{"id":308,"date":"2017-05-04T17:03:07","date_gmt":"2017-05-04T17:03:07","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=308"},"modified":"2021-08-08T09:53:47","modified_gmt":"2021-08-08T07:53:47","slug":"delta","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=308","title":{"rendered":"Delta"},"content":{"rendered":"

\u00a0 \u00a0Delta je rozd\u00edl. Delta Praha \u2013 Brno je 200 (kilometr\u016f), o tom ale \u010dl\u00e1nek nebude. Bude to o Delta op\u010dn\u00edch kontrakt\u016f<\/strong>. Porozum\u011bn\u00ed Delta je jednou ze z\u00e1kladn\u00edch dovednost\u00ed, kterou by m\u011bl disponovat ka\u017ed\u00fd op\u010dn\u00ed trader. Toto jednoduch\u00e9 \u0159eck\u00e9 p\u00edsmeno ozna\u010duje m\u00edru z\u00e1vislosti ceny opce<\/strong> na pohybu podkladov\u00e9ho aktiva<\/strong>. Vyjdu ze z\u00e1kladn\u00ed premisy, kterou je tvrzen\u00ed o velikosti Delta podkladov\u00e9ho aktiva. Pokud hled\u00e1m z\u00e1vislost ceny opce na pohybu podkladu, tak mus\u00edm vyj\u00edt z\u00a0toho, jak je definov\u00e1na Delta samotn\u00e9ho podkladu. Pokud jsou podkladov\u00fdm aktivem akcie, a pokud op\u010dn\u00ed kontrakt opravdu ve skute\u010dnosti p\u0159edstavuje spekulaci se 100 akciemi, tak hodnota Delta jedn\u00e9 akcie<\/strong> je jedna<\/strong>. Pokud cena akcie stoupne o jeden dolar a j\u00e1 m\u00e1m nakoupenou jednu Long akcii, vyd\u011bl\u00e1m +1 USD, pokud m\u00e1m nakoupeno 100 Long akci\u00ed, vyd\u011bl\u00e1m +100 USD, Delta 100 Long akci\u00ed je +100. Delta Long akcie<\/strong> je pro m\u011b, jako dr\u017eitele t\u00e9to Long akcie kladn\u00e1<\/strong>. Pokud budu m\u00edt po\u0159\u00edzen\u00e9 Short akcie, tak hodnota Delta jedn\u00e9 Short akcie je m\u00ednus jedna. Pokud cena AAPL stoupne o jeden dolar a j\u00e1 m\u00e1m jednu Short akcii AAPL, prod\u011bl\u00e1m -1 USD, pokud m\u00e1m po\u0159\u00edzeno 100 x Short akci\u00ed, prod\u011bl\u00e1m -100 USD. Delta Short akcie<\/strong> je pro m\u011b, jako dr\u017eitele t\u00e9to Short akcie z\u00e1porn\u00e1<\/strong>. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Hodnotu Delta op\u010dn\u00edho kontraktu zobrazuje ka\u017ed\u00e1 op\u010dn\u00ed platforma, Delta je pak v\u00a0t\u011bchto platform\u00e1ch zobrazov\u00e1na nejb\u011b\u017en\u011bji jako desetinn\u00e9 \u010d\u00edslo, proto\u017ee uv\u00e1d\u00ed hodnotu Delta jedn\u00e9 akcie nebo bodu v\u00a0p\u0159\u00edpad\u011b futures kontraktu. Na ot\u00e1zky, kde se ale hodnota Delta vlastn\u011b bere, jak se vypo\u010d\u00edt\u00e1 a co vlastn\u011b znamen\u00e1 bych cht\u011bl odpov\u011bd\u011bt v\u00a0tomto \u010dl\u00e1nku<\/span><\/p>\n

Matematika Delta<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Delta vych\u00e1z\u00ed z\u00a0Black-Scholesova oce\u0148ovac\u00edho modelu a za jeho pomoci je tak\u00e9 vypo\u010d\u00edt\u00e1v\u00e1na. Pro po\u0159\u00e1dek uvedu, \u017ee tento matematick\u00fd oce\u0148ovac\u00ed model k\u00a0v\u00fdpo\u010dtu ceny op\u010dn\u00edho kontraktu pot\u0159ebuje zn\u00e1t \u0161est \u00fadaj\u016f<\/strong>, aby takovou cenu byl schopen stanovit, t\u011bmito hodnotami jsou aktu\u00e1ln\u00ed Cena Podkladu, Strike opce, D\u00e9lka \u017eivota opce, Implied Volatilita, \u00daroky<\/strong> a p\u0159\u00edpadn\u00e1 Dividenda<\/strong> vypl\u00e1cen\u00e1 za \u017eivota opce. Pokud tedy vych\u00e1z\u00ed takov\u00fd model z\u00a0t\u011bchto hodnot, tak tyto hodnoty tak\u00e9 vyu\u017eiji k\u00a0v\u00fdpo\u010dtu Delta p\u0159\u00edslu\u0161n\u00e9ho op\u010dn\u00edho kontraktu.<\/span><\/p>\n

\u00a0\u00a0 Matematick\u00e1 konstrukce v\u00fdpo\u010dtu Delta je z\u00e1kladem prvn\u00ed a nejb\u011b\u017en\u011bj\u0161\u00ed definice \u010di interpretace Delta, se kterou se m\u016f\u017eete setkat. Delta n\u00e1m vyjad\u0159uje, jak se zm\u011bn\u00ed hodnota opce, pokud se zm\u011bn\u00ed cena podkladov\u00e9ho aktiva o jeden dolar (bod)<\/strong><\/span>. Matematicky lze tuto jednoduchou definici popsat jako derivaci funkce hodnoty opce v\u00a0z\u00e1vislosti na pohybu podkladov\u00e9ho aktiva. O derivaci se tady mluv\u00ed proto, \u017ee derivace vyjad\u0159uje pom\u011br, v\u00a0jak\u00e9m r\u016fst n\u011bjak\u00e9 prom\u011bnn\u00e9 (cena podkladu) odpov\u00edd\u00e1 zm\u011bn\u011b n\u011bjak\u00e9 jin\u00e9 prom\u011bnn\u00e9 (cena opce) pokud plat\u00ed, \u017ee ob\u011b prom\u011bnn\u00e9 maj\u00ed n\u011bjakou m\u011b\u0159itelnou, smysluplnou a vyj\u00e1d\u0159itelnou funk\u010dn\u00ed z\u00e1vislost. Proto\u017ee Black-Scholes\u016fv model pracuje p\u0159i v\u00fdpo\u010dtu ceny op\u010dn\u00edho kontraktu s\u00a0funkc\u00ed Norm\u00e1ln\u00edho distribu\u010dn\u00edho rozd\u011blen\u00ed, jej\u00edmi\u017e argumenty jsou Cena Podkladu, Strike opce, D\u00e9lka \u017eivota opce, Implied Volatilita, \u00daroky a p\u0159\u00edpadn\u00e1 Dividenda vypl\u00e1cen\u00e1 za \u017eivota opce, pak hodnotu Delta bude v\u017edy vyjad\u0159ovat aktu\u00e1ln\u00ed hodnota t\u00e9to distribu\u010dn\u00ed funkce s\u00a0hodnotami t\u011bchto argument\u016f v\u00a0dan\u00fd moment, proto matematicky\u00a0<\/span><\/p>\n

Delta Call = N(d1) \u00a0 <\/strong>a z\u00e1rove\u0148 \u00a0\u00a0Delta Put = N(d1)-1<\/strong><\/span><\/p>\n

\u00a0\u00a0 V\u00a0\u010dl\u00e1nku o Cena opce<\/a><\/strong><\/span>\u00a0jsem uvedl odkaz na excelovsk\u00fd soubor, kter\u00fd m\u011bl naprogramov\u00e1ny funkce v\u00fdpo\u010dtu ceny opc\u00ed (CenaCall a CenaPut) podle Black-Scholesova modelu. Proto\u017ee k\u00a0vytvo\u0159en\u00ed v\u00fdpo\u010dtu cen opc\u00ed podle tohoto modelu bylo tak\u00e9 zapot\u0159eb\u00ed vypo\u010d\u00edtat hodnotu \u201ed1\u201c, kter\u00e1 je sou\u010d\u00e1st\u00ed matematick\u00e9ho vyj\u00e1d\u0159en\u00ed Delta, nebylo v\u016fbec obt\u00ed\u017en\u00e9 si takovou exelovskou funkci pro Delta opc\u00ed Call i Put tak\u00e9 \u201ezprovoznit\u201c. Tento Excel s\u00a0t\u011bmito vytvo\u0159en\u00fdmi funkcemi si m\u016f\u017eete st\u00e1hnou zde<\/a> <\/strong><\/span>a tak\u00e9 si m\u016f\u017eete prohl\u00e9dnout, jak\u00fd je jejich jednoduch\u00fd script ve VBA. Sta\u010d\u00ed doplnit \u0161est po\u017eadovan\u00fdch \u00fadaj\u016f (argument\u016f distribu\u010dn\u00ed funkce) do modr\u00fdch bun\u011bk a hodnota Delta se V\u00e1m objev\u00ed kdekoliv, kde v excelovsk\u00e9m se\u0161itu vyvol\u00e1te funkci DeltaCall nebo DeltaPut a zad\u00e1te do nich tyto argumenty z\u00a0modr\u00fdch bun\u011bk.<\/span><\/p>\n

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

Delta a pohyb ceny podkladu<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Z\u00a0matematick\u00e9ho pohledu v\u00fdpo\u010dtu Delta Call a Put vypl\u00fdv\u00e1, \u017ee Delta pro Call i Put vyu\u017e\u00edvaj\u00ed v\u00a0danou chv\u00edli v\u00fdpo\u010dtu stejn\u00e9 argumenty distribu\u010dn\u00ed funkce Norm\u00e1ln\u00edho rozd\u011blen\u00ed, pouze u Delta Put ode\u010d\u00edt\u00e1me vypo\u010dtenou hodnotu od hodnoty jedna. Z\u00a0toho logicky vypl\u00fdv\u00e1, \u017ee sou\u010det Delta Call<\/strong> a Delta Put<\/strong> by m\u011bl b\u00fdt teoreticky v\u017edy v\u00a0absolutn\u00edm vyj\u00e1d\u0159en\u00ed roven hodnot\u011b jedna <\/strong>(nebo 100 pokud opust\u00edme vyj\u00e1d\u0159en\u00ed v desetinn\u00e9m tvaru). Teoreticky ano, prakticky nikoliv (co\u017e je pro tuto chv\u00edli nev\u00fdznamn\u00e9), ale stejn\u011b, pod\u00edvejte se na rozd\u00edly na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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

\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee akcie AAPL m\u00e1 Delta Call opce na strike 143 hodnotu 0,68 a Delta Put opce na strike 143 hodnotu 0,35. Sou\u010det nen\u00ed v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b jedna, to ale nevad\u00ed pro praktickou interpretaci t\u011bchto dvou hodnot. Osobn\u011b se mi vyj\u00e1d\u0159en\u00ed Delta v\u00a0desetinn\u00e9m tvaru moc nel\u00edb\u00ed, proto\u017ee se nej\u010dast\u011bj\u0161\u00ed souvislosti s\u00a0Delta budou t\u00fdkat opc\u00ed na equities, kde jeden op\u010dn\u00ed kontrakt p\u0159edstavuje 100 akci\u00ed, budu tedy pou\u017e\u00edvat cel\u00e1 \u010d\u00edsla<\/strong>, v\u00a0na\u0161em p\u0159\u00edpad\u011b tedy Delta Call<\/strong> m\u00e1 hodnotu Delta 68<\/strong> a Delta Put<\/strong> m\u00e1 hodnotu Delta 35<\/strong> a samotn\u00fd podklad m\u00e1 hodnotu Delta rovn\u00e1 se 1 pro ka\u017edou jednotlivou dr\u017eenou akcii, tedy 100 pro 100 akci\u00ed. Pokud se budeme dr\u017eet definice Delta o z\u00e1vislosti ceny opce na pohybu podkladu<\/strong>, pak mohu jednodu\u0161e konstatovat, \u017ee pokud se hodnota podkladu zv\u00fd\u0161\u00ed o jeden dolar<\/strong> (akcie AAPL stoupne ze 145,42 USD na 146,42 USD), pak se ceny opc\u00ed na vyobrazen\u00e9m strike 143 budou chovat n\u00e1sledovn\u011b:<\/strong><\/span><\/p>\n

\u00a0 \u00a01\/<\/strong> Pokud budu m\u00edt koupenou Long Call 143 opci<\/strong>, tak se cena opce zv\u00fd\u0161\u00ed o hodnotu Delta, tedy o +68 USD<\/strong>. Opce mi vyd\u011bl\u00e1 +68 USD. Delta<\/strong> z\u00a0pohledu dr\u017eitele Long Call opce je kladn\u00e1<\/strong><\/span><\/span><\/p>\n

\u00a0 \u00a02\/<\/strong> Pokud budu m\u00edt vypsanou Short Call 143 opci<\/strong>, tak se cena opce zv\u00fd\u0161\u00ed o hodnotu Delta, tedy o +68 USD<\/strong>. Na opci prod\u011bl\u00e1m -68 USD. Delta<\/strong> z\u00a0pohledu vypisovatele Short Call opce je z\u00e1porn\u00e1<\/strong><\/span><\/span><\/p>\n

\u00a0 \u00a03\/<\/strong> Pokud budu m\u00edt koupenou Long Put 143 opci<\/strong>, tak se cena opce sn\u00ed\u017e\u00ed o hodnotu Delta, tedy o -35 USD<\/strong>. Na opci prod\u011bl\u00e1m -35 USD. Delta<\/strong> z\u00a0pohledu dr\u017eitele Long Put opce je z\u00e1porn\u00e1<\/strong><\/span><\/span><\/p>\n

\u00a0 \u00a04\/<\/strong> Pokud budu m\u00edt vypsanou Short Put 143 opci<\/strong>, tak se cena opce sn\u00ed\u017e\u00ed o hodnotu Delta, tedy o -35 USD<\/strong>. Opce mi vyd\u011bl\u00e1 +35 USD. Delta<\/strong> z\u00a0pohledu vypisovatele Short Put opce je kladn\u00e1<\/span><\/strong><\/span><\/p>\n

\u00a0 \u00a05\/<\/strong> Pokud budu m\u00edt koupen\u00fd podklad, nap\u0159\u00edklad 100 Long akci\u00ed<\/strong>, tak se cena m\u00fdch Long akci\u00ed zv\u00fd\u0161\u00ed o hodnotu Delta, tedy o +100 USD<\/strong>. Na akci\u00edch vyd\u011bl\u00e1m +100 USD. Delta<\/strong> z\u00a0pohledu dr\u017eitele Long akci\u00ed je kladn\u00e1<\/strong><\/span>.<\/span><\/p>\n

\u00a0 \u00a06\/<\/span><\/strong> Pokud budu m\u00edt prodan\u00fd podklad, nap\u0159\u00edklad 100 Short akci\u00ed<\/strong>, tak se cena m\u00fdch Short akci\u00ed zv\u00fd\u0161\u00ed o hodnotu Delta, tedy o +100 USD<\/strong>. Na akci\u00edch prod\u011bl\u00e1m -100 USD. Delta<\/strong> z\u00a0pohledu dr\u017eitele Short akci\u00ed je z\u00e1porn\u00e1<\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 Takov\u00fd pohled na Delta z\u00a0pozice dr\u017eitele konkr\u00e9tn\u00ed op\u010dn\u00ed pozice a pozice podkladu je lehce zapamatovateln\u00fd. Je dobr\u00e9 si jej osvojit, pokud je\u0161t\u011b nem\u00e1te z\u00a0vlastn\u00edho obchodov\u00e1n\u00ed podobn\u00e9 souvislosti mezi Delta a dr\u017een\u00edm konkr\u00e9tn\u00ed pozice za\u017eity nebo jste se takovou souvislost\u00ed doposud t\u0159eba v\u016fbec nezab\u00fdvali.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych se vr\u00e1til ke sv\u00e9mu \u010dl\u00e1nku Conversion + Reversal = Box<\/a><\/strong><\/span>\u00a0nebo Time Spread<\/a><\/strong><\/span>, tak jsem popisoval, \u017ee opce Call a Put na stejn\u00fdch strikes vytv\u00e1\u0159\u00ed akciov\u00e9 Syntetick\u00e9 Long<\/strong> nebo Syntetick\u00e9 Short<\/strong> pozice, tedy, \u017ee takov\u00e9 pozice identicky simuluj\u00ed pohyb podklad\u016f podle toho, jak\u00e9 opce m\u00e1m na t\u011bchto strikes po\u0159\u00edzeny. Pravdivost takov\u00fdch tvrzen\u00ed mohu dolo\u017eit nap\u0159\u00edklad tak\u00e9 podle hodnoty Delta takov\u00fdch op\u010dn\u00edch pozic. Z\u00a0matematick\u00e9ho vyj\u00e1d\u0159en\u00ed Delta v\u00a0\u00favodu \u010dl\u00e1nku vypl\u00fdv\u00e1, \u017ee sou\u010det hodnot Delta Call opc\u00ed a Put opc\u00ed na stejn\u00fd strike je roven hodnot\u011b 100 (pokud pou\u017eiji vyj\u00e1d\u0159en\u00ed v nedesetinn\u00e9m tvaru). Na obr\u00e1zku jsou vid\u011bt takov\u00e9 syntetick\u00e9 pozice. Short op\u010dn\u00ed pozici p\u0159edstavuje \u010derven\u00e1 barva r\u00e1me\u010dku s\u00a0hodnotou Delta, Long op\u010dn\u00ed pozici p\u0159edstavuje zelen\u00e1 barva r\u00e1me\u010dku s\u00a0hodnotou Delta \u00a0\u00a0\u00a0<\/span>\u00a0\"\"<\/span><\/p>\n

\u00a0\u00a0 Ve sv\u011btle pohledu na znam\u00e9nko hodnoty Delta z\u00a0pozice dr\u017eitele r\u016fzn\u00fdch typ\u016f op\u010dn\u00edch kontrakt\u016f\u00a0podle p\u0159edchoz\u00edho odstavce pak mohu konstatovat n\u00ed\u017ee uveden\u00e9 skute\u010dnosti vyobrazen\u00e9 na uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0op\u010dn\u00edm \u0159et\u011bzci podkladov\u00e9ho aktiva akcie AAPL na strike 144 m\u00e1m po\u0159\u00edzenou Long Call 144<\/strong> a Short Put 144<\/strong>. Z\u00a0pozice dr\u017eitele Long Call<\/strong> opce 144 je m\u00e1 Delta ve v\u00fd\u0161i 72 kladn\u00e1<\/strong> a z\u00a0pozice dr\u017eitele Short Put<\/strong> opce je m\u00e1 Delta ve v\u00fd\u0161i 31 tak\u00e9 kladn\u00e1<\/strong>. Cel\u00e1 pozice m\u00e1 tak hodnotu Delta +103,<\/strong> co\u017e reprezentuje Delta 100 Long akci\u00ed. Sou\u010det Delta takov\u00fdch opc\u00ed na jak\u00e9mkoliv stejn\u00e9m strike bude v\u017edycky kladn\u00fd a bude v\u017edy +100. M\u00e1m tedy doopravdy Syntetickou pozici 100 x\u00a0Long akcie AAPL<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0op\u010dn\u00edm \u0159et\u011bzci podkladov\u00e9ho aktiva akcie AAPL na strike 148 m\u00e1m po\u0159\u00edzenou Short Call 148<\/strong> a Long Put 148<\/strong>. Z\u00a0pozice dr\u017eitele Short Call<\/strong> opce 148 je m\u00e1 Delta ve v\u00fd\u0161i 40 z\u00e1porn\u00e1<\/strong> a z\u00a0pozice dr\u017eitele Long Put<\/strong> opce je m\u00e1 Delta ve v\u00fd\u0161i 60 tak\u00e9 z\u00e1porn\u00e1<\/strong>. Cel\u00e1 pozice m\u00e1 tak hodnotu Delta -100,<\/strong> co\u017e reprezentuje Delta 100 Short akci\u00ed. Sou\u010det Delta takov\u00fdch opc\u00ed na jak\u00e9mkoliv stejn\u00e9m strike bude v\u017edycky z\u00e1porn\u00fd a bude v\u017edy -100. M\u00e1m tedy doopravdy Syntetickou pozici 100 x\u00a0Short akcie AAPL<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Z\u00a0v\u00fd\u0161e uveden\u00fdch uk\u00e1zek by mohla vyplynout tak\u00e9 dal\u0161\u00ed interpretace Delta. Pomoc\u00ed Delta m\u016f\u017eeme zji\u0161\u0165ovat, nakolik n\u00e1m op\u010dn\u00ed pozice napodobuje pohyb samotn\u00e9ho podkladov\u00e9ho aktiva<\/strong><\/span>. To je tak\u00e9 velmi u\u017eite\u010dn\u00e9 zji\u0161t\u011bn\u00ed. Na obr\u00e1zku je vid\u011bt p\u011bt r\u016fzn\u00fdch op\u010dn\u00edch pozic na akcie AAPL<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Pozice \u010d.1<\/strong> je Short Call opce<\/strong> vypsan\u00e1 OTM na strike 149<\/strong>. Jej\u00ed Delta je 33<\/strong>, jako vypisovatel opce tuto pozici mus\u00edm vyhodnocovat z\u00e1porn\u011b<\/strong>, m\u00e1 Delta u tohoto op\u010dn\u00edho kontraktu je -33. Pokud bych opci vypsal za +114 USD, jak je patrn\u00e9 z\u00a0obr\u00e1zku, tak p\u0159i vzestupu ceny podkladov\u00e9 akcie AAPL o jeden dolar by tato opce m\u011bla hodnotu 114 USD + 33 USD = 147 USD. Pokud bych cht\u011bl takovou opci jako vypisovatel likvidovat, musel bych vynalo\u017eit o +33 USD v\u00edce a utrp\u011bl bych tak ztr\u00e1tu -33 USD. Stejnou ztr\u00e1tu<\/strong> bych ale tak\u00e9 utrp\u011bl<\/strong>, kdybych nam\u00edsto v\u00fdpisu takov\u00e9 Short Call opce na strike 149 prodal 33 Short akci\u00ed AAPL<\/strong>. T\u011bchto 33 Short akci\u00ed by vykazovalo stejnou ztr\u00e1tu -33 USD p\u0159i vystoup\u00e1n\u00ed ceny AAPL pr\u00e1v\u011b o jeden dolar. Delta -33 tak znamen\u00e1, \u017ee takov\u00e1 Short Call opce s\u00a0Delta 33<\/strong> se chov\u00e1 stejn\u011b jako dr\u017een\u00ed 33 x Short akci\u00ed AAPL<\/strong><\/span><\/p>\n

\u00a0 Pozice \u010d.2<\/strong> je Long Call opce<\/strong> vypsan\u00e1 ITM na strike 146<\/strong>. Jej\u00ed Delta je 56<\/strong>, jako dr\u017eitel opce tuto pozici mus\u00edm vyhodnocovat kladn\u011b<\/strong>, m\u00e1 Delta u tohoto op\u010dn\u00edho kontraktu je +56. Pokud bych opci koupil za -260 USD, jak je patrn\u00e9 z\u00a0obr\u00e1zku, tak p\u0159i vzestupu ceny podkladov\u00e9 akcie AAPL o jeden dolar by tato opce m\u011bla hodnotu 260 USD + 56 USD = 316 USD. Pokud bych cht\u011bl takovou opci jako dr\u017eitel prodat, utr\u017eil bych +316 USD a m\u011bl tak profit +56 USD. Stejn\u00fd profit<\/strong> bych ale tak\u00e9 z\u00edskal<\/strong>, kdybych nam\u00edsto n\u00e1kupu takov\u00e9 Long Call opce na strike 146 koupil 56 Long akci\u00ed AAPL<\/strong>. T\u011bchto 56 Long akci\u00ed by vykazovalo stejn\u00fd profit +56 USD p\u0159i vystoup\u00e1n\u00ed ceny AAPL pr\u00e1v\u011b o jeden dolar. Delta +56 tak znamen\u00e1, \u017ee takov\u00e1 Long Call opce s\u00a0Delta 56<\/strong> se chov\u00e1 stejn\u011b jako dr\u017een\u00ed 56 x Long akci\u00ed AAPL<\/strong><\/span><\/p>\n

\u00a0Takovou interpretac\u00ed bych si mohl podle Delta vylo\u017eit ka\u017edou op\u010dn\u00ed pozici zvl\u00e1\u0161\u0165. Pokud bych ale celou interpretaci sumarizoval<\/strong> z\u00a0pohledu Delta do n\u011bjak\u00e9 tabulky, tak bych mohl p\u0159i t\u011bchto Delta z\u00a0pohledu jejich hodnot a znam\u00e9nek vypl\u00fdvaj\u00edc\u00edch z\u00a0pohledu dr\u017eitele t\u011bchto jednotliv\u00fdch kontrakt\u016f zjistit skute\u010dnost, jak je vyobrazena na obr\u00e1zku<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Mohu se d\u00edvat na v\u0161echny pozice ze v\u0161ech mo\u017en\u00fdch pohled\u016f a hledat nap\u0159\u00edklad n\u00e1zvy pro jednotliv\u00e9 kombinace, abych pochopil, co jsem to vlastn\u011b \u201epo\u0159\u00eddil za zv\u00ed\u0159e\u201c, ale jedno m\u00e1m p\u0159i takov\u00e9m vyhodnocen\u00ed jist\u00e9. Cel\u00e1 pozice p\u0159i pohybu ceny akcie AAPL o jeden dolar<\/strong> zv\u00fd\u0161\u00ed svoji hodnotu o +56 USD<\/strong> a chov\u00e1 se \u00fapln\u011b stejn\u011b, jako bych m\u011bl nakoupeno 56 x Long akci\u00ed AAPL<\/strong>. Obdobn\u011b, pokud cena akcie AAPL klesne o jeden dolar, tak cel\u00e1 op\u010dn\u00ed pozice z obr\u00e1zku o t\u011bchto 56 USD ztrat\u00ed na sv\u00e9 hodnot\u011b, a \u00a0stejn\u011b tolik by ztratilo pr\u00e1v\u011b dr\u017een\u00fdch 56 x Long akci\u00ed AAPL.<\/span><\/p>\n

\u00a0 \u00a0Takov\u00e1 v\u00fdsledn\u00e1 hodnota Delta pak m\u016f\u017ee velmi efektivn\u011b pod\u00e1vat trader\u016fm minim\u00e1ln\u011b zpr\u00e1vy o tom, jakou skute\u010dnou okam\u017eitou v\u00fdkonnost<\/strong> m\u00e1 nap\u0159\u00edklad komplexn\u011bj\u0161\u00ed op\u010dn\u00ed portfolio ve vztahu k\u00a0pohyb\u016fm cen podkladov\u00e9ho aktiva.<\/span><\/p>\n

\u00a0\u00a0<\/span>\u00a0Neust\u00e1l\u00fd pohyb podkladov\u00e9ho aktiva v\u00a0\u010dase zp\u016fsobuje tak\u00e9 nep\u0159etr\u017eitou zm\u011bnu hodnoty Delta. Delta se neust\u00e1le m\u011bn\u00ed pr\u00e1v\u011b v\u00a0d\u016fsledku t\u011bchto pohyb\u016f. Proto\u017ee ale ve sv\u00e9m v\u00fdpo\u010dtu vych\u00e1z\u00ed z\u00a0Black-Scholesova modelu a ten k\u00a0t\u011bmto v\u00fdpo\u010dt\u016fm vyu\u017e\u00edv\u00e1 \u0161est r\u016fzn\u00fdch vstupn\u00edch hodnot, tak je patrn\u00e9, \u017ee pokud budu br\u00e1t za pevn\u00e9 a nem\u011bn\u00edc\u00ed<\/strong> se hodnoty vstupuj\u00edc\u00ed do v\u00fdpo\u010dtu – Strike opce<\/strong>, \u00daroky<\/strong> a Dividendu<\/strong>, pak na velikost tohoto v\u00fdpo\u010dtu bude m\u00edt vliv prom\u011bnn\u00fdch Cena podkladu,<\/strong> d\u00e9lka \u017divota op\u010dn\u00edho kontraktu<\/strong> a aktu\u00e1ln\u00ed Implied Volatilita<\/strong>. Pokud m\u00e1m za vysv\u011btlen\u00e9, \u017ee Delta odr\u00e1\u017e\u00ed pohyb Ceny podkladu (tuto z\u00e1vislost jsem zachytil v\u00a0p\u0159edchoz\u00edch odstavc\u00edch), tak mus\u00edm prozkoumat, nakolik je dynamika Delta odrazem funkce d\u00e9lky \u017divota op\u010dn\u00edho kontraktu a Implied Volatility.<\/span><\/p>\n

Delta a Implied Volatilita<\/span><\/strong><\/h2>\n

\u00a0\u00a0Implied Volatilita velmi podstatn\u011b ovliv\u0148uje v\u00fd\u0161i Delta opc\u00ed. Pokud je Implied Volatilita mal\u00e1<\/strong>, tak opce, kter\u00e9 jsou \u201ev\u00a0pen\u011bz\u00edch\u201c<\/strong> (ITM) maj\u00ed vy\u0161\u0161\u00ed Delta<\/strong> ne\u017e by m\u011bly opce, kter\u00e9 maj\u00ed Implied Volatiltu vy\u0161\u0161\u00ed<\/strong>. Opce, kter\u00e9 jsou \u201emimo pen\u00edze\u201c<\/strong> (OTM) maj\u00ed u opc\u00ed s n\u00edzkou Implied Volatilitou<\/strong> ni\u017e\u0161\u00ed Delta<\/strong> ne\u017e obdobn\u00e9 opce, kter\u00e9 by m\u011bly Implied Volatilitu vy\u0161\u0161\u00ed<\/strong>. Pod\u00edvejte se na obr\u00e1zek, na kter\u00fdch jsou vid\u011bt op\u010dn\u00ed \u0159et\u011bzce akci\u00ed CVS (Chevron Corp.) a RL (Ralph Lauren Corp.). Ob\u011b stoj\u00ed stejn\u011b (cca 80 USD) a opce maj\u00ed stejnou expiraci. Horn\u00ed \u0159et\u011bzec akcie zobrazuje cenu opc\u00ed CVS s\u00a0Implied Volatilitou ve v\u00fd\u0161i 15,80%<\/strong> a spodn\u00ed \u0159et\u011bzec akcie RL m\u00e1 Implied Volatilitu 43,90%<\/strong> (v\u00edce ne\u017e dvojn\u00e1sobnou).<\/span><\/p>\n

\"\"<\/span><\/h2>\n

\u00a0 Na obr\u00e1zku jsou vyzna\u010deny ceny stejn\u00fdch opc\u00ed na stejn\u00fdch strike. ITM opce klidn\u011bj\u0161\u00edho a nevolatiln\u00edho CVS na strike 78 (ITM) maj\u00ed Delta 75, kde\u017eto u \u201ebou\u0159liv\u00e1ka\u201c RL je takov\u00e1 Delta jen 62. OTM opce naopak u klidn\u00e9ho CVS na strike 81 m\u00e1 Delta jen 31, kde\u017eto u velmi volatiln\u00edho RL je tato Delta vy\u0161\u0161\u00ed a m\u00e1 hodnotu 45.<\/span><\/p>\n

\u00a0 \u00a0Nab\u00edz\u00ed se tak dal\u0161\u00ed z\u00a0interpretac\u00ed Delta. Delta n\u00e1m sd\u011bluje, jak\u00e1 je pravd\u011bpodobnost, \u017ee opce bude p\u0159i expiraci v\u00a0pen\u011bz\u00edch<\/strong><\/span>. Pravd\u011bpodobnost<\/strong>, \u017ee opce na ITM strike 78 skon\u010d\u00ed v\u00a0pen\u011bz\u00edch<\/strong> je tak u titulu CVS 74%<\/strong>, kde\u017eto u titulu RL jen 62%<\/strong>. Stejn\u011b tak u OTM opc\u00ed. Pravd\u011bpodobnost<\/strong>, \u017ee opce na OTM strike 81 skon\u010d\u00ed v\u00a0pen\u011bz\u00edch<\/strong> je u titulu CVS 31%<\/strong>, kde\u017eto u titulu RL je 45%<\/strong>. M\u00e1 to logiku. Volatiln\u011bj\u0161\u00ed titul vykazuje vy\u0161\u0161\u00ed pravd\u011bpodobnost mo\u017en\u00e9ho budouc\u00edho pohybu a tak\u00e9 vy\u0161\u0161\u00ed pravd\u011bpodobnost, \u017ee bude opce nakonec n\u011bkde jinde ne\u017e je nyn\u00ed. Klidn\u011bj\u0161\u00ed akcie z\u016fstanou klidn\u011bj\u0161\u00ed a pokud je dnes sledovan\u00fd strike nap\u0159\u00edklad \u201emimo pen\u00edze\u201c tak s\u00a0v\u011bt\u0161\u00ed pravd\u011bpodobnost\u00ed \u201emimo pen\u00edze\u201c tak\u00e9 z\u016fstane. U volatiln\u011bj\u0161\u00edch titul\u016f je naopak \u00favaha opa\u010dn\u00e1. \u00a0\u00a0<\/span><\/p>\n

Delta a \u010das<\/span><\/strong><\/h2>\n

\u00a0 Plynut\u00ed \u010dasu – d\u00e9lka \u017eivota op\u010dn\u00edho kontraktu – tak\u00e9 ovliv\u0148uje v\u00fd\u0161i Delta tohoto p\u0159\u00edslu\u0161n\u00e9ho op\u010dn\u00edho kontraktu. Opce s\u00a0krat\u0161\u00ed dobou do expirace<\/strong> maj\u00ed Delta<\/strong> ITM<\/strong> opc\u00ed vy\u0161\u0161\u00ed<\/strong> ne\u017e je Delta<\/strong> na stejn\u00fdch ITM strikes u op\u010dn\u00edch kontrakt\u016f se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed<\/strong>. Pro Delta u opc\u00ed se strike OTM pak plat\u00ed prav\u00fd opak. OTM<\/strong> opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed<\/strong> maj\u00ed takovou Delta ni\u017e\u0161\u00ed<\/strong> ne\u017e opce se stejn\u00fdm strike se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed<\/strong>. Na obr\u00e1zku je vid\u011bt op\u011bt dva op\u010dn\u00ed \u0159et\u011bzce akcie AAPL, kde jsou vyobrazeny jednotliv\u00e9 Delta. Opce maj\u00ed stejnou cenu (ob\u011b jsou to akcie AAPL) a t\u00e9m\u011b\u0159 identickou Implied Volatilitu, li\u0161\u00ed se pouze dobou do expirace. Na prvn\u00edm horn\u00edm obr\u00e1zku jsou opce s\u00a0expirac\u00ed za 8 dn\u016f a na spodn\u00edm jsou s\u00a0expiraci za 15 dn\u016f.<\/span><\/p>\n

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

\u00a0\u00a0\u00a0Opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed maj\u00ed na ITM strike 144 Delta 79<\/strong>, kde\u017eto na stejn\u00e9m strike se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed je takov\u00e1 Delta<\/strong> na tomto strike jenom 74<\/strong>. Naopak OTM strike 149<\/strong> u opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed m\u00e1 Delta pouze 22<\/strong>, kde\u017eto Delta na stejn\u00e9m OTM strike 149 m\u00e1 Delta vy\u0161\u0161\u00ed, a to na hodnot\u011b 26<\/strong>.<\/span><\/p>\n

\u00a0 \u00a0Dynamika Delta<\/strong> m\u00e1 p\u0159\u00edm\u00fd vliv na na\u0161e op\u010dn\u00ed portfolio<\/strong>. Ur\u010duje jeho moment\u00e1ln\u00ed potenci\u00e1l a tak\u00e9, a jak se tento potenci\u00e1l m\u011bn\u00ed v\u00a0\u010dase, a to jak p\u016fsoben\u00edm pohybu podkladu, zm\u011bnou \u010dasu doby \u017eivota opce sm\u011brem k\u00a0jej\u00ed expiraci a tak\u00e9 zm\u011bnou Implied Volatility. V\u0161echny tyto faktory p\u016fsob\u00ed na dr\u017een\u00e9 op\u010dn\u00ed kontrakty sou\u010dasn\u011b. Porozum\u011bt takov\u00fdm efekt\u016fm ur\u010dit\u011b nen\u00ed na \u0161kodu a m\u016f\u017ee poskytovat v\u011bt\u0161\u00ed nadhled na stavbu, dr\u017een\u00ed a \u0159\u00edzen\u00ed portfolia :c) <\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0Delta je rozd\u00edl. Delta Praha \u2013 Brno je 200 (kilometr\u016f), o tom ale \u010dl\u00e1nek nebude. Bude to o Delta op\u010dn\u00edch kontrakt\u016f. Porozum\u011bn\u00ed Delta je jednou ze z\u00e1kladn\u00edch dovednost\u00ed, kterou by m\u011bl disponovat ka\u017ed\u00fd op\u010dn\u00ed trader. Toto jednoduch\u00e9 \u0159eck\u00e9 p\u00edsmeno ozna\u010duje m\u00edru z\u00e1vislosti ceny opce na pohybu podkladov\u00e9ho aktiva. Vyjdu Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":317,"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":[17,26],"class_list":["post-308","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-zaklady","tag-black-scholes","tag-delta"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/s8zd8A-delta","jetpack-related-posts":[{"id":522,"url":"https:\/\/dobretrejdy.com\/?p=522","url_meta":{"origin":308,"position":0},"title":"Gamma","author":"dobretrejdy :c)","date":"19.6.2017","format":false,"excerpt":"\u00a0 \u00a0 K\u00a0dokonalej\u0161\u00edmu pochopen\u00ed z\u00e1vislosti ceny opce na pohybu podkladov\u00e9ho aktiva vyj\u00e1d\u0159en\u00e9ho \u0159eck\u00fdm p\u00edsmenem Delta, jak jsem jej popisoval v\u00a0\u010dl\u00e1nku Delta je zapot\u0159eb\u00ed hlub\u0161\u00edho ponoru do problematiky \u0159eck\u00fdch p\u00edsmen, kdy\u017e t\u00edm nejbli\u017e\u0161\u00edm p\u00edsmenem k\u00a0popisovan\u00e9 Delta je \u0159eck\u00e9 p\u00edsmeno Gamma. Tak jako Rumburak byl \u010darod\u011bj druh\u00e9 kategorie, tak tak\u00e9 na Gamma\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\/06\/180750308.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3202,"url":"https:\/\/dobretrejdy.com\/?p=3202","url_meta":{"origin":308,"position":1},"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":2887,"url":"https:\/\/dobretrejdy.com\/?p=2887","url_meta":{"origin":308,"position":2},"title":"Delta Neutral – I.","author":"dobretrejdy :c)","date":"17.2.2019","format":false,"excerpt":"\u00a0\u00a0 P\u0159ijmout neutralitu jako \u017eivotn\u00ed postoj by se nemuselo uk\u00e1zat jako \u0161\u0165astn\u00e1 volba, proto\u017ee je n\u011bkdy prost\u011b zapot\u0159eb\u00ed ud\u011blat z\u00e1sadn\u00ed rozhodnut\u00ed, kter\u00e9 m\u016f\u017ee pohnout m\u00fdm \u017eivotem v\u00a0n\u011bkter\u00e9m z pozitivn\u00edch sm\u011br\u016f. Naopak, p\u0159ijmout neutralitu jako obchodn\u00ed rozhodnut\u00ed by pro op\u010dn\u00edho obchodn\u00edka mohlo p\u0159in\u00e9st zm\u011bnu jeho pohledu na jeho obchodn\u00ed styl a\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\/02\/mean.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/02\/mean.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/02\/mean.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/02\/mean.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4985,"url":"https:\/\/dobretrejdy.com\/?p=4985","url_meta":{"origin":308,"position":3},"title":"Kreditn\u00ed strategie \u2013 I.","author":"dobretrejdy :c)","date":"6.10.2020","format":false,"excerpt":"\u00a0\u00a0 Nebudu zast\u00edrat, \u017ee jsem t\u00e9ma kreditn\u00edch strategi\u00ed z\u00e1m\u011brn\u011b odsouval. M\u00e1m k tomu dostate\u010dn\u00e9 d\u016fvody, kdy\u017e nejp\u00e1dn\u011bj\u0161\u00ed z nich vych\u00e1z\u00ed z jejich podstaty, tedy nejjednodu\u0161eji \u0159e\u010deno z jejich profil\u016f zisk\u016f a ztr\u00e1ty. Mohl bych pak nav\u00edc k tomuto konstatovat, \u017ee tak, jak n\u011bkte\u0159\u00ed u\u010ditel\u00e9 op\u010dn\u00edho tradingu kreditn\u00edmi strategiemi za\u010d\u00ednaj\u00ed, j\u00e1\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\/10\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2911,"url":"https:\/\/dobretrejdy.com\/?p=2911","url_meta":{"origin":308,"position":4},"title":"Delta Neutral – II.","author":"dobretrejdy :c)","date":"3.3.2019","format":false,"excerpt":"\u00a0 \u00a0Pro\u010d se v\u016fbec zab\u00fdvat ot\u00e1zkou Delta Neutrality, co mi p\u0159in\u00e1\u0161\u00ed a k\u00a0\u010demu vlastn\u011b v\u016fbec je, by mohl b\u00fdt z\u00e1kladn\u00ed dotaz po p\u0159e\u010dten\u00ed minul\u00e9ho \u010dl\u00e1nku. Jako op\u010dn\u00ed obchodn\u00edk, vybaven z\u00e1kladn\u00edmi znalostmi o tvorb\u011b ceny op\u010dn\u00edho kontraktu v\u00edm, \u017ee cena opce je vypo\u010d\u00edt\u00e1v\u00e1na matematick\u00fdmi modely, do kter\u00fdch vstupuj\u00ed jednotliv\u00e9 cenotvorn\u00e9 komponenty,\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\/03\/Delta-pozitive-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/03\/Delta-pozitive-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/03\/Delta-pozitive-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/03\/Delta-pozitive-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2423,"url":"https:\/\/dobretrejdy.com\/?p=2423","url_meta":{"origin":308,"position":5},"title":"Syntetick\u00e9 pozice – V.","author":"dobretrejdy :c)","date":"24.9.2018","format":false,"excerpt":"\u00a0 \u00a0Vyu\u017eit\u00ed rovnice Call\/Put Parity o vztahu cen op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike vygenerovalo mo\u017enosti, jak libovoln\u011b p\u0159ech\u00e1zet z\u00a0jednoho typu op\u010dn\u00ed pozice do opa\u010dn\u00e9 a \u010dinit tak pokud mo\u017eno efektivn\u011b, toto bylo p\u0159edm\u011btem minul\u00fdch \u010dl\u00e1nk\u016f. Jestli je to v\u00a0danou chv\u00edli v\u00fdhodn\u00e9 je odvisl\u00e9 od aktu\u00e1ln\u00ed tr\u017en\u00ed situace vzhledem k\u00a0aktu\u00e1ln\u00ed profitabilit\u011b\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/05\/Delta.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/308","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=308"}],"version-history":[{"count":10,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/308\/revisions"}],"predecessor-version":[{"id":2161,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/308\/revisions\/2161"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/317"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=308"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=308"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=308"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}