{"id":267,"date":"2017-04-28T16:08:07","date_gmt":"2017-04-28T16:08:07","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=267"},"modified":"2023-08-12T07:30:01","modified_gmt":"2023-08-12T05:30:01","slug":"je-opce-levna-nebo-draha","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=267","title":{"rendered":"Je opce levn\u00e1 nebo drah\u00e1?"},"content":{"rendered":"

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku Cena opce<\/a><\/strong><\/span>\u00a0jsem se pokusil popsat, jak je mo\u017en\u00e9 si alespo\u0148 zjednodu\u0161en\u011b p\u0159edstavit zcela zevrubnou stavbu stanoven\u00ed ceny op\u010dn\u00edho kontraktu. Proto\u017ee m\u00e1m r\u00e1d p\u0159evod teoretick\u00fdch \u00favah do praktick\u00e9ho obchodov\u00e1n\u00ed (vlastn\u011b o nic jin\u00e9ho mi ani nejde), tak bych se v\u00a0intenc\u00edch t\u011bchto lehce \u00e9terick\u00fdch my\u0161lenek pokusil tuto \u00favahu o stanoven\u00ed ceny op\u010dn\u00edho kontrakt zasadit do n\u011bjak\u00e9ho smyslupln\u00e9ho r\u00e1mce. Jednodu\u0161e chci, aby mi takov\u00e1 znalost ur\u010den\u00ed alespo\u0148 ceny opce d\u00e1vala n\u011bjak\u00fd smysl pro n\u011bjak\u00e1 dal\u0161\u00ed obchodn\u00ed rozhodnut\u00ed. V\u00a0minul\u00e9m \u010dl\u00e1nku jsem tak\u00e9 uk\u00e1zal velmi jednoduch\u00fd Excel s\u00a0naprogramovan\u00fdm i funkcemi cen opc\u00ed Call a Put pro okam\u017eit\u00e9 zji\u0161t\u011bn\u00ed ceny op\u010dn\u00edch kontrakt\u016f, kter\u00e9 vyu\u017e\u00edv\u00e1 Black-Scholes\u016fv oce\u0148ovac\u00ed model.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych si tedy alespo\u0148 v\u00a0z\u00e1kladech osvojil schopnosti ur\u010dit si podle n\u011bjak\u00e9ho modelu teoretickou cenu op\u010dn\u00edho kontraktu, nap\u0159\u00edklad podle vlastn\u00edho Excelu nebo pomoc\u00ed n\u011bjak\u00e9 aplikace, bylo by pak ot\u00e1zkou, k\u00a0\u010demu mi takov\u00e1 vypo\u010d\u00edtan\u00e1 a teoretick\u00e1 hodnota ceny opce vlastn\u011b je? Odpov\u011b\u010f je jednoduch\u00e1. Byl bych si toti\u017e schopen velmi jednodu\u0161e odpov\u011bd\u011bt na kardin\u00e1ln\u00ed obchodn\u00ed ot\u00e1zku \u201e\u2026je to, co kupuji drah\u00e9 nebo levn\u00e9 ?…\u201c<\/strong><\/span><\/p>\n

\u00a0\u00a0 Abych byl schopen na tuto ot\u00e1zku n\u011bjak f\u00e9rov\u011b odpov\u011bd\u011bt v praktick\u00e9m \u017eivot\u011b, tak p\u0159i zji\u0161\u0165ov\u00e1n\u00ed, jestli je kilo \u010desneku v na\u0161em Albertu drah\u00e9 nebo levn\u00e9 mi bude sta\u010dit jednodu\u0161e odsko\u010dit do Lidlu a Billy a zjistit, kolik stoj\u00ed tam a podle toho padne m\u00e9 jednoduch\u00e9 kone\u010dn\u00e9 n\u00e1kupn\u00ed rozhodnut\u00ed. Pokud ale kupuji n\u011bco, co nikde jinde neprod\u00e1vaj\u00ed, proto\u017ee se jedn\u00e1 nap\u0159\u00edklad o unik\u00e1tn\u00ed druh zbo\u017e\u00ed, kter\u00e9 jinde prost\u011b nemaj\u00ed, mus\u00edm se vydat jinou cestou srovn\u00e1n\u00ed. Nejjednodu\u0161\u0161\u00edm srovn\u00e1n\u00edm by pak mohlo b\u00fdt zji\u0161\u0165ov\u00e1n\u00ed, jestli v tomto obchod\u011b cena takov\u00e9ho unik\u00e1tn\u00edho zbo\u017e\u00ed byla v historii vy\u0161\u0161\u00ed nebo ni\u017e\u0161\u00ed<\/strong> a z takov\u00e9ho zji\u0161t\u011bn\u00ed pak vytvo\u0159it m\u00e9 vlastn\u00ed obchodn\u00ed rozhodnut\u00ed ve vztahu k dne\u0161n\u00ed nab\u00edzen\u00e9 cen\u011b. Proto\u017ee po\u0159izov\u00e1n\u00ed op\u010dn\u00edch pozic je zcela unik\u00e1tn\u00ed a origin\u00e1ln\u00ed z\u00e1le\u017eitost, vyjdeme prost\u011b z tohoto jednoduch\u00e9ho srovn\u00e1vac\u00edho p\u0159\u00edstupu. P\u0159esto\u017ee v\u00edm, \u017ee existuj\u00ed sofistikovan\u00e9 modelovac\u00ed op\u010dn\u00ed aplikace, p\u0159ece jenom si mysl\u00edm, \u017ee by nebylo \u0161patn\u00e9 pochopit, jak by takov\u00e9 historick\u00e9 srovn\u00e1n\u00ed mohlo fungovat a co by mohlo b\u00fdt jeho podstatou.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku s\u00a0p\u0159ilo\u017een\u00fdm Excelem jsem uk\u00e1zal, jak hodnota Implied Volatility<\/strong> velmi podstatn\u011b ovliv\u0148uje hodnotu op\u010dn\u00edho kontraktu<\/strong> v re\u00e1ln\u00e9m \u010dase. Pokud budu m\u00edt k\u00a0dispozici \u00fadaje o Cen\u011b Podkladu, Strike, D\u00e9lce \u017eivota opce, Implied Volatilit\u011b, \u00daroku a Dividend\u011b<\/strong>, tak jsem schopen si cenu opce spo\u010d\u00edtat<\/strong>. Tak bych jednodu\u0161e zjistil, kolik op\u010dn\u00ed kontrakt stoj\u00ed nyn\u00ed na trhu, za kolik se takov\u00e9 \u201ezbo\u017e\u00ed\u201c aktu\u00e1ln\u011b nab\u00edz\u00ed. K\u00a0tomu ale nepot\u0159ebuji \u017e\u00e1dn\u00e9 analytick\u00e9 aplikace nebo vlastn\u00ed excelovsk\u00e9 v\u00fdpo\u010dty, to mi opravdu sta\u010d\u00ed se pod\u00edvat do op\u010dn\u00ed platformy a nemus\u00edm o takov\u00fdch v\u00fdpo\u010dtech aktu\u00e1ln\u00ed ceny v\u016fbec p\u0159em\u00fd\u0161let. Probl\u00e9m je v\u00a0tom, \u017ee pokud se pod\u00edv\u00e1te do r\u016fzn\u00fdch op\u010dn\u00ed platforem r\u016fzn\u00fdch broker\u016f, uvid\u00edte t\u00e9m\u011b\u0159 toto\u017en\u00e9 \u201eaktu\u00e1ln\u00ed ceny zbo\u017e\u00ed\u201c \u2013 op\u010dn\u00edch kontrakt\u016f, tak\u017ee takov\u00fdmi pohledy vlastn\u011b nic o cen\u011b nezjist\u00edte. Jak\u00e1 by v\u0161ak hodnota zbo\u017e\u00ed m\u011bla skute\u010dn\u011b b\u00fdt, by m\u011blo vyplynout ze srovn\u00e1n\u00ed t\u00e9to skute\u010dn\u00e9 ceny s cenami<\/strong>, kter\u00e9 byly vytvo\u0159eny pro dan\u00e9 zbo\u017e\u00ed \u2013 op\u010dn\u00ed kontrakty – v minulosti<\/strong>. Pro jednoduch\u00e9 srovn\u00e1n\u00ed proto budu vych\u00e1zet nikoliv z\u00a0hodnoty Implied Volatility, tedy volatility, kter\u00e1 je u dan\u00e9ho op\u010dn\u00edho kontraktu \u201eImplied\u201c (o\u010dek\u00e1v\u00e1na), ale z hodnoty Historick\u00e9 Volatility<\/strong><\/span>, kterou zakomponuji do op\u010dn\u00edho modelu, abych zjistil toto historick\u00e9 srovn\u00e1n\u00ed. Tak\u017ee vlastn\u011b porovn\u00e1v\u00e1m, jak\u00e1 by hodnota opce m\u011bla b\u00fdt<\/strong> ve vztahu k\u00a0minul\u00fdm hodnot\u00e1m<\/strong> na z\u00e1klad\u011b volatility podkladu, kter\u00fd se odehr\u00e1val v nejbli\u017e\u0161\u00ed minulosti s hodnotou, kterou skute\u010dn\u011b vid\u00edm v op\u010dn\u00edm \u0159et\u011bzci a je mi re\u00e1ln\u011b nab\u00edzena.<\/span><\/p>\n

\u00a0 \u00a0Historick\u00e1 volatilita<\/strong><\/span>\u00a0je hodnota, kter\u00e1 v matematick\u00e9m vyj\u00e1d\u0159en\u00ed p\u0159edstavuje skute\u010dn\u00e9 pohyby podkladov\u00e9ho aktiva<\/strong>, tak, jak se ud\u00e1ly v minulosti<\/strong>. N\u011bkdy je mo\u017en\u00e9 se tak\u00e9 setkat s\u00a0ozna\u010den\u00edm Realizovan\u00e1 Volatilita, oba pojmy v\u0161ak pojmenov\u00e1vaj\u00ed to nejpodstatn\u011bj\u0161\u00ed, a to skute\u010dnost, \u017ee se jedna o hodnotu odr\u00e1\u017eej\u00edc\u00ed ji\u017e prob\u011bhlou historickou<\/strong> volatilitu, tedy takovou, kter\u00e1 se opravdu skute\u010dn\u011b stala a na trz\u00edch p\u0159\u00edslu\u0161n\u00e9ho podkladu realizovala<\/strong>. M\u016f\u017eu si ji tak\u00e9 velmi jednodu\u0161e spo\u010d\u00edtat pomoc\u00ed funkc\u00ed v Excelu. Abych mohl cel\u00fd v\u00fdpo\u010det prov\u00e9st, m\u011bl bych jej\u00ed v\u00fdpo\u010det pochopit. P\u0159esto\u017ee se m\u011b jej\u00ed hodnota ukazuje ve v\u0161ech obchodn\u00edch platform\u00e1ch, je celkem neuv\u011b\u0159iteln\u00e9, jak se jej\u00ed hodnoty li\u0161\u00ed, proto\u017ee p\u0159i jej\u00edm v\u00fdpo\u010dtu mohou b\u00fdt zvoleny ur\u010dit\u00e9 odli\u0161n\u00e9 postupy. Pokud bych vy\u0161el z n\u011bjak\u00e9 ust\u00e1len\u00e9 definice, tak Historick\u00e1 Volatilita<\/strong>\u00a0vyjad\u0159uje standardn\u00ed odchylku mezidenn\u00edho pohybu<\/strong>\u00a0podkladov\u00e9ho aktiva<\/strong>\u00a0za sledovan\u00e9 obdob\u00ed<\/strong>\u00a0p\u0159evedenou do anualizovan\u00e9ho tvaru<\/strong>. Proto\u017ee to zn\u00ed velmi nep\u0159ehledn\u011b, tak celou situaci uk\u00e1\u017ei v praxi na jednoduch\u00e9m p\u0159\u00edkladu akcie Facebook (FB)<\/strong>, kde budu cht\u00edt zjistit nejroz\u0161\u00ed\u0159en\u011bji vyu\u017e\u00edvanou hodnotu 30-ti denn\u00ed Historick\u00e9 Volatility<\/strong>.<\/span><\/p>\n

\u00a0 \u00a0Na obr\u00e1zku je vid\u011bt rozd\u011blenou definici v\u00fdpo\u010dtu HV do t\u0159ech krok\u016f<\/strong>, jak byla postupn\u011b spo\u010dtena.<\/span><\/p>\n

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\u00a0 \u00a0 Bod 1.<\/strong><\/span>\u00a0V\u00fdpo\u010det mezidenn\u00edho pohybu<\/strong>. K tomuto v\u00fdpo\u010dtu byly pou\u017eity hodnoty Close na akcii FB, tak je mo\u017en\u00e9 je bleskov\u011b to excelu na\u010d\u00edst nap\u0159\u00edklad z Quandl.com<\/a><\/strong>. Je s podivem, jak mnoh\u00e9 aplikace vypo\u010d\u00edt\u00e1vaj\u00ed mezidenn\u00ed pohyb jako rozd\u00edl mezi Close hodnotou dnes a v\u010derej\u0161\u00ed. Na obr\u00e1zku je uveden v\u00fdpo\u010det pomoc\u00ed p\u0159irozen\u00e9ho logaritmu<\/strong> pod\u00edlu t\u011bchto cen. Pro\u010d? Z jednoduch\u00e9ho d\u016fvodu, pokud bude m\u00edt dnes FB hodnotu 100 USD a jeho cena se zvedne o 10%, tak bude m\u00edt z\u00edtra hodnotu 110 USD, pokud ale poz\u00edt\u0159\u00ed cena op\u011bt klesne o 10% zp\u011bt, tak v\u00fdsledn\u00e1 hodnota FB bude 99 USD, nikoliv p\u016fvodn\u00edch 100 USD, proto tento logaritmick\u00fd v\u00fdpo\u010det, kter\u00fd takov\u00fd po\u010detn\u00ed nesoulad vyhlazuje. N\u011bkter\u00e9 aplikace tak\u00e9 nepracuj\u00ed jen s rozd\u00edlem t\u011bchto Close cen, ale porovn\u00e1vaj\u00ed nap\u0159\u00edklad High a Low jednotliv\u00fdch dn\u016f, aby bylo p\u0159esn\u011bji zachyceno, co v\u0161echno takov\u00e1 akcie m\u016f\u017ee v t\u011bchto srovn\u00e1van\u00fdch dnech \u201ep\u0159edv\u00e9st\u201c za pohyby, toto m\u016f\u017ee b\u00fdt tak\u00e9 zdrojem v\u00fdrazn\u00fdch zkreslen\u00ed.\u00a0<\/span><\/p>\n

\u00a0 \u00a0\u00a0<\/span>Bod 2<\/strong><\/span>. V\u00fdpo\u010det standardn\u00ed odchylky za sledovan\u00e9 obdob\u00ed<\/strong>. K tomuto v\u00fdpo\u010dtu vyu\u017eijeme funkci v excelu, to nen\u00ed \u017e\u00e1dn\u00fd probl\u00e9m, probl\u00e9mem m\u016f\u017ee b\u00fdt, jak\u00fd rozsah obdob\u00ed do tohoto v\u00fdpo\u010dtu zahrneme. Pokud hled\u00e1m hodnotu 30-ti denn\u00ed Historick\u00e9 Volatility, tak mus\u00edm v\u011bd\u011bt, \u017ee pokud zahrnu do v\u00fdpo\u010dtu 30 hodnot (jako na obr\u00e1zku) vypo\u010dtu tuto Historickou Volatilitu za posledn\u00edch 30 obchodn\u00edch dn\u016f, nikoliv posledn\u00ed m\u011bs\u00edc, toto bych dos\u00e1hl, pokud bych do v\u00fdb\u011bru zahrnul pouze posledn\u00edch 21 hodnot – dn\u016f (pr\u016fm\u011brn\u00fd po\u010det obchodn\u00edch dn\u016f v m\u011bs\u00edci). Na prav\u00e9 stran\u011b obr\u00e1zku v posledn\u00edm sloupci vid\u00edte rozd\u00edl mezi hodnotami, pokud je 30-ti denn\u00ed HV spo\u010dtena pr\u00e1v\u011b jen z obdob\u00ed posledn\u00edch 21 dn\u016f \u2013 rozd\u00edly jsou patrn\u00e9 a mohou se li\u0161it o jednotky procent (pak by se asi m\u011blo mluvit o \u201em\u011bs\u00ed\u010dn\u00ed Historick\u00e9 Volatilit\u011b\u201c). Volba d\u00e9lky takov\u00e9ho obdob\u00ed tedy tak\u00e9 m\u016f\u017ee zp\u016fsobit v\u00fdrazn\u00e1 zkreslen\u00ed ve v\u00fdpo\u010dtu. Pokud bychom cht\u011bli vytv\u00e1\u0159et jin\u00e9 periody Historick\u00e9 Volatility (nap\u0159\u00edklad 100 dn\u016f, jeden rok…), tak k tomu n\u00e1m posta\u010d\u00ed pouze upravit\u00a0rozsah takov\u00e9 excelovsk\u00e9 periody.<\/span><\/p>\n

\u00a0 \u00a0Bod.3.<\/strong><\/span> P\u0159evod do anualizovan\u00e9ho tvaru.<\/strong> Pokud spo\u010d\u00edt\u00e1me hodnotu sm\u011brodatn\u00e9 odchylky, mus\u00edme ji p\u0159ev\u00e9st do tvaru, kter\u00fd vyjad\u0159uje jej\u00ed ro\u010dn\u00ed hodnotu – \u201eanualizaci\u201c, toto provedeme jednodu\u0161e tak, \u017ee hodnotu t\u00e9to odchylky vyn\u00e1sob\u00edme druhou odmocninou hodnoty 252<\/strong>, kter\u00e1 p\u0159edstavuje pr\u016fm\u011brn\u00fd po\u010det obchodn\u00edch dn\u016f v roce. Rovn\u011b\u017e mus\u00edm upozornit, \u017ee n\u011bkter\u00e9 modely mohu pou\u017e\u00edvat hodnotu druh\u00e9 odmocniny z \u010d\u00edsla 365.\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Pokud tedy pou\u017eiji v\u00fdpo\u010det mezidenn\u00edch rozd\u00edl\u016f pomoc\u00ed p\u0159irozen\u00e9ho logaritmu, pou\u017eiji 30 dn\u016f, jako periodu v\u00fdpo\u010dtu standardn\u00ed odchylky a anualizaci vy\u0159e\u0161\u00edm odmocninou z \u010d\u00edsla 252, tak hodnota 30-ti denn\u00ed Historick\u00e9 Volatility<\/strong> u akcie FB<\/strong> je k tomuto okam\u017eiku na hodnot\u011b 9,60%<\/strong>, tedy \u00fapln\u011b stejn\u00e1 hodnota, jak je prezentov\u00e1na nap\u0159\u00edklad na str\u00e1nk\u00e1ch iVolatility.com<\/a><\/strong><\/span>. Toto v\u0161e m\u016f\u017eete vid\u011bt na p\u0159ilo\u017een\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Pokud tedy tuto hodnotu Historick\u00e9 Volatility vyu\u017eiji k m\u00e9mu srovn\u00e1n\u00ed a vyhodnocen\u00ed, jak na tom jsem s cenami opc\u00ed na FB nyn\u00ed, mohu k tomu pou\u017e\u00edt nap\u0159\u00edklad Excel s p\u0159edchoz\u00edho p\u0159\u00edsp\u011bvku, kter\u00fd vypo\u010d\u00edt\u00e1val teoretickou cenu opc\u00ed (na druh\u00e9m listu tohoto Excelu je v\u00fdpo\u010det Historick\u00e9 Volatility podle p\u0159edchoz\u00edch odstavc\u016f). Budu se tedy zab\u00fdvat ot\u00e1zkou, jak\u00e9 jsou ceny nap\u0159\u00edklad ATM<\/strong> opc\u00ed na strike 150<\/strong>, kter\u00e9 bych cht\u011bl dnes po\u0159\u00eddit s expirac\u00ed za 21 dn\u016f, tedy expirace klasick\u00e9 m\u011bs\u00ed\u010dn\u00ed opce. Do Excelu vlo\u017e\u00edm zadan\u00e9 hodnoty moment\u00e1ln\u00ed ceny podkladu<\/strong>, data po\u0159\u00edzen\u00ed<\/strong> a expirace<\/strong>, strike<\/strong> a p\u0159\u00edpadn\u011b \u00farokov\u00e9 m\u00edry,<\/strong> za volatilitu dosad\u00edme hodnotu 9,60%<\/strong>, tedy hodnotu Historick\u00e9 Volatility<\/strong>, kter\u00e1 reprezentuje volatilitu podkladu za uplynul\u00fdch 30-ti dn\u016f a budu sledovat, jak\u00e9 jsou projekce ceny opce podle t\u00e9to Historick\u00e9 Volatility a srovn\u00e1m je z aktu\u00e1ln\u011b nab\u00edzen\u00fdmi cenami.<\/span><\/p>\n

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\u00a0\u00a0 Podle m\u00e9ho jednoduch\u00e9ho v\u00fdpo\u010dtu na z\u00e1klad\u011b\u00a0hodnoty p\u0159edch\u00e1zej\u00edc\u00edch pohyb\u016f akcie FB, kterou mi reprezentuje 30-ti denn\u00ed Historick\u00e1 Volatilita ve v\u00fd\u0161i 9,60% by pak m\u011bly b\u00fdt<\/strong> ceny Call opc\u00ed na hodnot\u011b 1,31<\/strong><\/span> a Put opc\u00ed na hodnot\u011b 1,45<\/span><\/strong>. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt aktu\u00e1ln\u00ed cena opc\u00ed, za kterou je na sledovan\u00e9m strike 150 m\u016f\u017eeme ve skute\u010dnosti po\u0159\u00eddit.<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdsledek takov\u00e9ho srovn\u00e1n\u00ed je velmi v\u00fdrazn\u011b odli\u0161n\u00fd<\/strong>, podle Historick\u00e9 Volatility a minul\u00fdch pohyb\u016f na akcii FB, by m\u011bla Call 150 st\u00e1t 131 USD a Put 150 by m\u011bla st\u00e1t 145 USD. M\u00edsto toho v\u0161ak Call 150<\/strong> stoj\u00ed 350 USD<\/strong><\/span>\u00a0a Put 150<\/strong> m\u00e1 aktu\u00e1ln\u00ed cenu 375 USD<\/strong><\/span>, tedy Call<\/strong> je nab\u00edzena za cenu o 219 USD vy\u0161\u0161\u00ed<\/strong> a Put<\/strong> za cenu o 230 USD<\/strong> vy\u0161\u0161\u00ed, ne\u017e by se na z\u00e1klad\u011b minul\u00e9ho v\u00fdvoje \u010dekalo, aktu\u00e1ln\u00ed ceny jsou tak dra\u017e\u0161\u00ed v\u00edce ne\u017e o<\/strong> 100% !!!<\/strong> Co z toho plyne? Opce jsou velmi drah\u00e9<\/strong>. Znamen\u00e1 to, \u017ee akcie FB si pro\u0161ly v\u00a0posledn\u00edm obdob\u00ed velmi klidn\u00fdm a nevolatiln\u00edm v\u00fdvojem, kter\u00e9 zp\u016fsobilo, \u017ee Historick\u00e1 Volatilita je na velmi n\u00edzk\u00e9 \u00farovni pod 10%, tento minul\u00fd v\u00fdvoj ale nen\u00ed v\u016fbec p\u0159enesen do aktu\u00e1ln\u00edch tr\u017en\u00edch cen, m\u00e1m ve v\u00fdpo\u010dtu chybu?<\/span><\/p>\n

\u00a0Pokud bych cht\u011bl ze sou\u010dasn\u00fdch, velmi vysok\u00fdch cen vysledovat, jak\u00e1 je sou\u010dasn\u00e1 Implied Volatilita, kter\u00e1 byla pou\u017eita k v\u00fdpo\u010dtu sou\u010dasn\u00fdch cen opc\u00ed na strike 150, tak bych pomoc\u00ed aplikace na Livevol<\/a><\/strong>\u00a0mohl vypo\u010d\u00edtat, \u017ee jej\u00ed hodnota je 25,43%<\/strong>, tedy \u00fapln\u011b n\u011bkde jinde, ne\u017e je m\u00e1 „excelovsk\u00e1“ hodnota 9,60%.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Pro\u010d tomu tak je?<\/strong> Vysok\u00e1 Implied Volatilita, v\u00edce ne\u017e dvojn\u00e1sobn\u00e1 oproti volatilit\u011b Realizovan\u00e9 a Historick\u00e9 znamen\u00e1, \u017ee v\u00a0obdob\u00ed do expirace op\u010dn\u00edho kontraktu<\/strong>, kter\u00fdm se ve v\u00fdpo\u010dtu zab\u00fdv\u00e1m, je prom\u00edtnuta n\u011bjak\u00e1 o\u010dek\u00e1van\u00e1 ud\u00e1lost<\/strong><\/span>, kter\u00e1 zp\u016fsobuje tak dramatick\u00fd r\u016fst ceny op\u010dn\u00edho kontraktu<\/strong>. Takovou ud\u00e1lost\u00ed je o\u010dek\u00e1van\u00e9 vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f<\/strong> za prvn\u00ed kvart\u00e1l ohl\u00e1\u0161en\u00e9 na 3.kv\u011btna 2017<\/strong> po uzav\u0159en\u00ed trh\u016f. Tato ud\u00e1lost se stane za \u017eivota m\u00e9 sledovan\u00e9 opce a signalizuje, \u017ee podkladov\u00e1 akcie m\u016f\u017ee v\u00a0souvislost\u00ed s\u00a0touto ud\u00e1lost\u00ed ud\u011blat n\u011bjak\u00fd mimo\u0159\u00e1dn\u00fd cenov\u00fd pohyb a tento pohyb je prom\u00edtnut do hodnoty Implied Volatility a samoz\u0159ejm\u011b do ceny op\u010dn\u00edch kontrakt\u016f. Informace o projekci term\u00edn\u016f vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f m\u016f\u017eete v\u00a0ucelen\u00e9 podob\u011b zdarma naj\u00edt nap\u0159\u00edklad na Marketchameleon.com<\/a><\/span>.<\/strong><\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pozorov\u00e1n\u00ed v\u00fdvoje obou volatilit – Historick\u00e9 a Implikovan\u00e9 – je z\u00e1kladem a p\u0159edm\u011btem mnoha obchodn\u00edch op\u010dn\u00edch strategi\u00ed, kter\u00e9 budu v budouc\u00edch \u010dl\u00e1nc\u00edch popisovat. Odpov\u011b\u010f na ot\u00e1zku, jestli je opce nyn\u00ed drah\u00e1 nebo naopak levn\u00e1 je jedn\u00edm se z\u00e1kladn\u00edch p\u0159edpoklad\u016f k rozhodnut\u00ed, jak vstupovat do r\u016fzn\u00fdch op\u010dn\u00edch pozic, zejm\u00e9na jak\u00e9 opce k tomuto vyu\u017e\u00edt. K\u00a0velmi rychl\u00e9 a jednoduch\u00e9 vizualizaci a vyhodnocen\u00ed takov\u00e9ho fenom\u00e9nu diskrepance mezi volatilitami mohou b\u00fdt nap\u0159\u00edklad grafy takov\u00fdch Volatilit<\/strong>, kter\u00e9 m\u016f\u017eu zdarma z\u00edskat na str\u00e1nk\u00e1ch iVolatility.com<\/a><\/strong><\/span><\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Na obr\u00e1zku je vid\u011bt grafick\u00e9 zn\u00e1zorn\u011bn\u00ed<\/strong> pr\u016fb\u011bhu 30-ti denn\u00ed Historick\u00e9 Volatility<\/strong> (modr\u00e1 k\u0159ivka) za sou\u010dasn\u00e9ho zobrazen\u00ed pr\u016fb\u011bhu Implied Volatility<\/strong>\u00a0(hn\u011bd\u00e1 k\u0159ivka) u akcie FB. Takov\u00e9 k\u0159ivky pak reprezentuj\u00ed v\u00a0obecn\u00e9m pohledu nad\u011bje a o\u010dek\u00e1v\u00e1n\u00ed do akcie vkl\u00e1dan\u00e9<\/strong> (k\u0159ivka IV), ve srovn\u00e1n\u00ed se skute\u010dn\u00fdm a re\u00e1ln\u00fdm napl\u0148ov\u00e1n\u00edm takov\u00fdch nad\u011bj\u00ed a o\u010dek\u00e1v\u00e1n\u00ed<\/strong> (k\u0159ivka HV). Zcela z\u0159eteln\u011b je vid\u011bt, \u017ee p\u0159edpoklady a realita jsou dv\u011b diametr\u00e1ln\u011b odli\u0161n\u00e9 v\u011bci, takov\u00fd ale obecn\u011b nen\u00ed jen cenov\u00fd v\u00fdvoj akcie Facebook, ale \u017eivot s\u00e1m :c) <\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku Cena opce\u00a0jsem se pokusil popsat, jak je mo\u017en\u00e9 si alespo\u0148 zjednodu\u0161en\u011b p\u0159edstavit zcela zevrubnou stavbu stanoven\u00ed ceny op\u010dn\u00edho kontraktu. Proto\u017ee m\u00e1m r\u00e1d p\u0159evod teoretick\u00fdch \u00favah do praktick\u00e9ho obchodov\u00e1n\u00ed (vlastn\u011b o nic jin\u00e9ho mi ani nejde), tak bych se v\u00a0intenc\u00edch t\u011bchto lehce \u00e9terick\u00fdch my\u0161lenek pokusil tuto \u00favahu o Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":276,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_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},"jetpack_post_was_ever_published":false},"categories":[2],"tags":[19],"class_list":["post-267","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-zaklady","tag-historicka-volatilita"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-4j","jetpack-related-posts":[{"id":1686,"url":"https:\/\/dobretrejdy.com\/?p=1686","url_meta":{"origin":267,"position":0},"title":"Vnit\u0159n\u00ed hodnota a Pr\u00e9mium","author":"dobretrejdy :c)","date":"8.4.2018","format":false,"excerpt":"\u00a0\u00a0\u00a0 Homonymum \u201eSink Or Swim\u201c zn\u00ed t\u00e9m\u011b\u0159 stejn\u011b jako n\u00e1zev skv\u011bl\u00e9 op\u010dn\u00ed analytick\u00e9 platformy z\u00a0minul\u00e9ho \u010dl\u00e1nku a zcela p\u0159esn\u011b vystihuje dialektiku tradingu, bu\u010f se mi poda\u0159\u00ed na trz\u00edch plavat nebo na nich utonu. Nev\u00edm, jestli vyn\u00e1lezci n\u00e1zvu t\u00e9to aplikace m\u011bli na mysli pr\u00e1v\u011b tyto protikladn\u00e9 procesy p\u0159e\u017eit\u00ed, ale platforma thinkorswim\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1726,"url":"https:\/\/dobretrejdy.com\/?p=1726","url_meta":{"origin":267,"position":1},"title":"Z\u00e1kladn\u00ed mechanika op\u010dn\u00edch obchod\u016f","author":"dobretrejdy :c)","date":"16.4.2018","format":false,"excerpt":"\u00a0\u00a0 Pohledem na op\u010dn\u00ed \u0159et\u011bzec a mo\u017enosti obchodovat op\u010dn\u00ed kontrakty Call i Put na libovoln\u00fd strike (ITM, ATM a OTM), nav\u00edc v\u00a0obou mo\u017enostech op\u010dn\u00ed kontrakt nakoupit i prodat, popsan\u00fdch v\u00a0minul\u00e9m \u010dl\u00e1nku, pak nele\u017e\u00ed z\u00e1kladn\u00ed principy op\u010dn\u00edch obchod\u016f nikde jinde, ne\u017e v\u00a0cen\u00e1ch jednotliv\u00fdch op\u010dn\u00edch kontrakt\u016f na sv\u00fdch jednotliv\u00fdch strike a v\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3202,"url":"https:\/\/dobretrejdy.com\/?p=3202","url_meta":{"origin":267,"position":2},"title":"Delta Neutral – VI.","author":"dobretrejdy :c)","date":"4.5.2019","format":false,"excerpt":"\u00a0 \u00a0Je pond\u011bl\u00ed 25.3.2019 a j\u00e1 sleduji t\u0159et\u00ed d\u00edl \u010dtvrt\u00e9 s\u00e9rie kultovn\u00edho seri\u00e1lu Billions. Taylor rozepisuje na tabuli matematickou \u00favahu, kter\u00e1 demonstruje spletitost, slo\u017eitost a sofistikovanost vyd\u011bl\u00e1v\u00e1n\u00ed pen\u011bz na finan\u010dn\u00edch trz\u00edch. Snaha je pravd\u011bpodobn\u011b uk\u00e1zat, \u017ee pokud to nem\u00e1te v\u00a0hlav\u011b matematicky v\u00a0po\u0159\u00e1dku, nem\u00e1te \u0161anci se takov\u00fdm investorsk\u00fdm veli\u010din\u00e1m rovnat. \u00a0\u00a0\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\/2019\/05\/mean.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":574,"url":"https:\/\/dobretrejdy.com\/?p=574","url_meta":{"origin":267,"position":3},"title":"Vega","author":"dobretrejdy :c)","date":"2.7.2017","format":false,"excerpt":"\u00a0\u201e\u2026 p\u0159esto\u017ee se v\u017eilo, \u017ee popis faktor\u016f p\u016fsob\u00edc\u00edch na tvorbu op\u010dn\u00ed ceny jsme zvykl\u00ed ozna\u010dovat \u0159eck\u00fdmi p\u00edsmeny Delta, Gamma, Th\u00e9ta, Rho, Vega, tak mus\u00edm podotknout, \u017ee Vega nen\u00ed p\u00edsmenem \u0159eck\u00e9 abecedy\u2026\u201c, v\u00a0tomto smyslu v\u011bt\u0161inou b\u00fdvaj\u00ed uv\u00e1d\u011bny \u010dl\u00e1nky o \"Vega\" zab\u00fdvaj\u00edc\u00ed se vlivem zm\u011bny Implied Volatility na cenu op\u010dn\u00edho kontraktu, z\u0159ejm\u011b\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1790,"url":"https:\/\/dobretrejdy.com\/?p=1790","url_meta":{"origin":267,"position":4},"title":"Long Put","author":"dobretrejdy :c)","date":"28.4.2018","format":false,"excerpt":"\u00a0\u00a0 Nakoupen\u00ed Long Put op\u010dn\u00edho kontraktu b\u00fdv\u00e1 v\u011bt\u0161inou spojeno s p\u0159edstavou, \u017ee tvo\u0159\u00edm s\u00e1zku na pokles trh\u016f podkladov\u00e9ho aktiva a tento pokles zp\u016fsob\u00ed, \u017ee na nakoupen\u00e9 Long Put opci vyd\u011bl\u00e1m. Je to samoz\u0159ejm\u011b pravda, pokud je pokles ceny podkladu takov\u00fd, \u017ee aktu\u00e1ln\u00ed cena Long Put opce je vy\u0161\u0161\u00ed ne\u017e hodnota\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/04\/main-1.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":267,"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":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/Cheap.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/267","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=267"}],"version-history":[{"count":15,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/267\/revisions"}],"predecessor-version":[{"id":1409,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/267\/revisions\/1409"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/276"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=267"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=267"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=267"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}