{"id":2853,"date":"2019-01-26T13:32:56","date_gmt":"2019-01-26T11:32:56","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=2853"},"modified":"2025-02-24T08:58:29","modified_gmt":"2025-02-24T06:58:29","slug":"vvix-volatilita-volatility","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=2853","title":{"rendered":"VVIX – Volatilita Volatility"},"content":{"rendered":"

\u00a0 \u00a0\u00a0Gepard ub\u011bhne sto metr\u016f za \u010dty\u0159i vte\u0159iny, z\u00a0Olomouce do Brna pojedu ve sv\u00e9m aut\u011b hodinu a \u017eralok pr\u00fd plave stejn\u011b rychle, jako si to uh\u00e1n\u00ed Usain Bolt. Ka\u017ed\u00fd tvor nebo ka\u017ed\u00e1 v\u011bc, v\u0161e, co m\u00e1 schopnost pohybu, m\u00e1 svou vlastn\u00ed rychlost. M\u016f\u017eu ji nejr\u016fzn\u011bji m\u011b\u0159it, stopkami, tachometrem nebo prost\u00fdm pozorov\u00e1n\u00edm. Stejn\u011b je tomu na finan\u010dn\u00edch trz\u00edch, ka\u017ed\u00fd investi\u010dn\u00ed n\u00e1stroj se n\u011bjak\u00fdm zp\u016fsobem pohybuje, jeho cena v\u00a0\u010dase roste nebo kles\u00e1 a zanech\u00e1v\u00e1 za sebou datovou stopu, kterou mohu nejr\u016fzn\u011bji m\u011b\u0159it a vyhodnocovat. Z\u00a0nam\u011b\u0159en\u00fdch hodnot v\u00a0minulosti pak mohu n\u011bjak\u00fdm v\u00fdpo\u010dtem ur\u010dit velikost zm\u011bn t\u011bchto historick\u00fdch pohyb\u016f a pokud zvol\u00edm stejnou metodiku v\u00fdpo\u010dtu na podobn\u00e9 t\u0159\u00eddy aktiv, mohu pak tyto \u201ezm\u011b\u0159en\u00e9 rychlosti\u201c porovn\u00e1vat a odhalovat, \u017ee n\u011bkter\u00e9 aktiva se \u201epohybovaly rychleji\u201c ne\u017e aktiva jin\u00e1. Jednou z\u00a0metod je pak ji\u017e popisovan\u00e1 metoda v\u00fdpo\u010dtu Historick\u00e9 Volatility<\/a><\/span><\/strong>, jej\u00ed\u017e aplikac\u00ed mohu jednodu\u0161e zjistit, \u017ee akcie spole\u010dnosti AAPL jsou n\u00e1chyln\u011bj\u0161\u00ed ke sv\u00e9 cenov\u00e9 zm\u011bn\u011b v\u00edce, ne\u017e akcie Johnson & Johnson a \u017ee se tedy \u201erychleji pohybuj\u00ed\u201c. D\u00edvat se do minulosti, vypo\u010d\u00edt\u00e1vat a srovn\u00e1vat jednotliv\u00e9 pohybov\u00e9 schopnosti pomoc\u00ed Historick\u00e9 Volatility je pom\u011brn\u011b jednoduch\u00e9. Obt\u00ed\u017en\u011bj\u0161\u00ed pak je odhadovat, nakolik minul\u00e9 pohyby ukazuj\u00ed na pohyby budouc\u00ed, interpolovat minul\u00fd v\u00fdvoj do budoucnosti je pak nesm\u00edrn\u011b obt\u00ed\u017en\u00e1 (ne-li nemo\u017en\u00e1) discipl\u00edna.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0\u010dl\u00e1nku VIX Index<\/a><\/strong><\/span> jsem se pokou\u0161el popsat a vysv\u011btlit, jak\u00fdm zp\u016fsobem p\u0159istoupili tv\u016frci tohoto indexu k\u00a0jeho v\u00fdpo\u010dtu, kter\u00fdm se sna\u017e\u00ed zhmotnit p\u0159edstavu o t\u0159icetidenn\u00ed o\u010dek\u00e1van\u00e9 Implied Volatilit\u011b, tedy p\u0159edstav\u011b o budouc\u00edm pohybu akciov\u00e9ho indexu S&P 500. Z\u00e1kladem t\u011bchto v\u00fdpo\u010dt\u016f je pak m\u011b\u0159en\u00ed a modelov\u00e1n\u00ed cenov\u00fdch pohyb\u016f dvou s\u00e9ri\u00ed op\u010dn\u00edch kontrakt\u016f listovan\u00fdch na tento akciov\u00fd index S&P 500 s\u00a0expirac\u00ed za t\u0159icet dn\u016f od vypo\u010d\u00edt\u00e1van\u00e9ho okam\u017eiku. Na z\u00e1klad\u011b p\u0159esn\u011b dan\u00e9ho algoritmu se zm\u011bna cen t\u011bchto op\u010dn\u00edch kontrakt\u016f, p\u0159edev\u0161\u00edm t\u011bch \u201emimo pen\u00edze\u201c a nav\u00edc siln\u011bji na stran\u011b Put op\u010dn\u00edho \u0159et\u011bzce, potom p\u0159en\u00e1\u0161\u00ed do kone\u010dn\u00e9 hodnoty tohoto VIX Indexu. P\u0159i poznan\u00e9m zji\u0161t\u011bn\u00ed, \u017ee ceny Put opc\u00ed akciov\u00e9ho indexu S&P 500 rostou pokud trhy klesaj\u00ed, proto\u017ee je hed\u017ee\u0159i vyu\u017e\u00edvaj\u00ed pro zaji\u0161\u0165ov\u00e1n\u00ed akciov\u00fdch portfoli\u00ed nebo spekulanti za\u010dnou jednodu\u0161e s\u00e1zet na poklesy akciov\u00fdch trh\u016f p\u0159\u00edm\u00fdmi n\u00e1kupy Put op\u010dn\u00edch kontrakt\u016f \u201emimo pen\u00edze\u201c, pak lze snadno vypozorovat, \u017ee zvy\u0161uj\u00edc\u00ed se hodnota VIX Indexu je dobr\u00fdm n\u00e1strojem pro m\u011b\u0159en\u00ed zvy\u0161ov\u00e1n\u00ed nap\u011bt\u00ed na akciov\u00fdch trz\u00edch m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 pr\u00e1v\u011b na z\u00e1klad\u011b zvy\u0161uj\u00edc\u00ed se popt\u00e1vce po vzd\u00e1len\u00fdch Put op\u010dn\u00edch kontraktech na tento akciov\u00fd index. Matematick\u00fd model, kter\u00fd tento v\u00fdpo\u010det zpracov\u00e1v\u00e1 je pak mo\u017en\u00e9 univerz\u00e1ln\u011b vyu\u017e\u00edt tak\u00e9 pro jin\u00e9 investi\u010dn\u00ed n\u00e1stroje s\u00a0t\u00edm, \u017ee m\u011b nemus\u00ed zrovna zaj\u00edmat situace na trhu akci\u00ed obsa\u017een\u00fdch v akciov\u00e9m indexu S&P 500, ale mohu tuto o\u010dek\u00e1vanou t\u0159icetidenn\u00ed Implied Volatilitu cht\u00edt zji\u0161\u0165ovat tak\u00e9 u akciov\u00e9ho indexu Russell 2000 (RVX) nebo Nasdaq 100 (VXN) popisovanou v\u00a0\u010dl\u00e1nku VIX Technologie + Akciov\u00e9 Indexy<\/a><\/strong><\/span> nebo dokonce po\u017eadovat po tomto univerz\u00e1ln\u00edm v\u00fdpo\u010dtu zji\u0161t\u011bn\u00ed o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed Implied Volatility pro jednotliv\u00e9 akciov\u00e9 tituly (AAPL, AMZN, GS, GOOG, IBM, USO) popisovan\u00e9 v\u00a0\u010dl\u00e1nku VIX Technologie + Akcie<\/a><\/strong><\/span>. V\u00a0ka\u017ed\u00e9m z\u00a0t\u011bchto p\u0159\u00edpad\u016f jsou z\u00e1kladem v\u00fdpo\u010dtu t\u0159icetidenn\u00edho o\u010dek\u00e1v\u00e1n\u00ed pou\u017eity op\u011bt op\u010dn\u00ed s\u00e9rie kontrakt\u016f expiruj\u00edc\u00edch v\u00a0tomto t\u0159icetidenn\u00edm horizontu pro dan\u00fd investi\u010dn\u00ed instrument, tak\u017ee si mohu velmi lehce p\u0159edstavit, \u017ee pokud existuj\u00ed pro jak\u00fdkoliv investi\u010dn\u00ed n\u00e1stroj listovan\u00e9 op\u010dn\u00ed kontrakty, mohu si jednodu\u0161e ur\u010dit jeho vlastn\u00ed index volatility. \u00a0<\/span><\/p>\n

\u00a0 \u00a0\u201eEvery asset class deserves its own volatility index, including volatility itself<\/em>\u201c. T\u00edmto v\u00fdrokem o tom, \u017ee ka\u017ed\u00e1 t\u0159\u00edda aktiv si zaslou\u017e\u00ed sv\u016fj vlastn\u00ed index volatility, v\u010detn\u011b volatility sam\u00e9, pojmenovali tv\u016frci VVIX indexu vlastn\u00ed motivy, kter\u00e9 vedly k\u00a0jeho tvorb\u011b. Pokud tedy existuj\u00ed op\u010dn\u00ed kontrakty listovan\u00e9 na akcii Amazon, mohu sestavit VXAZN Index, pokud existuj\u00ed op\u010dn\u00ed kontrakty na Russell 2000 Index, mohu sestavit RVX Index, pokud existuj\u00ed op\u010dn\u00ed kontrakty na VIX Index<\/strong> mohu sestavit a vypo\u010d\u00edtat VVIX Index<\/strong>. VVIX tak nen\u00ed nic jin\u00e9ho, ne\u017e nasazen\u00e1 technologie v\u00fdpo\u010dtu VIX Indexu<\/strong> pro t\u0159icetidenn\u00ed o\u010dek\u00e1vanou Implied Volatilitu, p\u0159i kter\u00e9 se pou\u017eily ceny op\u010dn\u00edch s\u00e9ri\u00ed expiruj\u00edc\u00edch v\u00a0t\u0159icetidenn\u00edm \u010dasov\u00e9m horizontu VIX op\u010dn\u00edch kontrakt\u016f<\/strong>. To je pozoruhodn\u00e9 zji\u0161t\u011bn\u00ed a m\u016f\u017ee v\u00e9st k\u00a0pozoruhodn\u00e9mu vyu\u017eit\u00ed nebo alespo\u0148 k\u00a0u\u017eite\u010dn\u00e9 interpretaci.<\/span><\/p>\n

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M\u011b\u0159en\u00ed strachu<\/strong><\/span><\/h1>\n

\u00a0Pokud roste hodnota RVX Indexu, patrn\u011b roste nap\u011bt\u00ed na akci\u00edch spole\u010dnost\u00ed n\u00e1le\u017eej\u00edc\u00edch do \u0161irok\u00e9ho akciov\u00e9ho indexu Russell 2000 a je pr\u016fvodn\u00edm jevem zv\u00fd\u0161en\u00e9 obavy o p\u00e1d jejich cen, pokud ji\u017e k\u00a0n\u011bmu nedoch\u00e1z\u00ed. Zv\u00fd\u0161en\u00e1 hodnota VXAPL m\u016f\u017ee zobrazovat podobn\u011b pochmurn\u00e9 n\u00e1lady na akcii AAPL nebo se m\u016f\u017ee objevit na obzoru n\u011bjak\u00e1 fundament\u00e1ln\u00ed zpr\u00e1va, kter\u00e9 m\u016f\u017ee cenou t\u011bchto akci\u00ed n\u011bjak\u00fdm zp\u016fsobem ot\u0159\u00e1st (vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f, f\u00faze se spole\u010dnost\u00ed Huawei :c) a podobn\u011b….). Mohu pak srovn\u00e1vat r\u016fsty t\u011bchto index\u016f s\u00a0jejich historick\u00fdmi \u00farovn\u011bmi a odhadovat, nakolik je n\u00e1lada na t\u011bchto podkladov\u00fdch aktivech \u0161patn\u00e1 nebo dobr\u00e1, pokud bych se pak m\u011bl n\u011bjak hloub\u011bji pono\u0159it do zkoum\u00e1n\u00ed t\u00e9to n\u00e1lady, zjist\u00edm, \u017ee mnoho dal\u0161\u00edch ukazatel\u016f na b\u00e1zi Implied Volatility se mi ji\u017e nenab\u00edz\u00ed. Naproti tomu n\u00e1r\u016fst hodnoty VIX Indexu podpo\u0159en\u00fd pozn\u00e1n\u00edm VVIX Indexu<\/strong> pak d\u00e1v\u00e1 takov\u00e9mu pohledu dal\u0161\u00ed rozm\u011br. Pokud bych si p\u0159edstavil v\u0161emo\u017en\u00e9 indexy volatility jako nerv\u00f3zn\u00ed chlap\u00edky, kte\u0159\u00ed p\u0159i ka\u017ed\u00e9m probl\u00e9mu prudce vysko\u010d\u00ed ze \u017eidle, tak chl\u00e1pek jm\u00e9nem VIX Index by m\u011bl nav\u00edc na ruce fitness n\u00e1ramek, kter\u00fd by mi umo\u017enil sledovat, nakolik je jeho strach hlubok\u00fd a opravdov\u00fd a jestli jeho reakce jsou p\u0159ehnan\u00e9 \u010di nikoliv. VIX Index, na rozd\u00edl od jmenovan\u00fdch index\u016f volatility, toti\u017e disponuje listovan\u00fdmi VX futures kontrakty a na n\u011b nav\u00e1zan\u00fdmi VIX op\u010dn\u00edmi kontrakty, kter\u00e9 mohou zachycovat pr\u00e1v\u011b citlivost a \u00farove\u0148 existuj\u00edc\u00edho strachu, proto\u017ee z\u00a0jejich hodnot je hodnota VVIX Indexu odvozena<\/strong>. Zv\u00fd\u0161en\u00e1 popt\u00e1vka po VIX op\u010dn\u00edch kontraktech je zp\u016fsobena zejm\u00e9na obchodn\u00edky, kte\u0159\u00ed cht\u011bj\u00ed zajistit sv\u00e9 obchody, kter\u00e9 u\u010dinili na nejr\u016fzn\u011bj\u0161\u00edch VX futures nebo jejich kombinac\u00edch, market makery, kte\u0159\u00ed v\u00a0dob\u00e1ch popt\u00e1vky po VX futures zaji\u0161\u0165uj\u00ed vypl\u0148ov\u00e1n\u00ed objedn\u00e1vek tak\u00e9 p\u0159\u00edslu\u0161n\u00fdmi VIX op\u010dn\u00edmi kontrakty nebo op\u010dn\u00edmi tradery, kte\u0159\u00ed prost\u0159ednictv\u00edm p\u0159\u00edm\u00fdch investic do VIX op\u010dn\u00edch kontrakt\u016f zaji\u0161\u0165uj\u00ed sv\u00e1 akciov\u00e1 nebo futures portfolia \u010di jednodu\u0161e s\u00e1z\u00ed na ur\u010dit\u00fd sm\u011br pohybu Implied Volatility na akci\u00edch n\u00e1le\u017eej\u00edc\u00ed do indexu S&P 500. Aplikac\u00ed v\u00fdpo\u010dtu VIX Indexu z\u00a0cen opc\u00ed na SPX na v\u00fdpo\u010det VVIX Indexu z\u00a0cen VIX opc\u00ed pak d\u00e1v\u00e1 obchodn\u00edkovi dobr\u00fd n\u00e1stroj k\u00a0pozorov\u00e1n\u00ed opravdovosti strachu na akciov\u00fdch trz\u00edch. Teoretick\u00e9 \u00favahy ale nejl\u00e9pe demonstruj\u00ed praktick\u00e1 sd\u011blen\u00ed, proto bude nejl\u00e9pe uk\u00e1zat, jak\u00e9 by mohlo b\u00fdt konkr\u00e9tn\u00ed vyu\u017eit\u00ed zji\u0161t\u011bn\u00fdch hodnot VVIX Indexu v praxi, pro \u00fapln\u011b nejobecn\u011bj\u0161\u00ed n\u00e1hled m\u016f\u017ee poslou\u017eit obr\u00e1zek n\u00ed\u017ee, na n\u011bm\u017e je zn\u00e1zorn\u011bn pr\u016fb\u011bh hodnoty VVIX Indexu za obdob\u00ed od 1.1.2007 do 20.1.2019.<\/span><\/p>\n

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\u00a0 Z\u00a0obr\u00e1zku je patrn\u00e9, \u017ee hodnotov\u00fd pr\u016fb\u011bh VVIX Indexu za toto obdob\u00ed m\u00e1 z\u0159eteln\u00fd support na hodnot\u00e1ch zhruba 70 bod\u016f, zat\u00edmco v\u00fdst\u0159ely mohou nab\u00fdvat zna\u010dn\u011b dramatick\u00fdch hodnot a tyto hodnotov\u00e9 zm\u011bny (podle ostrosti jednotliv\u00fdch vrchol\u016f) pak znamenaj\u00ed, \u017ee takov\u00e9 pohyby velmi rychle nejen p\u0159ich\u00e1zej\u00ed, ale tak\u00e9 dosti rychle odch\u00e1zej\u00ed. Za sledovan\u00e9 obdob\u00ed pak dos\u00e1hla hodnota VVIX Indexu nejni\u017e\u0161\u00ed<\/strong> historick\u00e9 hodnoty 59.74 bodu<\/strong> dne 23.4.2008, tedy na ja\u0159e p\u0159edch\u00e1zej\u00edc\u00edm finan\u010dn\u00ed krizi 2008-2009, naopak nejvy\u0161\u0161\u00ed<\/strong> hodnoty dos\u00e1hla za\u010d\u00e1tkem roku 2018, konkr\u00e9tn\u011b 8.2.2018, kdy cena vystoupala na neuv\u011b\u0159iteln\u00fdch 180.61 bodu<\/strong>. Z\u00e1kladem pro orientaci v\u00a0hodnot\u00e1ch VVIX Indexu<\/strong>\u00a0tak bude p\u00e1smo 60-180 bod\u016f<\/strong> jeho hodnoty.<\/span><\/p>\n

\u00a0\u00a0 Je pochopiteln\u00e9, \u017ee n\u00e1r\u016fsty hodnoty VIX Indexu jsou doprov\u00e1zeny n\u00e1r\u016fsty hodnoty VVIX Indexu. Na obr\u00e1zku n\u00ed\u017ee je zachycen dvoulet\u00fd pr\u016fb\u011bh obou sledovan\u00fdch index\u016f.<\/span><\/p>\n

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\u00a0 \u00a0Pr\u016fb\u011bh obou k\u0159ivek vypad\u00e1 velmi podobn\u011b, na takov\u00e9m \u010dasov\u00e9m r\u00e1mci a v\u00a0takto prezentovan\u00e9m grafu jsou n\u00e1r\u016fsty na VIX Indexu<\/strong> t\u00e9m\u011b\u0159 identicky kop\u00edrov\u00e1ny hodnotami VVIX Indexu<\/strong>. Pokud bych cht\u011bl z\u00a0takov\u00e9ho grafu a srovn\u00e1v\u00e1n\u00ed na n\u011bco usuzovat, pravd\u011bpodobn\u011b by m\u011b nic kloudn\u00e9ho nenapadlo, proto\u017ee jednodu\u0161e r\u016fst VIX Indexu je doprov\u00e1zen r\u016fstem VVIX Indexu, nic sv\u011btoborn\u00e9ho. Zaj\u00edmav\u011bj\u0161\u00ed pohled by mi ale mohlo poskytnou pom\u011b\u0159en\u00ed obou hodnot v\u00a0jejich vz\u00e1jemn\u00e9m absolutn\u00edm vztahu. Pokud bych se tedy m\u011bl spokojit s\u00a0tvrzen\u00edm, \u017ee pokud roste jedna veli\u010dina a s\u00a0n\u00ed sou\u010dasn\u011b stejn\u011b roste veli\u010dina druh\u00e1, mus\u00ed m\u00edt tyto vlastnosti tak\u00e9 jejich pom\u011br (Ratio). Pokud tedy vytvo\u0159\u00edm pod\u00edl VVIX\/VIX a porovn\u00e1m jej s\u00a0pr\u016fb\u011bhem samotn\u00e9ho VIX Indexu, m\u011bl bych m\u00edt mo\u017enost pozorovat obr\u00e1zek podobn\u011b symetrick\u00fdch pr\u016fb\u011bh\u016f. Na obr\u00e1zku n\u00ed\u017ee je dvoulet\u00fd graf zachycuj\u00edc\u00ed takovou skute\u010dnost.<\/span><\/p>\n

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\u00a0\u00a0 Nen\u00ed tomu v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b tak, pom\u011br VVIX\/VIX m\u00e1 zcela odli\u0161n\u00fd pr\u016fb\u011bh ne\u017e pr\u016fb\u011bh samotn\u00e9ho VIX Indexu a bude pravd\u011bpodobn\u011b zdrojem mo\u017en\u00fdch interpretac\u00ed. Je velmi pravd\u011bpodobn\u00e9, \u017ee se v\u00fdvoj jednotliv\u00fdch hodnot nevyv\u00edj\u00ed symetricky, jak by se na prvn\u00ed pohled zd\u00e1lo, proto\u017ee k\u0159ivka Ratio VVIX\/VIX nem\u00e1 v\u016fbec pr\u016fb\u011bh podobn\u00fd k\u0159ivce VIX Indexu, ale vyzna\u010duje se zna\u010dn\u011b rozevl\u00e1t\u00fdm pr\u016fb\u011bhem se sv\u00fdmi vrcholy a dny. Je tak jasn\u00e9, \u017ee nap\u0159\u00edklad p\u0159i vysok\u00fdch hodnot\u00e1ch VVIX Indexu m\u016f\u017ee b\u00fdt v\u00a0ur\u010dit\u00fdch situac\u00edch hodnota VIX Indexu tak\u00e9 vysok\u00e1 nebo za stejn\u00e9 situace vysok\u00e9 hodnoty VVIX Indexu m\u016f\u017ee b\u00fdt naopak hodnota VIX Indexu neobvykle n\u00edzk\u00e1. Detailn\u00ed rozbor t\u00e9to nestejnorod\u00e9 dynamiky obou pom\u011b\u0159ovan\u00fdch index\u016f bych pak ponechal na subjektivn\u00edch vyhodnocen\u00edch a zkoum\u00e1n\u00ed, proto\u017ee by zcela jist\u011b p\u0159es\u00e1hl obsah tohoto \u010dl\u00e1nku, mohl by ale b\u00fdt v\u00fdchoz\u00edm bodem pro n\u00e1sleduj\u00edc\u00ed jednodu\u0161\u0161\u00ed interpretace a vyu\u017eit\u00ed. \u00a0<\/span><\/p>\n

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Po\u0159izov\u00e1n\u00ed VIX op\u010dn\u00edch kontrakt\u016f<\/strong><\/span><\/h1>\n

\u00a0 \u00a0<\/span>Pokud jsem vyl\u00ed\u010dil VIX Index jako \u201enerv\u00f3zn\u00edho chlap\u00edka s\u00a0fitness n\u00e1ramkem\u201c, kter\u00fd p\u0159i ka\u017ed\u00e9m sebemen\u0161\u00edm probl\u00e9mu vyskakuje ze \u017eidle, tak jsem m\u011bl zejm\u00e9na na mysli, \u017ee na tomto fitness n\u00e1ramku budu moci odez\u00edrat hodnoty VVIX Indexu, kter\u00fd reaguje na zm\u011bnu cen p\u0159\u00edslu\u0161n\u00fdch VIX op\u010dn\u00edch kontrakt\u016f. Luxus takov\u00e9ho m\u011b\u0159en\u00ed mi \u017e\u00e1dn\u00fd jin\u00fd index volatility neumo\u017e\u0148uje. Mohu pak zjednodu\u0161en\u011b konstatovat, \u017ee pokud se budou ceny VIX op\u010dn\u00edch kontrakt\u016f zvy\u0161ovat, bude se zvy\u0161ovat tak\u00e9 hodnota VVIX indexu. Tak jako mohu zji\u0161\u0165ovat, jestli jsou hodnoty opc\u00ed na SPX drah\u00e9 nebo levn\u00e9 podle hodnoty VIX Indexu (z nich v\u00fdpo\u010det VIX Index vych\u00e1z\u00ed), tak mohu jednodu\u0161e takovou \u00favahu aplikovat tak\u00e9 na ceny VIX op\u010dn\u00edch kontrakt\u016f prost\u0159ednictv\u00edm VVIX Indexu. Nab\u00edz\u00ed se tak jin\u00fd pohled na ceny VIX opc\u00ed, ne\u017e je zaveden\u00e1 p\u0159edstava, \u017ee pokud hodnota VIX Indexu roste, tak samoz\u0159ejm\u011b roste tak\u00e9 hodnota VIX op\u010dn\u00edch kontrakt\u016f nebo \u00fapln\u011b zjednodu\u0161en\u00e1 p\u0159edstava, \u017ee p\u0159i vysok\u00fdch hodnot\u00e1ch VIX Indexu jsou adekv\u00e1tn\u011b drah\u00e9 tak\u00e9 VIX opce. P\u0159esto\u017ee je tomu obecn\u011b tak, tak tato \u00favaha se d\u00e1 \u201evy\u0161perkovat\u201c pr\u00e1v\u011b pomoc\u00ed VVIX Indexu, aby se zjistilo, \u017ee to tak docela pravda nen\u00ed. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Po\u0159izov\u00e1n\u00ed VIX op\u010dn\u00edch kontrakt\u016f je opravdu obl\u00edben\u00e1 discipl\u00edna. Mohu pro ni m\u00edt nejr\u016fzn\u011bj\u0161\u00ed obchodn\u00ed d\u016fvody, proto by m\u011b m\u011blo zaj\u00edmat, jestli v\u00a0danou chv\u00edli je pro po\u0159\u00edzen\u00ed takov\u00e9ho VIX op\u010dn\u00edho kontraktu opravdu vhodn\u00e1 doba z\u00a0pohledu jeho ceny v\u00a0danou chv\u00edli. Na obr\u00e1zku n\u00ed\u017ee situace na VVIX Indexu ke dni 23.1.2019 (obdob\u00ed, kdy p\u00ed\u0161u tento \u010dl\u00e1nek).<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee se v\u00a0tento den (v danou chv\u00edli po\u0159\u00edzen\u00ed obr\u00e1zku) nach\u00e1zela hodnota VVIX Indexu na hodnot\u011b 93.44 bodu. Mohu pak na t\u00e9to hodnotov\u00e9 \u00farovni zji\u0161\u0165ovat, jak\u00e1 je cena VIX op\u010dn\u00edch kontrakt\u016f, kter\u00e1 je patrn\u00e1 v\u00a0op\u010dn\u00edm \u0159et\u011bzci ze stejn\u00e9ho okam\u017eiku na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0<\/span>\u00a0\u00a0 P\u0159i hodnot\u011b VVIX Indexu<\/strong> na \u00farovni 93.44 bodu<\/strong> se nach\u00e1z\u00ed hodnota VIX Indexu<\/strong> na \u00farovni 21.14 bodu<\/strong>. P\u0159i t\u00e9to hladin\u011b VIX Indexu mohu nap\u0159\u00edklad sledovat (pro lep\u0161\u00ed budouc\u00ed porovn\u00e1n\u00ed), \u017ee m\u011b bude zaj\u00edmat cena Call VIX opc\u00ed zcela \u201emimo pen\u00edze\u201c na \u00farovni strike 30<\/strong> v\u00a0op\u010dn\u00edm \u0159et\u011bzci expiruj\u00edc\u00edm za 20 kalend\u00e1\u0159n\u00edch dn\u016f<\/strong>. Mohu pak vysledovat, \u017ee se cena op\u010dn\u00edch kontrakt\u016f pohybuje mezi 40 USD – 45 USD<\/strong> (Bid-Ask), pokud bych tedy nap\u0159\u00edklad cht\u011bl \u201eshortovat volatilitu\u201c a rozhodl se vypsat VIX Short Call 30, potom bych patrn\u011b za ni utr\u017eil +40 USD. \u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Pohledem do historie bych ale mohl zjistit, \u017ee dne 13.6.2016 se hodnota VVIX Indexu<\/strong> nach\u00e1zela na daleko vy\u0161\u0161\u00ed \u00farovni 124.25 bodu<\/strong>, tak jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159esto\u017ee byla hodnota VVIX Indexu na takto vypjat\u00e9 \u00farovni, mohl jsem vypozorovat, \u017ee hodnota VIX Indexu byla na t\u00e9m\u011b\u0159 toto\u017en\u00e9 hladin\u011b, jako v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm p\u0159\u00edpad\u011b. Z\u00a0obr\u00e1zku n\u00ed\u017ee vypl\u00fdv\u00e1, \u017ee hodnota VIX Indexu<\/strong> je na \u00farovni 21.40 bodu<\/strong> a mohu pak pozorovat obdobn\u00e9 hodnoty VIX op\u010dn\u00edch kontrakt\u016f. (Pozn\u00e1mka: Z\u00a0historick\u00fdch dat poskytnut\u00fdch CBOE vypl\u00fdv\u00e1, \u017ee Close VIX Indexu v\u00a0tento den je 20.97 bodu a nikoliv 21.40, jako v\u00a0TOS, mohu v\u0161ak tuto nep\u0159esnost p\u0159ehl\u00e9dnout, proto\u017ee se i tak jedn\u00e1 p\u0159i porovn\u00e1v\u00e1n\u00ed s hodnotou v\u00fd\u0161e o velmi bl\u00edzk\u00e9 hodnoty VIX Indexu)<\/em><\/span><\/p>\n

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\u00a0\u00a0 Co tedy mohu pozorovat? P\u0159esto\u017ee je hodnota VIX Indexu<\/strong> t\u00e9m\u011b\u0159 stejn\u00e1<\/strong>, jako v\u00a0p\u0159edch\u00e1zej\u00edc\u00ed uk\u00e1zce ze sou\u010dasnosti, jsou ceny VIX op\u010dn\u00edch kontrakt\u016f diametr\u00e1ln\u011b jin\u00e9<\/strong>. Mohu toti\u017e zjistit, \u017ee ceny Call VIX op\u010dn\u00edch kontrakt\u016f na stejn\u00fd strike 30 jsou v\u00a0rozmez\u00ed 65 USD \u2013 90 USD<\/strong>, tedy o des\u00edtky procent vy\u0161\u0161\u00ed, ne\u017e v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm p\u0159\u00edpad\u011b p\u0159i ni\u017e\u0161\u00ed hodnot\u011b VVIX Indexu a stejn\u00e9 hodnot\u011b VIX Indexu. Tento nepom\u011br zejm\u00e9na vynik\u00e1 sou\u010dasn\u011b se zji\u0161t\u011bn\u00edm, \u017ee VIX op\u010dn\u00edm kontrakt\u016fm podle obr\u00e1zku v\u00fd\u0161e zb\u00fdv\u00e1 do expirace pouze 15 kalend\u00e1\u0159n\u00edch dn\u016f<\/strong>, co\u017e je o p\u011bt dn\u00ed m\u00e9n\u011b ne\u017e v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm p\u0159\u00edpad\u011b, a p\u0159esto jsou opce v\u00fdrazn\u011b dra\u017e\u0161\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee jsou ceny VIX op\u010dn\u00edch kontrakt\u016f nav\u00e1z\u00e1ny na VX futures kontrakty a tyto maj\u00ed svou Term Structure (\u010dasovou strukturu), nemus\u00edm se p\u0159i investici do VIX op\u010dn\u00edch kontrakt\u016f n\u011bjak d\u016fkladn\u011b zam\u00fd\u0161let nad touto \u010dasovou strukturou v danou chv\u00edli, kdy prov\u00e1d\u00edm n\u011bjak\u00e9 obchodn\u00ed rozhodnut\u00ed, ale m\u016f\u017ee mi tak k\u00a0takov\u00e9mu rozhodnut\u00ed sta\u010dit pouze zji\u0161t\u011bn\u00ed hodnoty VVIX Indexu, abych mohl usuzovat, jestli je v\u00a0danou chv\u00edli cena VIX opc\u00ed n\u00edzk\u00e1 nebo vysok\u00e1.<\/span><\/p>\n

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\u201e\u00danava\u201c Volatility<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Proto\u017ee je nyn\u00ed ji\u017e jasn\u00e9, \u017ee ka\u017ed\u00e9 \u201evysko\u010den\u00ed z\u00a0\u017eidle\u201c nemus\u00ed nutn\u011b prov\u00e1zet stejn\u00e9 emoce trh\u016f a tak\u00e9 to, \u017ee mohu m\u00edru t\u011bchto emoc\u00ed alespo\u0148 n\u011bjak\u00fdm z\u00e1kladn\u00ed zp\u016fsobem m\u011b\u0159it, m\u016f\u017ee mi toto m\u011b\u0159en\u00ed (hodnota VVIX Indexu) napov\u011bd\u011bt, nakolik jsou tyto emoce vypjat\u00e9 a jestli se v\u0161e opravdu tv\u00e1\u0159\u00ed tak, jak se ve skute\u010dnosti d\u011bje. Proto\u017ee hodnota VIX Indexu, jako z\u00e1kladn\u00ed hodnota ur\u010duj\u00edc\u00ed m\u00edru nap\u011bt\u00ed na akciov\u00fdch trz\u00edch, nekoresponduje zcela s\u00a0hodnotou VVIX Indexu, mohu jejich srovn\u00e1v\u00e1n\u00edm dostat podrobn\u011bj\u0161\u00ed odpov\u011b\u010f na ot\u00e1zku, nakolik je situace na trz\u00edch v\u00e1\u017en\u00e1. Na obr\u00e1zku n\u00ed\u017ee je zachyceno obdob\u00ed zna\u010dn\u00e9 nervozity na trz\u00edch posledn\u00edch t\u0159ech m\u011bs\u00edc\u016f (vzhledem ke chv\u00edli, kdy p\u00ed\u0161u tento \u010dl\u00e1nek).<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, nakolik byla situace vypjat\u00e1 prost\u0159ednictv\u00edm pozorov\u00e1n\u00ed z\u00e1vislosti VIX Indexu a jeho vlastn\u00ed volatility m\u011b\u0159en\u00e9 VVIX Indexem. V\u00a0obr\u00e1zku jsem vyzna\u010dil dva vrcholy hodnot VIX Indexu, kdy trh poci\u0165oval maxima nap\u011bt\u00ed m\u011b\u0159en\u00e9 t\u00edmto indexem. Z\u0159eteln\u011b mohu vypozorovat, \u017ee prvn\u00ed vrchol t\u011bchto obav, kdy hodnota VIX Indexu<\/strong> vystoupala k\u00a0hodnot\u011b 25 bod\u016f<\/strong> v\u00a0prvn\u00ed polovin\u011b \u0159\u00edjna 2018, je doprov\u00e1zeno zna\u010dn\u00fdm n\u00e1r\u016fstem hodnoty VVIX Indexu, zp\u016fsoben\u00e9 zv\u00fd\u0161enou popt\u00e1vkou po VIX op\u010dn\u00edch kontraktech, aby tato hodnota VVIX Indexu<\/strong> vyst\u0159elila k\u00a0hodnot\u011b 135 bod\u016f<\/strong>. Mohl bych usoudit, \u017ee obavy jsou opravdu opr\u00e1vn\u011bn\u00e9 a mohu zji\u0161\u0165ovat, \u017ee trhy jsou velmi v\u00fdrazn\u011b nerv\u00f3zn\u00ed a tato nervozita nebude m\u00edt pravd\u011bpodobn\u011b n\u011bjak\u00fd kr\u00e1tkodob\u00fd pr\u016fb\u011bh a asi nepomine za n\u011bkolik obchodn\u00edch dn\u016f. Druh\u00e1 \u0161ipka v\u00a0prav\u00e9 \u010d\u00e1sti obr\u00e1zku pak prezentuje prav\u00fd opak, tedy p\u0159esto\u017ee se hodnota VIX Indexu<\/strong> v\u00a0obdob\u00ed v\u00e1noc 2018 nach\u00e1z\u00ed na hodnot\u00e1ch siln\u011b p\u0159ekra\u010duj\u00edc\u00edch 30 bod\u016f<\/strong>, volatilita t\u00e9to volatility je ji\u017e \u201eunavena\u201c a zdaleka nedosahuje tak z\u00e1vratn\u00fdch hodnot (VVIX Index je kolem hodnoty 110 bod\u016f), jako p\u0159i p\u0159edch\u00e1zej\u00edc\u00edm vrcholu nap\u011bt\u00ed z\u00a0poloviny \u0159\u00edjna, aby se po prvn\u00edm zlomu hodnoty VIX Indexu vr\u00e1tila do sv\u00e9ho \u201eb\u011b\u017en\u00e9ho p\u00e1sma\u201c. Mohl bych tak konstatovat, \u017ee popt\u00e1vka po VIX opc\u00edch ji\u017e nen\u00ed tak napjat\u00e1 a p\u0159ibli\u017euje se obdob\u00ed klidu na trz\u00edch, pokud bych se op\u011bt cht\u011bl zab\u00fdvat nap\u0159\u00edklad shortov\u00e1n\u00edm volatility nebo obecn\u011b s\u00e1zet na n\u00e1vrat r\u016fstu trh\u016f, pak toto by byl pravd\u011bpodobn\u011b jeden z\u00a0dobr\u00fdch moment\u016f, na kter\u00fd by m\u011b hodnota VVIX Indexu mohla upozor\u0148ovat.<\/span><\/p>\n

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Co je norm\u00e1l?<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Pozorov\u00e1n\u00edm v\u0161ech obr\u00e1zk\u016f v\u00fd\u0161e v\u00a0\u010dl\u00e1nku bych tedy mohl br\u00e1t hodnotu VVIX Indexu jako ukazatel „nervozity nervozity“ trh\u016f a mohl se pak zab\u00fdvat ot\u00e1zkou, co je pro hodnotu VVIX Indexu \u201enorm\u00e1ln\u00ed stav\u201c, kdy jsou jeho hodnoty mimo tento norm\u00e1l a co mi mohou vlastn\u011b ukazovat. Nen\u00ed nic jednodu\u0161\u0161\u00edho ne\u017e nap\u0159\u00edklad vyrobit ze sta\u017een\u00fdch historick\u00fdch dat jednotliv\u00e9 pr\u016fm\u011bry, minima, maxima apod. a tyto pak zasazovat do kontextu m\u00fdch zam\u00fd\u0161len\u00fdch obchod\u016f a pozorovat, jak se tyto hodnoty VVIX Indexu projevuj\u00ed do jejich v\u00fdsledk\u016f. V\u00a0\u00favodu \u010dl\u00e1nku jsem uvedl, \u017ee hodnota VVIX Indexu se pohybuje v\u00a0p\u00e1smu 60 \u2013 180 bod\u016f, co lze ale pova\u017eovat za norm\u00e1ln\u00ed stav by mohl objasnit n\u00ed\u017ee uveden\u00fd obr\u00e1zek, kter\u00fd vypracoval b\u00fdval\u00fd zam\u011bstnanec CBOE Russell Rhoads a je tak v\u0161e\u0159\u00edkaj\u00edc\u00ed a p\u0159ehledn\u00fd, \u017ee jej nelze ne\u017e p\u0159evz\u00edt a publikovat, proto\u017ee ide\u00e1ln\u011b zapad\u00e1 do kontextu t\u011bchto \u0159\u00e1dk\u016f.<\/span><\/p>\n

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\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee pr\u016fm\u011brn\u00e9 hodnoty VVIX Indexu<\/strong> od roku 2007<\/strong>, reprezentovan\u00e9 \u017elut\u00fdmi te\u010dkami na jednotliv\u00fdch ro\u010dn\u00edch pr\u016fb\u011bz\u00edch hodnot VVIX Indexu jsou v\u017edy pod hodnotou 100 bod\u016f<\/strong>, krom\u011b roku 2018, kdy se tato pr\u016fm\u011brn\u00e1 hodnota nach\u00e1z\u00ed t\u011bsn\u011b nad n\u00ed. Mohu pak konstatovat, \u017ee rok 2018 byl daleko nerv\u00f3zn\u011bj\u0161\u00ed ne\u017e nap\u0159\u00edklad roky finan\u010dn\u00ed krize 2008-2009 a hranice 100 bod\u016f by pak mohla p\u0159edstavovat jakousi pomyslnou hodnotu, kdy je zapot\u0159eb\u00ed b\u00fdt ve st\u0159ehu, pokud m\u00e1m v\u00a0\u00famyslu t\u011b\u017eit z klidu a r\u016fstu trh\u016f nebo naopak, zauj\u00edmat p\u0159im\u011b\u0159en\u00e9 obrann\u00e9 pozice nebo p\u0159em\u00fd\u0161let, jak z\u00a0nervozity na trz\u00edch t\u011b\u017eit. Pozn\u00e1n\u00ed extr\u00e9mn\u00edch hodnot VVIX Indexu (nebo alespo\u0148 jeho neobvykl\u00fdch hodnot) pak m\u016f\u017ee b\u00fdt velmi cennou informac\u00ed, kterou mohu doplnit sv\u00e9 obchodn\u00ed rozhodnut\u00ed.<\/span><\/p>\n

\n

\u00a0\u00a0 Unik\u00e1tn\u00ed vlastnosti VVIX Indexu mi jednozna\u010dn\u011b mohou l\u00e9pe pochopit samotnou interpretaci hodnoty VIX Indexu. V\u00fd\u0161e uveden\u00e9 \u0159\u00e1dky m\u011bly pomoci pochopit nejjednodu\u0161\u0161\u00ed souvislosti spojen\u00e9 s VVIX Indexem a jeho mo\u017en\u00fdm objas\u0148ov\u00e1n\u00edm. Mohu toto pozn\u00e1n\u00ed ale d\u00e1le individu\u00e1ln\u011b rozv\u00edjet zapojen\u00edm dal\u0161\u00edch poznatk\u016f. Mohu nap\u0159\u00edklad zji\u0161\u0165ovat, \u017ee tak, jak m\u00e1 svou \u010dasovou strukturu samotn\u00fd VIX Index, kdy je mo\u017en\u00e9 zji\u0161\u0165ovat o\u010dek\u00e1vanou volatilitu na jin\u00fdch \u010dasov\u00fdch r\u00e1mc\u00edch ne\u017e je t\u0159icetidenn\u00ed horizont (popisov\u00e1no v \u010dl\u00e1nku VIX Index<\/a><\/span><\/strong>), tak mohu tak\u00e9 vypozorovat stejnou \u010dasovou strukturu VVIX Indexu pro jin\u00e1 \u010dasov\u00e1 obdob\u00ed v budoucnosti na publikovan\u00fdch datech, kter\u00e9 je mo\u017en\u00e9 stahovat ze str\u00e1nek CBOE<\/a><\/span><\/strong>, takov\u00e9 anal\u00fdzy by pak zcela jist\u011b p\u0159ekro\u010dily z\u00e1kladn\u00ed rozm\u011br pohledu na VVIX Index, proto je ponech\u00e1v\u00e1m k subjektivn\u00edmu posuzov\u00e1n\u00ed a vyu\u017eitelnosti. Mohu tak sv\u00e9 pozn\u00e1n\u00ed volatility a chov\u00e1n\u00ed trh\u016f m\u00edrn\u011b postrkovat o dal\u0161\u00ed \u00farovn\u011b d\u00e1l. Alespo\u0148 z\u00e1kladn\u00ed pozn\u00e1n\u00ed VVIX Indexu by se pak mohlo st\u00e1t jednou z\u00a0kontrolek na p\u0159\u00edstrojov\u00e9 desce op\u010dn\u00edho obchodn\u00edka p\u0159i jeho tradingu. Z\u00e1v\u011brem uv\u00e1d\u00edm, \u017ee VVIX Index nez\u016fstane mo\u017en\u00e1 ve sv\u00e9 originalit\u011b n\u011bjak dlouhodob\u011b osamocen, burza NASDAQ toti\u017e ozn\u00e1mila, \u017ee intenzivn\u011b pracuje na v\u00fdvoji sv\u00e9ho vlastn\u00edho indexu volatility<\/a><\/strong><\/span> a mo\u017en\u00e1 se do\u010dk\u00e1me podobn\u00fdch odvozenin tak\u00e9 u n\u011bj….:c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0\u00a0Gepard ub\u011bhne sto metr\u016f za \u010dty\u0159i vte\u0159iny, z\u00a0Olomouce do Brna pojedu ve sv\u00e9m aut\u011b hodinu a \u017eralok pr\u00fd plave stejn\u011b rychle, jako si to uh\u00e1n\u00ed Usain Bolt. Ka\u017ed\u00fd tvor nebo ka\u017ed\u00e1 v\u011bc, v\u0161e, co m\u00e1 schopnost pohybu, m\u00e1 svou vlastn\u00ed rychlost. M\u016f\u017eu ji nejr\u016fzn\u011bji m\u011b\u0159it, stopkami, tachometrem nebo prost\u00fdm Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":2874,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[37],"tags":[39,41,40,42],"class_list":["post-2853","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index","tag-vix-opce","tag-vx-futures","tag-vx-spread"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-K1","jetpack-related-posts":[{"id":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":2853,"position":0},"title":"VX Futures – gravitace k VIX Indexu","author":"dobretrejdy :c)","date":"26.12.2017","format":false,"excerpt":"\u00a0\u00a0 Isaac Newton by m\u011bl radost. Nejenom\u017ee jeho dv\u011b koule hozen\u00e9 z\u00a0\u0161ikm\u00e9 v\u011b\u017ee v\u00a0Pise skon\u010dily v\u017edy bezpardonu v\u00a0italsk\u00e9m pa\u017eitu pod v\u011b\u017e\u00ed a potvrdily tak j\u00edm popsan\u00e9 gravita\u010dn\u00ed z\u00e1kony (a\u0165 s\u00a0nimi h\u00e1zel jakkoliv a m\u011bly r\u016fznou hmotnost), tak tak\u00e9 ka\u017ed\u00fd futures kontrakt (a\u0165 na n\u011bj p\u016fsob\u00ed cokoliv a m\u00e1 jakoukoliv moment\u00e1ln\u00ed\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1030,"url":"https:\/\/dobretrejdy.com\/?p=1030","url_meta":{"origin":2853,"position":1},"title":"VIX technologie + Akciov\u00e9 indexy","author":"dobretrejdy :c)","date":"14.11.2017","format":false,"excerpt":"\u00a0\u00a0 V\u00a0\u010dl\u00e1nku o VIX Indexu \u00a0jsem popsal metodu jeho v\u00fdpo\u010dtu, abych se v\u00a0n\u00e1sleduj\u00edc\u00edm \u010dl\u00e1nku sna\u017eil uk\u00e1zat, jak vyu\u017e\u00edt tento v\u00fdpo\u010det pro stanoven\u00ed \u201ejin\u00fdch VIX\u016f\u201c pro jin\u00e9 podklady, nap\u0159\u00edklad velmi likvidn\u00ed akcie. \u00dadaje o takov\u00fdch vypo\u010dten\u00fdch hodnot\u00e1ch lze nal\u00e9zt na str\u00e1nk\u00e1ch CBOE s\u00a0jej\u00ed ka\u017edodenn\u00ed aktualizac\u00ed, tak\u017ee pro obchodn\u00edka t\u011bchto podkladov\u00fdch aktiv\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-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4232,"url":"https:\/\/dobretrejdy.com\/?p=4232","url_meta":{"origin":2853,"position":2},"title":"VX Futures \u2013 \u201eThe Big Short\u201c","author":"dobretrejdy :c)","date":"20.3.2020","format":false,"excerpt":"\u00a0\u00a0 \u201ePro\u010d \u010dlov\u011bk nem\u00e1 chobot?\u201c byla jednoduch\u00e1 ot\u00e1zka, kterou polo\u017eil \u010desk\u00e9mu komikovi jeden z r\u00e1dobyvtipn\u00fdch \u010dten\u00e1\u0159\u016f v jist\u00e9m obl\u00edben\u00e9m \u010dasopise. Na tuto jeden z velik\u00e1n\u016f \u010desk\u00e9ho humoru su\u0161e odpov\u011bd\u011bl \u201e\u2026a vid\u011bl jste je v\u0161echny?\u201c a potvrdil mi mou vlastn\u00ed teorii o t\u00e9m\u011b\u0159 nekone\u010dn\u00e9 r\u016fznorodosti lidsk\u00fdch bytost\u00ed a jejich povah. Pro\u010d\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\/2020\/03\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1173,"url":"https:\/\/dobretrejdy.com\/?p=1173","url_meta":{"origin":2853,"position":3},"title":"VIX Opce","author":"dobretrejdy :c)","date":"9.12.2017","format":false,"excerpt":"\u00a0\u00a0 Kde jsou futures, tam jsou tak\u00e9 opce. Velmi zjednodu\u0161en\u00e1 p\u0159edstava o existenci listovan\u00fdch op\u010dn\u00edch kontrakt\u016f na podkladov\u00e1 aktiva jin\u00e1 ne\u017e nap\u0159\u00edklad akcie. Nejinak je tomu u deriv\u00e1t\u016f volatility. Vedle\u00a0obchodov\u00e1n\u00ed VX futures je mo\u017en\u00e9 obchodovat s\u00a0VIX opcemi. P\u0159ibl\u00ed\u017een\u00ed alespo\u0148 z\u00e1kladn\u00edch vlastnost\u00ed t\u011bchto op\u010dn\u00edch kontrakt\u016f bude obsahem tohoto \u010dl\u00e1nku. \u00a0\u00a0 P\u0159esto\u017ee\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":2853,"position":4},"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":[]},{"id":3810,"url":"https:\/\/dobretrejdy.com\/?p=3810","url_meta":{"origin":2853,"position":5},"title":"Delta Neutral \u2013 XI.","author":"dobretrejdy :c)","date":"27.10.2019","format":false,"excerpt":"\u00a0\u00a0 Pozn\u00e1n\u00ed princip\u016f Delta Neutral obchodov\u00e1n\u00ed ve v\u0161ech nuanc\u00edch nen\u00ed jednoduch\u00e9, p\u0159esto\u017ee se to tak m\u016f\u017ee na prvn\u00ed pohled zd\u00e1t. V p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch jsem popisoval, jak lze od sebe odli\u0161it takov\u00e9 obchody nap\u0159\u00edklad podle hodnoty znam\u00e9nka u parametru Gamma a se zaslou\u017eenou pozornost\u00ed jsem v n\u011bkolika dal\u0161\u00edch \u010dl\u00e1nc\u00edch popisoval obchodov\u00e1n\u00ed\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\/10\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2853","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=2853"}],"version-history":[{"count":19,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2853\/revisions"}],"predecessor-version":[{"id":7513,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/2853\/revisions\/7513"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/2874"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2853"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2853"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2853"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}