{"id":330,"date":"2017-05-08T11:23:27","date_gmt":"2017-05-08T11:23:27","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=330"},"modified":"2023-12-01T00:20:26","modified_gmt":"2023-11-30T22:20:26","slug":"straddle-a-delta-neutral","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=330","title":{"rendered":"Straddle a Delta-Neutral"},"content":{"rendered":"

\u00a0\u00a0 Pokud je Praotec \u010cech otcem v\u0161ech n\u00e1s, \u010desk\u00fdch trader\u016f, pak praotcem v\u0161ech op\u010dn\u00edch strategi\u00ed je zcela jist\u011b Straddle<\/strong>. Opce Call a sou\u010dasn\u011b Put na stejn\u00e9m strike<\/strong><\/span> je tak star\u00e1, jak je star\u00e1 existence t\u011bchto op\u010dn\u00edch kontrakt\u016f (jenom dopln\u00edm, \u017ee nejd\u0159\u00edve se obchodovalo jen s\u00a0Call opcemi a a\u017e s\u00a0odstupem n\u011bkolika let za\u010dalo obchodov\u00e1n\u00ed s\u00a0Put opcemi). Straddle m\u016f\u017ee ze sv\u00e9 povahy slo\u017eeniny Call a Put opce nab\u00fdvat dvou tvar\u016f \u2013 Long Straddle<\/strong> (ob\u011b opce jsou Long) nebo Short Straddle<\/strong> (ob\u011b opce jsou Short). Op\u011bt se oprost\u00edm od obecn\u00e9ho popisu (t\u011bch je v\u0161ude dost) a pokus\u00edm se zam\u011b\u0159it na n\u011bkter\u00e9 podstatn\u00e9 nuance t\u00e9to klasick\u00e9 kombinace. Budu se d\u00e1le zab\u00fdvat v\u00fdhradn\u011b Long Straddle.<\/span>\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Nejjednodu\u0161\u0161\u00ed p\u0159edstava o Long Straddle je ta, \u017ee prost\u011b koup\u00edm Long Call a Long Put opci na stejn\u00e9m strike, investuji tak do t\u00e9to kombinace pen\u00edze a modl\u00edm se, a\u0165 trhy ud\u011blaj\u00ed n\u011bjak\u00fd podstatn\u00fd pohyb<\/strong>, kter\u00fd by mi vyd\u011blal na investovan\u00e9 pen\u00edze a je\u0161t\u011b z\u016fstal n\u011bjak\u00fd profit. Tak\u00e9 bych p\u0159i takov\u00e9m modlen\u00ed mohl spol\u00e9hat na podstatn\u00fd n\u00e1r\u016fst Implied Volatility<\/strong>, ta by mohla tak\u00e9 zp\u016fsobit, \u017ee mnou dr\u017een\u00e9 Long opce Straddle mohou nab\u00fdt na sv\u00e9 hodnot\u011b. Ide\u00e1lem by pak bylo, kdyby byly spln\u011bny ob\u011b podm\u00ednky sou\u010dasn\u011b<\/strong>. Proto\u017ee se jedn\u00e1 o kombinaci s\u00a0Long opcemi, maxim\u00e1ln\u00ed risk<\/strong> t\u00e9to pozice p\u0159edstavuje ztr\u00e1tu cel\u00e9 investice<\/strong>, a to pouze za p\u0159edpokladu, \u017ee cena podkladu se bude p\u0159i expiraci nach\u00e1zet p\u0159esn\u011b na hodnot\u011b spole\u010dn\u00e9ho strike m\u00e9ho Long Straddle. To je samoz\u0159ejm\u011b velmi nepravd\u011bpodobn\u00e9 a musela by to b\u00fdt velk\u00e1 n\u00e1hoda, kterou ale nelze samoz\u0159ejm\u011b vylou\u010dit. Tak\u00e9 by takov\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta nastala v\u00a0p\u0159\u00edpad\u011b, pokud bych od doby po\u0159\u00edzen\u00ed Long Straddle do expirace neprovedl \u201e\u017e\u00e1dnou akci\u201c.\u00a0<\/span><\/p>\n

\u00a0 \u00a0Nejb\u011b\u017en\u011bj\u0161\u00ed \u00favahou o po\u0159\u00edzen\u00ed Long Straddle je jeho po\u0159\u00edzen\u00ed na ATM strikes, tedy na sou\u010dasn\u00e9 obchodovan\u00e9 cen\u011b podkladov\u00e9ho aktiva. Tentokr\u00e1t si neodpust\u00edm zobrazen\u00ed riskgrafu Long Straddle<\/strong>, proto\u017ee na n\u011bj budu pozd\u011bji odkazovat<\/span><\/p>\n

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\u00a0 Na obr\u00e1zku je zachycen riskgraf Long Straddle<\/strong> po\u0159\u00edzen\u00fd na strike 50<\/strong> n\u011bjak\u00e9 podkladov\u00e9 akcie, kter\u00e1 se obchoduje za 50 USD<\/strong> za investici ve v\u00fd\u0161i -200 USD<\/strong>. Riskgraf je interpretov\u00e1n tak, jak by se cel\u00e1 takov\u00e1 pozice chovala p\u0159i expiraci opc\u00ed, tak\u017ee se nebudu zab\u00fdvat ot\u00e1zkou profitability z pohledu\u00a0n\u00e1r\u016fstu Implied Volatility Z\u00a0grafu je pak zejm\u00e9na patrn\u00e9, \u017ee pokud se cena podkladu do expirace nepohne a skon\u010d\u00ed na stejn\u00e9 cen\u011b 50 USD, tak prod\u011bl\u00e1m p\u0159esn\u011b t\u011bchto -200 USD. Pokud bude cena kdekoliv jinde ne\u017e na t\u00e9to cen\u011b, tak v\u017edy bude ztr\u00e1ta ni\u017e\u0161\u00ed, nebude \u017e\u00e1dn\u00e1 nebo bude cel\u00e1 pozice vykazovat profit. Profitabiln\u00ed bude v\u00a0p\u0159\u00edpad\u011b, \u017ee n\u00e1m cenov\u00fd pohyb vyd\u011bl\u00e1 na celkovou investici, a to se stane v\u00a0p\u0159\u00edpad\u011b, kdy\u017e se cena akcie pohne nejm\u00e9n\u011b o dva cenov\u00e9 body, v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed o 200 USD, a je jedno, kter\u00fdm to bude sm\u011brem. Konkr\u00e9tn\u011b to p\u0159edstavuje pokles pod 48 USD<\/strong> nebo n\u00e1r\u016fst nad 52 USD<\/strong>, toto jsou Break Even body<\/strong> m\u00e9 pozice. Pokud p\u0159i expiraci neskon\u010d\u00ed cena p\u0159esn\u011b na hodnot\u011b strike (ob\u011b opce by vypr\u0161ely jako bezcenn\u00e9) tak bude opce, kter\u00e1 bude \u201ev pen\u011bz\u00edch\u201c alespo\u0148 0,01 USD (jeden cent) exercised<\/strong> a na \u00fa\u010det mi budou dod\u00e1ny podkladov\u00e9 akcie<\/strong> za cenu strike. Pak jsou tyto mo\u017enosti:<\/span><\/p>\n

\u00a0\u00a0 1\/ Cena akcie klesne na 49 USD<\/strong>. Long Put bude exercised a na \u00fa\u010det mi budou dod\u00e1ny Short akcie za cenu strike, tedy za 50 USD\/kus, za tuto transakci obdr\u017e\u00edm tr\u017ebu +5.000 USD. Akcie prod\u00e1m za cenu na trhu, kter\u00e1 je 49 USD\/kus a na tuto likvidaci akciov\u00e9 pozice vynalo\u017e\u00edm -4.900 USD. Celkem shrnuto, p\u016fvodn\u00ed n\u00e1klady ve v\u00fd\u0161i -200 USD za po\u0159\u00edzen\u00ed Long Straddle +5.000 USD za Short akcie \u2013 4.900 USD za jejich likvidaci = -100 USD ztr\u00e1ta<\/strong>.<\/span><\/p>\n

\u00a0 \u00a02\/ Cena akcie klesne pod 48 USD<\/strong>, nap\u0159\u00edklad na 46 USD. Long Put bude exercised a na \u00fa\u010det mi budou dod\u00e1ny Short akcie za cenu strike, tedy za 50 USD\/kus, za tuto transakci obdr\u017e\u00edm tr\u017ebu +5.000 USD. Akcie prod\u00e1m za cenu na trhu, kter\u00e1 je 46 USD\/kus a na tuto likvidaci akciov\u00e9 pozice vynalo\u017e\u00edm -4.600 USD. Celkem shrnuto, p\u016fvodn\u00ed n\u00e1klady ve v\u00fd\u0161i -200 USD za po\u0159\u00edzen\u00ed Long Straddle +5.000 USD za Short akcie \u2013 4.600 USD za jejich likvidaci = +200 USD profit.<\/strong><\/span><\/p>\n

\u00a0\u00a0 3\/ Cena akcie stoupne na 51 USD<\/strong>. Long Call bude exercised a na \u00fa\u010det mi budou dod\u00e1ny Long akcie za cenu strike, tedy za 50 USD\/kus, na tuto transakci vynalo\u017e\u00edm n\u00e1klady -5.000 USD. Akcie prod\u00e1m za cenu na trhu, kter\u00e1 je 51 USD\/kus a na tuto likvidaci akciov\u00e9 pozice obdr\u017e\u00edm +5.100 USD. Celkem shrnuto, p\u016fvodn\u00ed n\u00e1klady ve v\u00fd\u0161i -200 USD za po\u0159\u00edzen\u00ed Long Straddle -5.000 USD za Long akcie + 5.100 USD za jejich likvidaci = -100 USD ztr\u00e1ta<\/strong>.<\/span><\/p>\n

\u00a0 \u00a04\/ Cena akcie stoupne nad 52 USD<\/strong>, nap\u0159\u00edklad na cenu 54 USD. Long Call bude exercised a na \u00fa\u010det mi budou dod\u00e1ny Long akcie za cenu strike, tedy za 50 USD\/kus, na tuto transakci vynalo\u017e\u00edm n\u00e1klady -5.000 USD. Akcie prod\u00e1m za cenu na trhu, kter\u00e1 je 54 USD\/kus a na tuto likvidaci akciov\u00e9 pozice obdr\u017e\u00edm +5.400 USD. Celkem shrnuto, p\u016fvodn\u00ed n\u00e1klady ve v\u00fd\u0161i -200 USD za po\u0159\u00edzen\u00ed Long Straddle -5.000 USD za Long akcie + 5.400 USD za jejich likvidaci = +200 USD profit<\/strong>.<\/span><\/p>\n

\u00a0 Takov\u00e9 mo\u017en\u00e9 fiktivn\u00ed sc\u00e9n\u00e1\u0159e se mohou p\u0159ihodit, pokud nebudete prov\u00e1d\u011bt \u017e\u00e1dn\u00e9 dal\u0161\u00ed akce<\/strong> nad r\u00e1mec pouh\u00e9ho po\u0159\u00edzen\u00ed a ponech\u00e1n\u00ed takov\u00e9ho Long Straddle do expirace. Pravd\u011bpodobn\u011b bych musel b\u00fdt ignorant, abych postupoval takov\u00fdm zp\u016fsobem a nechal takovou po\u0159\u00edzenou pozici sv\u00e9mu osudu a nesledoval p\u0159itom pohyby trhu a jak na tyto pohyby reaguje moje op\u010dn\u00ed pozice.<\/span><\/p>\n

\u00a0 Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt op\u010dn\u00ed \u0159et\u011bzec AAPL ze dne 19.4.2017 s\u00a0opcemi s\u00a0expirac\u00ed za 37 dn\u016f, a to 26.5.2017. AAPL se obchoduje za 141,20 USD. Tyto opce ve chv\u00edli, kdy p\u00ed\u0161u tento \u010dl\u00e1nek je\u0161t\u011b neexpirovaly, tak\u017ee nev\u00edm, jak se bude nad\u00e1le cena AAPL vyv\u00edjet sm\u011brem k\u00a0expiraci.<\/span><\/p>\n

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\u00a0 Na obr\u00e1zku je vid\u011bt po\u0159\u00edzen\u00e1 pozice Long Straddle<\/strong> na ATM strike 141<\/strong>, kdy\u017e jsem po\u0159\u00eddil 1 x Long Call 141<\/strong> za cenu -360 USD<\/strong> a 1 x Long Put<\/strong> za cenu -375 USD<\/strong>. Celkem jsem na Long Straddle vynalo\u017eil -735 USD<\/strong><\/span>. Toto je m\u00e1 investice do tohoto obchodu. Nemohu o v\u00edce p\u0159ij\u00edt a aby se tak stalo, musela by b\u00fdt cena AAPL p\u0159i expiraci opc\u00ed dne 26.5.2017 p\u0159esn\u011b na cen\u011b 141 USD, a to by byla velmi neuv\u011b\u0159iteln\u00e1 n\u00e1hoda, kterou v\u0161ak samoz\u0159ejm\u011b tak\u00e9 nelze vylou\u010dit, kdekoliv jinde cena skon\u010d\u00ed – bude reprezentovat n\u011bjakou hodnotu, kter\u00e1 bude sni\u017eovat hodnotu p\u016fvodn\u00ed investice. Proto\u017ee jsem investoval -735 USD, tak m\u00e9 Break-Even body budou o 735 USD n\u00ed\u017ee nebo v\u00fd\u0161e od 141 strike m\u00e9ho Long Straddle, pokud bych tedy nechal opce bez z\u00e1sahu do sv\u00e9 expirace. Abych byl profitabiln\u00ed<\/strong>, mus\u00ed b\u00fdt u t\u00e9to expirace cena nad<\/strong> 141+7,35 = 148,35 USD<\/strong> anebo pod<\/strong> 141-7,35 = 133,65 USD<\/strong>, to jsou BE m\u00e9 pozice. \u0158ekl bych, \u017ee tento pohyb, kter\u00fd reprezentuje t\u00e9m\u011b\u0159 5% hodnoty akcie je velmi optimistick\u00fd a mohlo by b\u00fdt velmi obt\u00ed\u017en\u00e9 jej dos\u00e1hnout.<\/span><\/p>\n

\u00a0\u00a0 Co tedy mohu za dobu dr\u017een\u00ed sv\u00e9 pozice ud\u011blat?<\/span><\/p>\n

V\u00fdpis Short opc\u00ed proti Straddle<\/strong><\/span><\/h2>\n

\u00a0\u00a0 \u00a0<\/span>\u00a0\u00a0 P\u0159i pozorov\u00e1n\u00ed pohybu a v\u00fdvoje Implied Volatility bude mou snahou z\u00edskat na svou stranu co nejv\u00edce pr\u00e9mia, abych mohl sn\u00ed\u017eit co nejv\u00edce n\u00e1klady na svou investici a z\u00e1rove\u0148 si uchoval dobr\u00e9 vyhl\u00eddky na dobr\u00fd pom\u011br Risk\/Profit (RRR). Moment\u00e1ln\u011b je m\u016fj potenci\u00e1l profitu neomezen\u00fd. O 13 dn\u016f pozd\u011bji<\/strong>, kdy do expirace zb\u00fdv\u00e1 24 dn\u016f, pozoruji, \u017ee akcie AAPL vystoupaly na 147,60 USD<\/strong> a op\u010dn\u00ed \u0159et\u011bzec vypad\u00e1 jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Pokud se budu zab\u00fdvat my\u0161lenkou sn\u00ed\u017eit n\u00e1klady v\u00fdpisem opc\u00ed a zachovat slu\u0161n\u00e9 RRR, tak vhodnou volbou je v\u00fdpis Short Call i Short Put opc\u00ed<\/strong>. Mohu se zab\u00fdvat, na jak\u00fdch strike takov\u00e9 pozice otev\u0159u, na obr\u00e1zku jsem vyzna\u010dil dv\u011b mo\u017enosti.<\/span><\/p>\n

\u00a0 \u00a01\/ Prvn\u00ed mo\u017enost\u00ed je v\u00fdpis ATM Short Call na strike 148<\/strong><\/span> za +288 USD a v\u00fdpis OTM Short Put na strike 137<\/span><\/strong> za +46 USD. Celkem bych takov\u00fdm v\u00fdpisem z\u00edskal +334 USD. M\u00e9 celkov\u00e9 n\u00e1klady<\/strong> by se tak sn\u00ed\u017eily na -735 USD + 334 USD = -401 USD.<\/strong><\/span><\/p>\n

\u00a0 \u00a0N<\/span>a Call stran\u011b jsem vytvo\u0159il Call Bull Spread +141\/-148<\/strong>, jeho maxim\u00e1ln\u00ed potenci\u00e1l je rozd\u00edl strike v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed, tedy +700 USD<\/strong>. Na Put stran\u011b jsem vytvo\u0159il Put Bear Spread +141\/-137<\/strong> s maxim\u00e1ln\u00ed potenci\u00e1lem rozd\u00edle strike v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed, tedy +400 USD<\/strong>.<\/span><\/p>\n

\u00a0 \u00a0Spodn\u00ed Break-Even m\u00e9 pozice je nyn\u00ed strike Long Straddle 141 \u2013 4,01 (celkov\u00e1 investice) = 136,99 USD<\/strong> na stran\u011b nutn\u00e9ho poklesu pro z\u00edsk\u00e1n\u00ed profitu. Horn\u00ed Break-Even m\u00e9 pozice je nyn\u00ed strike Long Straddle 141 + 4,01 (celkov\u00e1 investice) = 145,01 USD<\/strong> na stran\u011b nutn\u00e9ho r\u016fstu pro z\u00edsk\u00e1n\u00ed profitu. Sn\u00ed\u017eili jsme nejenom celkovou investici ze -735 USD na -401 USD (tedy o 45 %), ale tak\u00e9 jsme v\u00fdrazn\u011b sn\u00ed\u017eili Break-Even body cel\u00e9m p\u016fvodn\u00ed pozice z\u00a0p\u016fvodn\u00edch 133,65 USD a 148,35 USD na 136,99 USD a 145,01 USD, tedy tak\u00e9 t\u00e9m\u011b\u0159 o polovinu nutn\u00e9 vzd\u00e1lenosti, kter\u00e1 je nutn\u00e1 pro profitabilitu cel\u00e9ho Long Strangle.<\/span><\/p>\n

\u00a0\u00a0 V\u00fdpis Short Call a Short Put m\u00e1 tak za n\u00e1sledek opravdu dramatick\u00e9 sn\u00ed\u017een\u00ed hodnot Break-Even bod\u016f cel\u00e9 pozice. Break-Even body le\u017e\u00ed<\/strong> ve vzd\u00e1lenosti pohybu AAPL +\/- 2,70%<\/strong> nam\u00edsto p\u016fvodn\u00edho +\/- 5% nutn\u00e9ho pohybu !!!.<\/span><\/p>\n

\u00a0\u00a0 A\/<\/strong> Pokud by p\u0159i expiraci setrvala cena nad strikem m\u00e9 Short Call 148 opce, tak si na sv\u016fj \u00fa\u010det p\u0159ip\u00ed\u0161u maxim\u00e1ln\u00ed profit na Call Bull Spreadu +141\/-148 ve v\u00fd\u0161i +700 USD, od kter\u00e9ho ode\u010d\u00edt\u00e1m n\u00e1klady -401 USD a m\u016fj celkov\u00fd profit by tak byl +299 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 B\/<\/strong> Pokud by cena AAPL za\u010dala dramaticky klesat, a do expirace by prorazila tak\u00e9 m\u016fj strike Short Put 137 (pokles o 7%) tak si na sv\u016fj \u00fa\u010det p\u0159ip\u00ed\u0161u maxim\u00e1ln\u00ed profit na Put Bear Bull Spreadu +141\/-137 ve v\u00fd\u0161i +400 USD, od kter\u00e9ho ode\u010d\u00edt\u00e1m n\u00e1klady -401 USD a m\u00e1 celkov\u00e1 ztr\u00e1ta by pak byla pouh\u00fd -1 USD.<\/strong><\/span><\/p>\n

\u00a0 1\/ Druhou mo\u017enost\u00ed je v\u00fdpis ITM Short Call na strike 144<\/strong><\/span> za +515 USD a v\u00fdpis bli\u017e\u0161\u00ed OTM Short Put<\/span><\/strong> na strike 139 za +70 USD. Celkem bych takov\u00fdm v\u00fdpisem z\u00edskal +585 USD. M\u00e9 celkov\u00e9 n\u00e1klady by se tak sn\u00ed\u017eily na -735 USD + 585 USD = -150 USD<\/strong>.\u00a0<\/span><\/p>\n

\u00a0 \u00a0<\/span>Na Call stran\u011b jsem vytvo\u0159il Call Bull Spread +141\/-144<\/strong>, jeho maxim\u00e1ln\u00ed potenci\u00e1l je rozd\u00edl strike v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed, tedy +300 USD<\/strong>. Na Put stran\u011b jsem vytvo\u0159il Put Bear Spread +141\/-139<\/strong> s maxim\u00e1ln\u00ed potenci\u00e1lem rozd\u00edlem strike v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed, tedy +200 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Spodn\u00ed Break-Even m\u00e9 pozice je nyn\u00ed strike Long Straddle 141 \u2013 1,50 (celkov\u00e1 investice) = 139,50 USD<\/strong> na stran\u011b nutn\u00e9ho poklesu pro z\u00edsk\u00e1n\u00ed profitu. Horn\u00ed Break-Even m\u00e9 pozice je nyn\u00ed strike Long Straddle 141 + 1,50 (celkov\u00e1 investice) = 142,50 USD<\/strong> na stran\u011b nutn\u00e9ho r\u016fstu pro z\u00edsk\u00e1n\u00ed profitu. Sn\u00ed\u017eili jsme nejenom celkovou investici ze -735 USD na -150 USD (tedy o 80%), ale tak\u00e9 jsme v\u00fdrazn\u011b sn\u00ed\u017eili Break-Even body cel\u00e9 p\u016fvodn\u00ed pozice z\u00a0p\u016fvodn\u00edch 133,65 USD a 148,35 USD na 139,50 USD a 142,50 USD, tedy tak\u00e9 t\u00e9m\u011b\u0159 o 80% nutn\u00e9 vzd\u00e1lenosti, kter\u00e1 je nutn\u00e1 pro profitabilitu cel\u00e9ho Long Strangle.<\/span><\/p>\n

\u00a0\u00a0 V\u00fdpis Short Call a Short Put m\u00e1 tak za n\u00e1sledek opravdu dramatick\u00e9 sn\u00ed\u017een\u00ed hodnot Break-Even bod\u016f cel\u00e9 pozice. Break-Even body le\u017e\u00ed<\/strong> ve vzd\u00e1lenosti pohybu AAPL +\/- 1% !!!<\/strong><\/span><\/p>\n

\u00a0\u00a0 A\/<\/strong> Pokud by p\u0159i expiraci setrvala cena nad strikem m\u00e9 Short Call 144 opce, tak si na sv\u016fj \u00fa\u010det p\u0159ip\u00ed\u0161u maxim\u00e1ln\u00ed profit na Call Bull Spreadu +141\/-144 ve v\u00fd\u0161i +300 USD, od kter\u00e9ho ode\u010d\u00edt\u00e1m n\u00e1klady -150 USD a m\u016fj celkov\u00fd profit by tak byl +150 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 B\/<\/strong> Pokud by cena AAPL za\u010dala dramaticky klesat, a do expirace by prorazila tak\u00e9 m\u016fj strike Short Put 139, tak si na sv\u016fj \u00fa\u010det p\u0159ip\u00ed\u0161u maxim\u00e1ln\u00ed profit na Put Bear Bull Spreadu +141\/-139 ve v\u00fd\u0161i +200 USD, od kter\u00e9ho ode\u010d\u00edt\u00e1m n\u00e1klady -150 USD a m\u016fj celkov\u00fd profit by tak byl +50 USD<\/strong>.<\/span><\/p>\n

\u00daprava Long opc\u00ed Straddle<\/strong><\/span><\/h2>\n

\u00a0\u00a0\u00a0 \u00daprava pozice podle p\u0159edchoz\u00edho obr\u00e1zku se mi n\u011bjak nel\u00edb\u00ed, zejm\u00e9na proto, \u017ee o\u010dek\u00e1v\u00e1m dal\u0161\u00ed uptrend a nechci si v\u00fdpisem opc\u00ed omezit prostor pro takov\u00fd dal\u0161\u00ed r\u016fst, tak pokra\u010duji v\u00a0pozorov\u00e1n\u00ed cenov\u00e9ho v\u00fdvoje. Po p\u011bti dnech, kdy opce maj\u00ed 19 dn\u016f do expirace je situace takov\u00e1, \u017ee cena akcie AAPL je\u0161t\u011b m\u00edrn\u011b vystoupala a je to situace k\u00a0dne\u0161n\u00edmu dni, kdy p\u00ed\u0161u tento \u010dl\u00e1nek. Opce maj\u00ed expiraci p\u0159ed sebou, tak\u017ee nev\u00edm, jak to cel\u00e9 dopadne<\/span><\/p>\n

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

\u00a0\u00a0Akcie AAPL tedy je\u0161t\u011b m\u00edrn\u011b vystoupala na 149,05 USD<\/strong>. Nyn\u00ed ji\u017e m\u00e9 p\u0159edstav\u011b o dal\u0161\u00edm uptrendu nev\u011b\u0159\u00edm a chci n\u011bjak\u00fdm zp\u016fsobem pozici \u201ezafixovat\u201c. Abych si \u201euzamknul\u201c \u010d\u00e1st profitu, tak jsem se rozhodl, \u017ee prod\u00e1m<\/strong> svou p\u016fvodn\u00ed Long Put 141<\/strong> za +29 USD. M\u00edsto n\u00ed po\u0159izuji novou Long Put 147<\/strong> na vy\u0161\u0161\u00edm strike<\/strong> za -141 USD. Celou tuto rolovac\u00ed operaci financuji prodejem Short Call 150<\/strong> za +127 USD. M\u00e1 p\u016fvodn\u00ed investice ve v\u00fd\u0161i -735 USD byla upravena o +29 USD (prodej Long Put 141) \u2013 141 USD (n\u00e1kup Long Put 147) + 127 USD (v\u00fdpis Short Call 150) = nov\u00e1 v\u00fd\u0161e investice nyn\u00ed = -720 USD<\/strong>. Touto operac\u00ed jsem p\u0159idal do pozice +15 USD pr\u00e9mia.<\/span><\/p>\n

\u00a0\u00a0 Co jsem vlastn\u011b vytvo\u0159il? A\u0165 se stane, co se stane, budu m\u00edt<\/strong> p\u0159i expiraci v\u017edy nejm\u00e9n\u011b +600 USD zp\u011bt<\/strong>.<\/span><\/p>\n

\u00a0 \u00a01\/<\/strong> Pozice Long Call 141 a Long Put 147 bude m\u00edt p\u0159i expiraci hodnotu nejm\u00e9n\u011b +600<\/strong>, a to v\u00a0p\u0159\u00edpad\u011b, \u017ee cena AAPL skon\u010d\u00ed mezi jejich strike 141 a 147<\/strong>. Short Call 150 vypr\u0161\u00ed jako bezcenn\u00e1. Ob\u011b Long opce budou \u201ev pen\u011bz\u00edch\u201c a budou exercised. Long Call mi vygeneruje 100 x Long akci\u00ed AAPL za cenu strike 141 a na tuto operaci vynalo\u017e\u00edm -14.100 USD, aby mi Long Put 147 vygenerovala 100 x Short akci\u00ed za cenu strike 147 a za tento obchod utr\u017e\u00edm +14.700 USD. Ob\u011b akciov\u00e9 pozice se vyru\u0161\u00ed a z\u016fstane mi pouze +600 USD<\/strong>.<\/span><\/p>\n

\u00a0<\/span>\u00a0\u00a0 2\/<\/strong> Pokud bude cena akcie AAPL dramaticky klesat a \u00a0ocitne se p\u0159i expiraci pod p\u016fvodn\u00ed strike<\/strong>\u00a0Long Straddle 141<\/strong>, nap\u0159\u00edklad na cen\u011b 139 USD. Short Call 150 i Long Call 147 vypr\u0161\u00ed jako bezcenn\u00e9, ale Long Put 147 bude \u201ev pen\u011bz\u00edch\u201c a bude exercised. Obdr\u017e\u00edm 100 x Short akcie AAPL za cenu strike 147 USD a za tuto aktivitu obdr\u017e\u00edm na \u00fa\u010det +14.700 USD. Akcie prod\u00e1m na voln\u00e9m trhu za cenu 139 USD a vynakl\u00e1d\u00e1m na tuto likvidaci -13.900 USD. Na sv\u016fj \u00fa\u010det z\u00edsk\u00e1v\u00e1m +800 USD.<\/strong><\/span><\/p>\n

\u00a0 \u00a03\/<\/strong> Pokud cena d\u00e1le poroste, tak jej\u00ed r\u016fst je ve smyslu m\u00e9 pozice omezen strike 150<\/strong> m\u00e9 Short Call<\/strong> opce. Pokud by p\u0159i expiraci byla cena kdekoliv nad t\u00edmto strike, tak Long Put 147 bude bezcenn\u00e1 a m\u00e1 pozice Long Call 141 a Short Call 150, kter\u00e1 p\u0159edstavuje Call Bull Spread +141\/-150 vygeneruje maxim\u00e1ln\u00ed profit v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed ve v\u00fd\u0161i rozd\u00edlu strike, tedy +900 USD<\/strong>. \u00a0\u00a0<\/span><\/p>\n

Prodej akci\u00ed proti Straddle<\/span><\/strong><\/h2>\n

\u00a0 Za stejn\u00e9 situace, jako v\u00a0p\u0159\u00edpad\u011b s\u00a0rolov\u00e1n\u00edm Long Put opce financovan\u00e9 v\u00fdpisem Short Call opce se mi nezamlouv\u00e1 \u017e\u00e1dn\u00e1 z\u00a0v\u00fd\u0161e uveden\u00fdch kombinac\u00ed<\/strong> a chci pozici \u201ezabetonovat\u201c. V\u00a0t\u00e9to situaci prod\u00e1m 100 x Short akci\u00ed AAPL za cenu 149,05 USD<\/strong><\/span> a na sv\u016fj \u00fa\u010det dostanu +14.905 USD. M\u00e9 n\u00e1klady na pozici budou -735 USD (p\u016fvodn\u00ed investice) + 14.905 USD (tr\u017eba za Short akcie) = +14.170 USD<\/strong>.<\/span><\/p>\n

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

\u00a0\u00a0 1\/<\/strong> Pokud cena bude po po\u0159\u00edzen\u00ed Short akci\u00ed d\u00e1le stoupat, bude stagnovat nebo bude klesat<\/strong>, tak a\u017e do ceny 141 USD<\/strong> mohu v\u017edy prov\u00e9st (nebo bude p\u0159i expiraci provedena automaticky) exercise m\u00e9 Long Call 141<\/strong>, na z\u00e1klad\u011b kter\u00e9 mi budou p\u0159ivol\u00e1ny 100 x Long akcie za cenu 141 USD a j\u00e1 utrat\u00edm -14.100 USD. V\u00fdsledkem bude profit +14.170 USD (n\u00e1klady) \u2013 14.100 USD (likvidace akci\u00ed) = +70 USD<\/strong>. Pokud provedu takovou exercise p\u0159ed expirac\u00ed s\u00e1m, tak nav\u00edc Long Put 141 m\u016f\u017ee m\u00edt tak\u00e9 je\u0161t\u011b n\u011bjakou hodnotu, za kterou ji m\u016f\u017eu prodat<\/span><\/p>\n

\u00a0 2\/<\/strong> Pokud bude cena po po\u0159\u00edzen\u00ed klesat, a to pod strike Long Straddle 141<\/strong>, nap\u0159\u00edklad bude na cen\u011b 139 USD, tak Long Put<\/strong> bude nab\u00edrat na sv\u00e9 hodnot\u011b<\/strong> stejn\u011b jako Short akcie<\/strong> a to by byla v\u00edtan\u00e1 situace. Na t\u00e9to cen\u011b celou pozici likviduji. Pokud bych na t\u00e9to hodnot\u011b likvidoval akcie, musel bych vynalo\u017eit -13.900 USD. Pokud bych provedl exercise m\u00e9 Long Put opce, obdr\u017eel bych op\u011bt 100 x Short akci\u00ed AAPL za cenu strike 141 USD a utr\u017eil bych +14.100 USD. tyto akcie bych op\u011bt prodal na voln\u00e9m trhu za moment\u00e1ln\u00ed cenu 139 USD a vynalo\u017eil bych dal\u0161\u00edch -13.900 USD. M\u00e9 p\u016fvodn\u00ed n\u00e1klady ve v\u00fd\u0161i +14.170 USD -13.900 USD (likvidace p\u016fvodn\u00edch akci\u00ed) +14.100 (tr\u017eba za nov\u00e9 akcie z\u00a0exercise) \u2013 13.900 USD (likvidace nov\u00fdch akci\u00ed) = +470 USD<\/strong>. Tak\u00e9 v\u00a0tomto p\u0159\u00edpad\u011b nav\u00edc m\u016f\u017ee m\u00edt Long Call 141 tak\u00e9 je\u0161t\u011b n\u011bjakou hodnotu, za kterou ji m\u016f\u017eu prodat. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0Toto jsou pouze n\u011bkter\u00e9 z mo\u017enost\u00ed, jak nalo\u017eit s\u00a0takovou pozic\u00ed Long Straddle a ne\u010dekat v\u00a0ne\u010dinnosti a pozorovat, jak m\u016fj Long Straddle postupn\u011b rozkl\u00e1d\u00e1 \u010das<\/strong>. Proto\u017ee nem\u016f\u017eeme v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b odhadnout budouc\u00ed pohyb podkladov\u00e9ho aktiva, tak nen\u00ed ne\u010dinnost opravdu nam\u00edst\u011b. V\u00a0neprosp\u011bch Long Straddle hraj\u00ed dva mocn\u00ed nep\u0159\u00e1tel\u00e9 \u2013 \u010das a volatilita<\/strong>. Postupem \u010dasu se rozpad\u00e1 \u010dasov\u00e1 slo\u017eka opce a \u201enepohyb\u201c na podkladu zp\u016fsobuje malou zm\u011bnu p\u0159\u00edpadn\u00e9 \u201evnit\u0159n\u00ed hodnoty\u201c opce \u2013 tyto faktory ve sv\u00e9m sou\u010dtu stoj\u00ed za velkou pravd\u011bpodobnost\u00ed ztr\u00e1ty z\u00a0dr\u017een\u00ed takov\u00e9 op\u010dn\u00ed pozice. Pro\u010d se tedy vlastn\u011b takovou pozic\u00ed v\u016fbec zab\u00fdv\u00e1m? To je z\u0159ejm\u00e9 d\u00e1le.<\/span><\/p>\n

\n

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

\u00a0\u00a0 Long Straddle<\/strong>, po\u0159\u00edzen\u00ed Long opc\u00ed Call i Put na stejn\u00e9m strike maj\u00ed toti\u017e jednu v\u00fdznamnou kvalitu, a tou je Delta Neutralita<\/strong><\/span>. V\u00a0\u010dl\u00e1nku Delta<\/a><\/strong>\u00a0jsem popisoval, \u017ee opce Call i Put na stejn\u00e9m strike maj\u00ed ve sv\u00e9m absolutn\u00edm sou\u010dtu v\u017edy hodnotu 100<\/strong> a jak\u00e9 jsou znam\u00e9nka z\u00a0pohledu dr\u017een\u00ed ka\u017ed\u00e9ho typu op\u010dn\u00edho kontraktu. Pokud je Delta<\/strong> u Long Call kladn\u00e1<\/strong> a Long Put z\u00e1porn\u00e1<\/strong>, tak nap\u0159\u00edklad p\u0159i Long Straddle na ATM strike m\u00e1 ka\u017ed\u00e1 hodnotu Delta ve v\u00fd\u0161i 50, Long Call +50 a Long Put -50. Na obr\u00e1zku je vid\u011bt Delta opc\u00ed JPM.<\/span><\/p>\n

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\u00a0\u00a0 Delta Long Call<\/strong> je +50.3<\/strong> a Delta Long Put<\/strong> je -49,70<\/strong>. Sou\u010det je 0.6,<\/strong> tedy t\u00e9m\u011b\u0159 nula. Nulov\u00fd sou\u010det samoz\u0159ejm\u011b plat\u00ed pro v\u0161echny strike.<\/span><\/p>\n

\u00a0\u00a0 Long Straddle je tak pozice, kter\u00e1 je Delta\u2013Neutral<\/strong>. Delta neutr\u00e1ln\u00ed pak jednodu\u0161e znamen\u00e1, \u017ee pokud se podklad pohne o jeden dolar, tak se cena pozice nezm\u011bn\u00ed a bude po\u0159\u00e1d nula. Pokud cena akcie stoupne o jeden dolar, tak se cena Long Call zv\u00fd\u0161\u00ed o p\u016fl dolaru, kde\u017eto Long Put opce na cen\u011b o p\u016fl dolaru ztrat\u00ed. Kdyby neexistovalo plynut\u00ed \u010dasu a byla konstantn\u00ed volatilita, tak by Long Straddle nikdy neprod\u011blal, po\u0159\u00e1d by m\u011bl stejnou hodnotu a pokud by se kamkoliv pohnul, v\u017edycky by sou\u010det Delta byl nula, v\u017edy by jedna opce p\u0159idala na \u00fakor druh\u00e9 a v\u00a0sou\u010dtu cen by se nic nezm\u011bnilo. To by sice bylo ide\u00e1ln\u00ed, ale nikdo by nic nevyd\u011blal a tak\u00e9 by nikdo neprod\u011blal, tak\u017ee by se neobchodovalo. Princip Delta neutrality je ov\u0161em motorem cel\u00e9ho op\u010dn\u00edho obchodov\u00e1n\u00ed<\/strong>. Jak je to mo\u017en\u00e9?<\/span><\/p>\n

\u00a0\u00a0 Pokud bych se V\u00e1s zeptal na ot\u00e1zku, kter\u00e1 je nejpou\u017e\u00edvan\u011bj\u0161\u00ed op\u010dn\u00ed strategie<\/strong>, pravd\u011bpodobn\u011b m\u00e1lo z\u00a0V\u00e1s by odpov\u011bd\u011blo Long Straddle. Je tomu ale tak. Na jeho principu toti\u017e funguje cel\u00e1 tvorba op\u010dn\u00edch trh\u016f \u2013 Market Making. Pokud jsem popisoval techniku Conversion<\/strong> nebo Reversal<\/strong> jako z\u00e1kladn\u00ed mo\u017en\u00e9 n\u00e1stroje tv\u016frc\u016f trhu, co bylo vlastn\u011b demonstrov\u00e1no \u2013 Delta Neutralita. Zobrazen\u00ed obou technik Conversion<\/strong> a Reversal<\/strong> na ATM strike s\u00a0vyzna\u010den\u00edm Delta (D)<\/span><\/p>\n

Short Call (D\/-50) + 100 x Long akcie (D\/+100) + Long Put (D\/-50)<\/span><\/strong><\/p>\n

Long Call (D\/+50) + 100 x Short akcie (D\/-100) + Short Put (D\/+50)<\/span><\/strong><\/p>\n

\u00a0 Sou\u010det Delta<\/strong> u obou pozic je v\u017edy nula<\/strong>. Pokud bych se pod\u00edval na takovou pozici Vertik\u00e1ln\u011b ve stejn\u00e9 expiraci a na jin\u00fdch strike, tak bych vid\u011bl d\u0159\u00edve v\u00a0\u010dl\u00e1nc\u00edch popisovanou op\u010dn\u00ed konstelaci Box<\/strong><\/a>\u00a0<\/span>se sou\u010dtem v\u0161ech \u010dty\u0159 opc\u00ed s celkovou Delta rovnou nule<\/strong>, stejn\u00fd sou\u010det bych pak mohl vypozorovat, pokud bych takov\u00e9 pozice rozlo\u017eil v\u00a0\u010dase jednotliv\u00fdch expirac\u00ed, jak jsem popisoval v\u00a0\u010dl\u00e1nku Time Spread<\/strong><\/a><\/span>, takov\u00fd sou\u010det by byl op\u011bt<\/strong> nulov\u00fd<\/strong>. Kamkoliv se podklad pohne, na hodnotu takov\u00fdch pozic to nebude m\u00edt \u017e\u00e1dn\u00fd vliv. Jedin\u00fdm \u00fakolem pak z\u016fst\u00e1v\u00e1, abych do takov\u00fdch pozic vstoupil tak, aby jeho v\u00fdsledkem byl profit.<\/span><\/p>\n

\u00a0 \u00a0Long Straddle<\/strong> p\u0159edstavuje nejjednodu\u0161\u0161\u00ed formu<\/strong> Delta Neutrality<\/strong> a k t\u00e9to nejjednodu\u0161\u0161\u00ed podob\u011b se sna\u017e\u00ed Delta \u2013 Neutral obchodn\u00edci co nejv\u00edce p\u0159ibl\u00ed\u017eit. Po\u0159izov\u00e1n\u00ed op\u010dn\u00edch pozic na r\u016fzn\u00fdch strikes se pak nevn\u00edm\u00e1 jako Call Bull Spread, Iron Condor, Short Straddle, Butterflyies…., ale sna\u017e\u00ed se zachytit pomoc\u00ed Delta cel\u00e9 pozice a vyj\u00e1d\u0159it takov\u00e9 pozice Synteticky. Pokud budu nap\u0159\u00edklad cht\u00edt po\u0159\u00eddit pozici podle obr\u00e1zku s\u00a0op\u010dn\u00edm \u0159et\u011bzcem JPM v\u00fd\u0161e, pak v\u00a0principu Delta Neutrality<\/strong> bych nap\u0159\u00edklad koupen\u00ed 2 x Long Call 87<\/strong> s\u00a0Delta +50<\/strong> zajistil prodejem 100 x Short akciemi JPM <\/strong>s Delta -100<\/strong>. Pak bych zjistil, \u017ee opce maj\u00ed Delta +100 a 100 x Short akcie maj\u00ed Delta -100, byl bych Delta Neutral, sou\u010det Delta by byl nula.<\/span>\u00a0I kdy\u017e to tak nevypad\u00e1, po\u0159\u00eddil jsem Long Straddle<\/strong>. Pozici si mohu toti\u017e rozlo\u017eit do dvou \u010d\u00e1ste\u010dn\u00fdch pozic.<\/span><\/p>\n

1 x Long Call 87 + (1 x Long Call + 100 Short akcii JPM) = Long Straddle<\/strong><\/span><\/p>\n

\u00a0\u00a0 V\u00fdraz v\u00a0z\u00e1vorce je toti\u017e pozice Syntetick\u00e9 Long Put<\/strong> opce, m\u00e1 stejn\u00fd risk profil a chov\u00e1 se identicky, jako bych m\u011bl takovou Long Put opci na m\u00e9m \u00fa\u010dtu. Pokud podklad kles\u00e1, cena Long Call ztr\u00e1c\u00ed na hodnot\u011b a Short akcie na sv\u00e9 hodnot\u011b nab\u00edraj\u00ed \u2013 profit p\u0159i poklesu je neomezen\u00fd \u2013 tedy stejn\u011b jako u Long Put op\u010dn\u00edho kontraktu. Pokud podklad roste, tak cena Long Call sice roste, ale je pln\u011b kompenzov\u00e1na ztr\u00e1tou na Short akci\u00edch \u2013 p\u0159i r\u016fstu nen\u00ed potenci\u00e1l profitu \u017e\u00e1dn\u00fd – op\u011bt stejn\u011b jako u Long Put op\u010dn\u00edho kontraktu. Risk cel\u00e9 pozice v z\u00e1vorce (Syntetic Long Put) je omezen pouze cenou jej\u00edho po\u0159\u00edzen\u00ed.<\/span><\/p>\n

\u00a0 \u00a0A\u010dkoliv jsem po\u0159\u00eddil opticky v\u011bc nepodobnou Long Straddle, tak takto se bude pozice chovat. Systematick\u00fdm udr\u017eov\u00e1n\u00edm cel\u00e9ho op\u010dn\u00edho a akciov\u00e9ho portfolia „jakoby ve tvaru Long Straddle\u201c se pak obchoduje u v\u0161ech tv\u016frc\u016f trhu. Pokud budu m\u00edt celou komplexn\u00ed pozici Delta Neutral, pak ji\u017e budu jenom sledovat, abych mi pozice netrp\u011bla p\u016fsoben\u00edm \u010dasu (Th\u00e9ta Neutral) a zm\u011bnou Volatility (Vega Neutral) a samoz\u0159ejm\u011b aby reprezentovala n\u011bjak\u00fd profit.<\/span><\/p>\n

\u00a0 Jak by to mohlo fungovat v\u00a0praxi. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt n\u00e1hodn\u00e9, \u010dist\u011b op\u010dn\u00ed portfolio akciov\u00e9ho titulu AAPL. Je zde mnoho r\u016fzn\u00fdch opc\u00ed Long i Short v\u00a0r\u016fzn\u00fdch expirac\u00edch na r\u016fzn\u00fdch strikes a ur\u010dit\u011b by dalo velkou n\u00e1mahu vysv\u011btlit, kolik je to Time Spread\u016f, Vertical Spread\u016f\u2026 apod. Co je ale jist\u00e9, je zji\u0161t\u011bn\u00ed, \u017ee celkov\u00e1 Delta pozice je z\u00e1porn\u00e1<\/strong>, a je ve v\u00fd\u0161i -345<\/strong>. Cel\u00e1 pozice se bude chovat stejn\u011b, jako bych m\u011bl prod\u00e1no -345 akci\u00ed AAPL<\/strong>. Vzestup ceny AAPL o jeden dolar bude m\u00edt za n\u00e1sledek ztr\u00e1tu ceny m\u00e9ho portfolia o -345 USD. Pokles ceny o jeden dolar bude znamenat zv\u00fd\u0161en\u00ed ceny portfolia o +345 USD.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Dosa\u017een\u00ed Delta Neutrality<\/strong> takov\u00e9ho portfolia je pak mo\u017en\u00e9 mnoha zp\u016fsoby<\/strong>. M\u016f\u017eeme redukovat st\u00e1vaj\u00edc\u00ed pozice nebo p\u0159id\u00e1vat dal\u0161\u00ed pozice. Nejjednodu\u0161\u0161\u00ed \u00fapravou by pak bylo koupen\u00ed 345 Long akci\u00ed AAPL<\/strong>, kter\u00e9 dodaj\u00ed portfoliu +345 Delta<\/strong> a z\u00e1pornou Delta vynuluj\u00ed<\/strong>.\u00a0\u00a0<\/span><\/p>\n

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

\u00a0 Tato pozice se nyn\u00ed chov\u00e1 op\u011bt jako Long Straddle, je toti\u017e Delta neutr\u00e1ln\u00ed<\/strong>. Stejnou kladnou Delta mohu do pozice \u201ep\u0159il\u00edt\u201c, nam\u00edsto koupen\u00ed akci\u00ed, vyps\u00e1n\u00edm Short Put opc\u00ed (maj\u00ed kladnou Delta), jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

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

\u00a0\u00a0 Vypsal jsem 4 x Short Put na strike 160<\/strong> s\u00a0expirac\u00ed 21.7.2017, kdy\u017e ka\u017ed\u00e1 s\u00a0opc\u00ed m\u00e1 Delta +87<\/strong>. Celkov\u011b bych tak do m\u00e9ho portfolia p\u0159idal +348 Delta<\/strong> a takov\u00e9 potfolio by se v\u00a0tu chv\u00edli op\u011bt chovalo jako Long Straddle, bylo by toti\u017e \u00a0op\u011bt Delta Neutr\u00e1ln\u00ed.<\/span><\/p>\n

\u00a0 \u00a0Obrovsk\u00e1 \u010d\u00e1st obchodn\u00edch strategi\u00ed obchodov\u00e1n\u00ed s\u00a0opcemi t\u011b\u017e\u00ed z\u00a0v\u00fd\u0161e uveden\u00fdch princip\u016f a sna\u017e\u00ed se jich n\u011bjak smyslupln\u011b vy\u017e\u00edt, aby p\u0159in\u00e1\u0161ela n\u011bjak\u00e9 profity. Je praz\u00e1kladem mnoha obchodn\u00edch technik a p\u0159\u00edstup\u016f a na jej\u00edm principu funguje tvorba op\u010dn\u00edch trh\u016f. Z\u00e1kladn\u00edm v\u00fdchodiskem je pak neutralizovat vliv pohybu podklad\u016f<\/strong> na hodnotu portfoli\u00ed \u00fapravou Delta a takov\u00e9 \u00fapravy prov\u00e1d\u011bt tak, abych jimi mohl vyr\u00e1b\u011bt profity<\/strong>. Samoz\u0159ejm\u011b, \u017ee to nen\u00ed zcela v\u0161echno, proto\u017ee pr\u00e1v\u011b neust\u00e1l\u00e9 \u00fapravy takov\u00fdch portfoli\u00ed mus\u00ed respektovat dal\u0161\u00ed vlivy, jako je neutralizace Th\u00e9ta a Vega<\/strong>, od toto nyn\u00ed odhl\u00e9dnu. Mohu ale analyzovat ji\u017e nyn\u00ed m\u00e9 n\u00e1hodn\u011b vytvo\u0159en\u00e9 portfolio z\u00a0pozice risku a nabyt\u00fdch zku\u0161enost\u00ed z\u00a0p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f. Vyjdu-li ze situace, \u017ee jsem nyn\u00ed zcela chr\u00e1n\u011bn proti pohybu podkladu po\u0159\u00edzen\u00edm akci\u00ed podle jedn\u00e9 z\u00a0v\u00fd\u0161e uveden\u00fdch mo\u017enost\u00ed, mohu pak na n\u011bkter\u00e9 m\u00e9 pozice sv\u00e9ho n\u00e1hodn\u00e9ho fiktivn\u00edho portfolio nahl\u00ed\u017eet nap\u0159\u00edklad takto<\/span><\/p>\n

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

\u00a0 Podle jednotliv\u00fdch zna\u010dek mohu vysledovat, \u017ee ozna\u010den\u00e9 pozice p\u00edsmeny mohou znamenat<\/span><\/p>\n

CC\/<\/strong> 300 Long akci\u00ed a 3 x Short Call 152,50 je 3 x Covered Call<\/strong><\/span><\/p>\n

CC\/<\/strong> 300 Long akci\u00ed a 3 x Short Call 147 je 3 x Covered Call<\/strong> tak\u00e9<\/span><\/p>\n

TS\/<\/strong>\u00a01 x Short Call 152,50 a 1 x Long Call 152,50 je 1 x Time Spread<\/strong><\/span><\/p>\n

Coll\/<\/strong> 300 Long akci\u00ed a 3 x Short Call 152,50 a 3 x Long Put 152,50 je 3 x Collar<\/strong><\/span><\/p>\n

\u00a0 To je jen kr\u00e1tk\u00fd v\u00fd\u010det toho, co je patrn\u00e9 na prvn\u00ed pohled. Podle pravidel t\u011bchto strategi\u00ed, kter\u00e9 jsem zde v\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch rozeb\u00edral, budou postupn\u011b pozice mizet nebo se p\u0159i expirac\u00edch p\u0159etv\u00e1\u0159et jedna do druh\u00e9. Zvl\u00e1dnut\u00ed takov\u00e9ho \u0159\u00edzen\u00ed je n\u00e1ro\u010dn\u00e9, proto\u017ee Delta nen\u00ed statick\u00e9 \u010d\u00edslo a neust\u00e1le se m\u011bn\u00ed s\u00a0pohybem podkladu, jej\u00ed hodnota neust\u00e1le roste nebo kles\u00e1 a proto si takov\u00e9 \u0159\u00edzen\u00ed vy\u017eaduje zejm\u00e9na perfektn\u00ed zvl\u00e1dnut\u00ed element\u00e1rn\u00edch op\u010dn\u00edch pozic a jejich kombinac\u00ed.<\/span><\/p>\n

\u00a0 \u00a0Uvedu na uk\u00e1zku jednu ze z\u00e1kladn\u00edch mo\u017en\u00fdch demonstrac\u00ed\u00a0n\u00e1sledn\u00e9ho postupu<\/strong>. Akcie AAPL jsou v neust\u00e1l\u00e9m pohybu, tak jako jak\u00fdkoliv jin\u00fd podklad a Delta se bude po proveden\u00e9 neutralizaci akciemi, podle jednoho z\u00a0p\u0159\u00edklad\u016f v\u00fd\u0161e, m\u011bnit. Z\u00edtra<\/strong>\u00a0nap\u0159\u00edklad bude celkov\u00e1 Delta +90<\/strong>. Abych takovou Delta op\u011bt neutralizoval, m\u00e1m mnoho mo\u017enost\u00ed. Pokud se pod\u00edv\u00e1m na obr\u00e1zek op\u010dn\u00edho portfolia, tak mohu vid\u011bt akciovou pozici<\/strong><\/span> a 3 x Short Call 147<\/span><\/strong> s\u00a0expirac\u00ed 2.6.2017 po\u0159\u00edzenou<\/strong> ka\u017edou za +314 USD<\/strong> a akcie po\u0159\u00edzen\u00e9 za 149 USD\/kus <\/strong>(ozna\u010dil jsem je na obr\u00e1zku smbolem „Conver“). \u00a0<\/strong>V\u00a0ok\u00e9nku Delta je \u010d\u00edslovka 90<\/strong><\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Proto\u017ee od posledn\u00ed neutralizace Delta do\u0161lo k\u00a0pohybu ceny AAPL, tak m\u011b zaj\u00edm\u00e1, jakou Delta<\/strong> maj\u00ed nap\u0159\u00edklad\u00a0Long Put opce<\/strong> na stejn\u00e9m strike 147<\/strong> ve stejn\u00e9 expiraci<\/strong>, tedy 2.6.2017 <\/strong>(tyto nejsou sou\u010d\u00e1st\u00ed portfolia). Tyto sledovan\u00e9 opce jsou OTM a maj\u00ed z\u00e1pornou Delta<\/strong> ve v\u00fd\u0161i -30<\/strong>, jejich cena je -85 USD<\/strong>. Kupuji t\u0159i takov\u00e9 Long Put 147 opce. Dodal jsem do portfolia -90 Delta<\/strong> a m\u00e9 portfolio bude op\u011bt Delta Neutral<\/strong>..<\/span><\/p>\n

\u00a0 \u00a0Vytvo\u0159il jsem Conversion<\/strong>. 3 x Short Call 147 + 300 akci\u00ed AAPL + 3 x Long Put 147<\/strong><\/span>, v\u0161e ve stejn\u00e9 expiraci<\/strong>. Na tuto celou pozici mohu zapomenout, proto\u017ee p\u0159i expiraci mi v\u0161e zmiz\u00ed. Ka\u017edou ze t\u0159\u00ed Conversion jsem po\u0159\u00eddil za +314 USD (v\u00fdpis Short Call 147) \u2013 14.900 (n\u00e1kup akci\u00ed) \u2013 85 USD (n\u00e1kup Long Put 147) = -14.671 USD<\/strong>. P\u0159i expiraci bude Short Call assigned nebo Long Put exercised a budou mi dod\u00e1ny Short akcie za cenu strike 147 USD s\u00a0tr\u017ebou +14.700 USD. Akciov\u00e9 pozice se vyru\u0161\u00ed a z\u016fstanou jenom pen\u00edze -14.671 USD + 14.700 USD = +29 USD<\/strong> na ka\u017edou Conversion, celkov\u00fd profit<\/strong> na t\u0159ech takov\u00fdch pozic\u00edch je +87 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Takto se pak sna\u017e\u00edme upravovat podle zm\u011bny Delta v\u0161echny ostatn\u00ed pozice za sou\u010dasn\u00e9 Delta neutralizace :c)<\/span><\/p>\n

\u00a0 \u00a0„…mal\u00fd klu\u010dina se na spole\u010densk\u00e9 akci pt\u00e1 fenomen\u00e1ln\u00edho klav\u00edristy Frederika Chopina, jestli je t\u011b\u017ek\u00e9 se nau\u010dit hr\u00e1t na klav\u00edr. Klav\u00edrista odpov\u00edd\u00e1: \u201ePokud se ti poda\u0159\u00ed ve spr\u00e1vnou chv\u00edli zm\u00e1\u010dknout tu spr\u00e1vnou klapku, tak to dohromady nen\u00ed v\u016fbec nic slo\u017eit\u00e9ho\u201c :c)<\/em><\/span><\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Pokud je Praotec \u010cech otcem v\u0161ech n\u00e1s, \u010desk\u00fdch trader\u016f, pak praotcem v\u0161ech op\u010dn\u00edch strategi\u00ed je zcela jist\u011b Straddle. Opce Call a sou\u010dasn\u011b Put na stejn\u00e9m strike je tak star\u00e1, jak je star\u00e1 existence t\u011bchto op\u010dn\u00edch kontrakt\u016f (jenom dopln\u00edm, \u017ee nejd\u0159\u00edve se obchodovalo jen s\u00a0Call opcemi a a\u017e s\u00a0odstupem n\u011bkolika Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":354,"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":[2],"tags":[26,27],"class_list":["post-330","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-zaklady","tag-delta","tag-straddle"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/05\/DN-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-5k","jetpack-related-posts":[{"id":783,"url":"https:\/\/dobretrejdy.com\/?p=783","url_meta":{"origin":330,"position":0},"title":"Earnings – VI.","author":"dobretrejdy :c)","date":"17.9.2017","format":false,"excerpt":"\u00a0 Zlat\u00e1 fyzika. Pokud pojedu z\u00a0Prahy do Brna a v\u00edm, \u017ee je to 200 km, tak pokud pojedu stovkou, budu tam za dv\u011b hodiny. K\u00a0tomu sta\u010d\u00ed pr\u016fm\u011brn\u00e9mu fyzikovi jednoduch\u00fd vzorec o vztahu rychlosti a vzd\u00e1lenosti mezi dv\u011bma pevn\u00fdmi body trasy. Pokud bych si, jako fyzik, takovou cestovatelskou ud\u00e1lost cht\u011bl modelovat,\u2026","rel":"","context":"V \u201eVolatilita\u201c","block_context":{"text":"Volatilita","link":"https:\/\/dobretrejdy.com\/?cat=35"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":522,"url":"https:\/\/dobretrejdy.com\/?p=522","url_meta":{"origin":330,"position":1},"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":294,"url":"https:\/\/dobretrejdy.com\/?p=294","url_meta":{"origin":330,"position":2},"title":"Time Spread","author":"dobretrejdy :c)","date":"30.4.2017","format":false,"excerpt":"\u00a0 \u00a0Time Spread, Horizontal Spread nebo Calendar Spread (\u010deskou hant\u00fdrkou asi \u201ekalend\u00e1\u0159\u201c) spo\u010d\u00edv\u00e1 v po\u0159izov\u00e1n\u00ed r\u016fzn\u00fdch op\u010dn\u00edch kontrakt\u016f v\u00a0r\u016fzn\u00fdch expirac\u00edch. O t\u011bchto Time Spreadech jsou pops\u00e1ny tuny pap\u00edr\u016f, bylo vyd\u00e1no spoustu knih a lze se o jejich z\u00e1kladn\u00edch vlastnostech do\u010d\u00edst na spoust\u011b voln\u011b dostupn\u00fdch webov\u00fdch str\u00e1nk\u00e1ch. Jejich vyu\u017eit\u00ed, stavba, vstupy\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\/2017\/04\/time2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/time2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/time2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/time2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":551,"url":"https:\/\/dobretrejdy.com\/?p=551","url_meta":{"origin":330,"position":3},"title":"Th\u00e9ta","author":"dobretrejdy :c)","date":"25.6.2017","format":false,"excerpt":"\u00a0 Nev\u00edm, jestli Th\u00e9ta Kaz\u00ed Libu\u0161i, proto\u017ee nejsem vojvoda Krok, ale proto\u017ee jsem op\u010dn\u00ed obchodn\u00edk, tak v\u00edm, jak\u00a0Th\u00e9ta m\u016f\u017ee zkazit i velmi dobrou op\u010dn\u00ed pozici. V\u00a0p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nc\u00edch jsem ji\u017e popisoval, jak se m\u011bn\u00ed cena op\u010dn\u00edho kontraktu v\u00a0souvislost\u00ed s\u00a0pohybem podkladov\u00e9ho aktiva a jak tuto z\u00e1vislost zachycujeme pomoc\u00ed \u0159eck\u00e9ho p\u00edsmene Delta. V\u00a0n\u00e1vaznosti\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\/theta.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":637,"url":"https:\/\/dobretrejdy.com\/?p=637","url_meta":{"origin":330,"position":4},"title":"Earnings – II.","author":"dobretrejdy :c)","date":"30.7.2017","format":false,"excerpt":"\u00a0 \u00a0\"Pr\u00e1ce hyzd\u00ed\u201c \u2013 prohl\u00e1sil Kr\u00e1sn\u00fd Princ v\u00a0poh\u00e1dce Byl jednou jeden kr\u00e1l. Pron\u00e9st tuto zcela holou v\u011btu si ov\u0161em mohl dovolit, asi proto, \u017ee se nach\u00e1zel v\u00a0poh\u00e1dkov\u00e9 \u0159\u00ed\u0161i a byl pravd\u011bpodobn\u011b poh\u00e1dkov\u011b zabezpe\u010den. 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