u011b mi nejv\u00edce vyhovuje zobrazov\u00e1n\u00ed v\u00a0TWS m\u00e9ho brokera Interactive Brokers. Pokud bych si vybral titul ALGN a sledoval, nakolik je sou\u010dasn\u00e1 Implied Volatilita ve sv\u00e9 absolutn\u00ed hodnot\u011b kolem 53% vlastn\u011b vypjat\u00e1, mohu si zobrazit jej\u00ed ro\u010dn\u00ed pr\u016fb\u011bh<\/strong> a vypozorovat tuto hodnotu z\u00a0jej\u00edho grafick\u00e9ho zobrazen\u00ed, nap\u0159\u00edklad jak je patrn\u00e9 z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pr\u016fb\u011bh Implied Volatility v jeho ro\u010dn\u00edm zobrazen\u00ed (b\u00edl\u00e1 k\u0159ivka grafu) z\u0159eteln\u011b ukazuje, \u017ee hodnota kolem 50% p\u0159edstavuje jej\u00ed vrcholy, ze kter\u00fdch um\u00ed velmi svi\u017en\u011b sestupovat. V\u0161echny \u010dty\u0159i vrcholy p\u0159edstavuj\u00ed vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f a je patrn\u00e9, \u017ee rozlad\u011bn\u00ed z\u00a0jejich zve\u0159ejn\u011bn\u00ed (pozitivn\u00ed nebo negativn\u00ed) v\u017edy n\u011bjakou chv\u00edli trv\u00e1, pot\u00e9 se titul uklidn\u00ed a Implied Volatilita sestoup\u00ed na sv\u00e9 \u00farovn\u011b mezi 25% – 30%. V\u00a0danou chv\u00edli by tedy m\u011blo b\u00fdt jasn\u00e9, \u017ee op\u010dn\u00ed kontrakty na tento titul budou velmi drah\u00e9 a mohly by nab\u00eddnout dobr\u00e9 ceny pro vytvo\u0159en\u00ed nap\u0159\u00edklad m\u00e9 konstelace Call Ratio Spreadu tak, \u017ee BreakEven body cel\u00e9 m\u00e9 pozice budou v p\u0159ijateln\u011b zna\u010dn\u011b odlehl\u00e9 vzd\u00e1lenosti. Upozor\u0148uji, \u017ee tento titul je modelovou uk\u00e1zkou a musel by b\u00fdt podroben dal\u0161\u00edmu zkoum\u00e1n\u00ed, pro\u010d setrv\u00e1v\u00e1 Implied Volatilita na takov\u00e9 \u00farovni, nakonec by se mohlo uk\u00e1zat, \u017ee nebude titulem vhodn\u00fdm pro tuto op\u010dn\u00ed konstrukci.<\/span><\/p>\n

\u00a0\u00a0 Mohu se tak\u00e9 zam\u011b\u0159it na tituly ve sv\u00e9m v\u00fdb\u011bru tak, \u017ee m\u011b nebude zaj\u00edmat absolutn\u00ed v\u00fd\u0161e Implied Volatility, ale mohu si nechat tituly se\u0159adit podle n\u00e1r\u016fstu<\/strong> jejich hodnoty na mezidenn\u00ed b\u00e1zi<\/strong> a sledovat tak, kter\u00e9 z akci\u00ed akciov\u00e9ho indexu S&P 500, vybran\u00fdch podle jednoduch\u00fdch krit\u00e9ri\u00ed, zaznamenaly jej\u00ed nejv\u011bt\u0161\u00ed nar\u016fst, mohl bych pak pozorovat se\u0159azen\u00ed titul\u016f podle n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku, proveden\u00e9ho tak, \u017ee jsem si nechal se\u0159adit vyhodnocen\u00fd soubor podle Vol Diff<\/strong>.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Op\u011bt mohu vypozorovat, \u017ee t\u00e9m\u011b\u0159 v\u0161echny tituly jsou ozna\u010deny p\u0159\u00edznakem pro nadch\u00e1zej\u00edc\u00ed Earnings (modr\u00e1 \u017e\u00e1rovka), pouze u dvou titul\u016f takov\u00fd p\u0159\u00edznak chyb\u00ed. U\u017eite\u010dnosti takov\u00e9ho zobrazen\u00ed pak d\u00e1v\u00e1m voln\u00fd pr\u016fchod k\u00a0individu\u00e1ln\u00edmu vyhodnocen\u00ed a interpretaci takto zji\u0161t\u011bn\u00fdch \u00fadaj\u016f. Mohu nap\u0159\u00edklad u sv\u00fdch sledovan\u00fdch titul\u016f vypozorovat \u201etempo r\u016fstu\u201c Implied Volatility, nap\u0159\u00edklad, zda kandid\u00e1t s\u00a0vysokou Implied Volatilitou ve sv\u00e9m tempu nepolevuje a mezidenn\u00ed r\u016fst je st\u00e1le alespo\u0148 kladn\u00fd nebo ji\u017e vykazuje obrat trendu a mezidenn\u00ed pohyb m\u00e1 z\u00e1pornou hodnotu.<\/span><\/p>\n

\n

\u00a0\u00a0 Je zapot\u0159eb\u00ed na rovinu \u0159\u00edct, \u017ee op\u010dn\u00ed konstrukci Ratio Spread je nutn\u00e9 \u201eum\u011bt p\u0159im\u011b\u0159en\u011b obchodovat\u201c a zejm\u00e9na \u0159\u00eddit tak, aby nedoch\u00e1zelo k\u00a0neomezen\u00fdm ztr\u00e1t\u00e1m, kter\u00e9 jsou p\u0159i neopatrn\u00e9m obchodov\u00e1n\u00ed s touto konstrukc\u00ed spojeny. Tento \u010dl\u00e1nek je pouhou uk\u00e1zkou, \u017ee takov\u00e1 op\u010dn\u00ed struktura existuje a jak\u00e9 jsou jej\u00ed teoretick\u00e9 z\u00e1klady. Pozn\u00e1n\u00edm z\u00e1kladn\u00edch princip\u016f \u0159\u00edzen\u00ed t\u00e9to pozice a variant\u00e1m jej\u00edho mo\u017en\u00e9ho obchodov\u00e1n\u00ed se budu v\u011bnovat v\u00a0dal\u0161\u00edm \u010dl\u00e1nku, jednodu\u0161e proto, \u017ee si to tato zd\u00e1nliv\u011b jednoduch\u00e1 op\u010dn\u00ed slo\u017eenina prost\u011b zaslou\u017e\u00ed :c) \u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 Pozn\u00e1n\u00ed v\u00fdhod a nev\u00fdhod op\u010dn\u00ed kombinace Butterfly a jej\u00ed mo\u017en\u00e9 obchodov\u00e1n\u00ed podle minul\u00fdch \u010dl\u00e1nk\u016f m\u016f\u017ee leckomu p\u0159ij\u00edt nez\u00e1bavn\u00e9 a m\u00e1lo ak\u010dn\u00ed, p\u0159esto\u017ee je doprov\u00e1zeno mo\u017enost\u00ed m\u00edt p\u0159edem jasn\u011b definovanou mo\u017enost ztr\u00e1ty k\u00a0mo\u017en\u00e9mu maxim\u00e1ln\u00edmu profitu. Stejn\u00fd pocit pak m\u016f\u017ee nastat p\u0159i obchodov\u00e1n\u00ed Call Bull Spread\u016f nebo Put Bear Spread\u016f, kter\u00e9 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":2572,"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":[49,13,50],"class_list":["post-2563","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-kombinace","tag-butterfly","tag-call-bull-spread","tag-ratio-spread"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2018\/11\/maim.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-Fl","jetpack-related-posts":[{"id":5223,"url":"https:\/\/dobretrejdy.com\/?p=5223","url_meta":{"origin":2563,"position":0},"title":"Kreditn\u00ed strategie \u2013 IV.","author":"dobretrejdy :c)","date":"24.1.2021","format":false,"excerpt":"\u00a0 \u00a0V p\u0159edch\u00e1zej\u00edc\u00edm \u010dl\u00e1nku Kreditn\u00ed strategie \u2013 III. jsem pouk\u00e1zal na vztah pom\u011bru rizika a ztr\u00e1ty (RRR) k pot\u0159eb\u011b vysok\u00e9ho n\u00e1roku na po\u010det v\u00edt\u011bzn\u00fdch obchod\u016f (%Win), aby m\u011blo obchodov\u00e1n\u00ed popisovan\u00fdch kreditn\u00edch op\u010dn\u00edch kombinac\u00ed n\u011bjak\u00fd z\u00e1kladn\u00ed smysl. Nosnou my\u0161lenkou bylo uk\u00e1zat, \u017ee obchody s nep\u0159\u00edzniv\u00fdm RRR vy\u017eaduj\u00ed velmi vysok\u00fd po\u010det profitabiln\u00edch\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\/2021\/01\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2021\/01\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2021\/01\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2021\/01\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2654,"url":"https:\/\/dobretrejdy.com\/?p=2654","url_meta":{"origin":2563,"position":1},"title":"Ratio Spread \u2013 III.","author":"dobretrejdy :c)","date":"4.12.2018","format":false,"excerpt":"\u00a0\u00a0 V\u00a0minul\u00fdch dvou \u010dl\u00e1nc\u00edch jsem se zab\u00fdval existenc\u00ed Ratio Spread\u016f s\u00a0po\u0159\u00edzenou Long opc\u00ed za sou\u010dasn\u00e9ho po\u0159\u00edzen\u00ed dvou Short op\u010dn\u00edch kontrakt\u016f. Tento nestejn\u00fd po\u010det sou\u010dasn\u011b po\u0159\u00edzen\u00fdch opc\u00ed se stejnou expirac\u00ed pak generoval ur\u010dit\u00e9 vlastnosti takov\u00e9 op\u010dn\u00ed kombinace a z\u00a0n\u00ed vypl\u00fdvaj\u00edc\u00ed nutnost jej\u00edmu dokonal\u00e9mu porozum\u011bn\u00ed a ostra\u017eitosti p\u0159i p\u0159\u00edpadn\u00e9m obchodov\u00e1n\u00ed. Tyto n\u00e1strahy\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\/12\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":5155,"url":"https:\/\/dobretrejdy.com\/?p=5155","url_meta":{"origin":2563,"position":2},"title":"Kreditn\u00ed strategie – III.","author":"dobretrejdy :c)","date":"19.12.2020","format":false,"excerpt":"\u00a0 \u00a0Zadejte do vyhled\u00e1va\u010de \u201estrategy+options+income\u201c a budete se divit, kolik odkaz\u016f nab\u00edz\u00ed a doslova slibuje sd\u011blen\u00ed zaru\u010den\u00fdch strategi\u00ed a p\u0159\u00edstup\u016f, kter\u00e9 generuj\u00ed pravideln\u00fd p\u0159\u00edjem. V drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f se jedn\u00e1 o nejr\u016fzn\u011bj\u0161\u00ed techniky vypisov\u00e1n\u00ed opc\u00ed v nejrozmanit\u011bj\u0161\u00edch kombinac\u00edch, od vylo\u017een\u00e9ho nekryt\u00e9ho vypisov\u00e1n\u00ed a\u017e po sofistikovan\u00e9 spletence nejr\u016fzn\u011bj\u0161\u00edch op\u010dn\u00edch strategi\u00ed, ve\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\/2020\/12\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2590,"url":"https:\/\/dobretrejdy.com\/?p=2590","url_meta":{"origin":2563,"position":3},"title":"Ratio Spread \u2013 II.","author":"dobretrejdy :c)","date":"17.11.2018","format":false,"excerpt":"\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku\u00a0jsem se pokou\u0161el objasnit z\u00e1klady op\u010dn\u00ed kombinace s\u00a0v\u011bt\u0161\u00edm po\u010dtem vypsan\u00fdch opc\u00ed ne\u017e opc\u00ed nakoupen\u00fdch, pro tento jin\u00fd pom\u011br se pak tato op\u010dn\u00ed kombinace naz\u00fdv\u00e1 Ratio Spread. Sou\u010dasn\u011b jsem upozornil, \u017ee je to strategie s\u00a0neomezen\u00fdm potenci\u00e1lem ztr\u00e1ty, tak\u017ee krom\u011b dokonal\u00e9ho pochopen\u00ed princip\u016f chov\u00e1n\u00ed cel\u00fdch kombinac\u00ed je nutn\u00e9 tak\u00e9 v\u011bd\u011bt,\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\/11\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/11\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/11\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/11\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2741,"url":"https:\/\/dobretrejdy.com\/?p=2741","url_meta":{"origin":2563,"position":4},"title":"Back Spread – I.","author":"dobretrejdy :c)","date":"29.12.2018","format":false,"excerpt":"\u00a0 \u00a0Kamar\u00e1dstv\u00ed s\u00a0nejv\u011bt\u0161\u00edm pot\u00ed\u017eistou ze t\u0159\u00eddy je z\u00e1rukou neobvykl\u00fdch z\u00e1\u017eitk\u016f a vy\u017eaduje vyskytovat se v\u017edy tam, kde by mohly b\u00fdt k dispozici vypjat\u00e9 situace a kdy \u201eo n\u011bco p\u016fjde\u201c. Pokud pot\u0159ebuji ke sv\u00e9mu \u017eivotu akci a jsem p\u0159\u00edznivcem vyplavov\u00e1n\u00ed adrenalinu do krevn\u00edho \u0159e\u010di\u0161t\u011b, nem\u011bla by m\u011b nechat op\u010dn\u00ed kombinace Back\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\/12\/main-3.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-3.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-3.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/12\/main-3.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2475,"url":"https:\/\/dobretrejdy.com\/?p=2475","url_meta":{"origin":2563,"position":5},"title":"Call Bear Credit Spread","author":"dobretrejdy :c)","date":"8.10.2018","format":false,"excerpt":"\u00a0 \u00a0Vypisov\u00e1n\u00ed Short Call opc\u00ed a po\u0159izov\u00e1n\u00ed Long Call opc\u00ed na vy\u0161\u0161\u00edm strike je jedna z\u00a0discipl\u00edn op\u010dn\u00edho tradingu, kter\u00e1 pro m\u016fj \u00fa\u010det znamen\u00e1 po\u0159\u00edzen\u00ed Call Bear Spreadu, pokud oba tyto \u00fakony provedu sou\u010dasn\u011b (v\u00fdpis Short Call a n\u00e1kup Long Call na vy\u0161\u0161\u00edm strike), obdr\u017e\u00edm na sv\u016fj \u00fa\u010det Kredit, proto\u017ee ceny\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\/10\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2563","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=2563"}],"version-history":[{"count":11,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2563\/revisions"}],"predecessor-version":[{"id":2585,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2563\/revisions\/2585"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/2572"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2563"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2563"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2563"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}