{"id":3810,"date":"2019-10-27T10:00:50","date_gmt":"2019-10-27T08:00:50","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=3810"},"modified":"2024-08-18T08:34:35","modified_gmt":"2024-08-18T06:34:35","slug":"delta-neutral-xi","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=3810","title":{"rendered":"Delta Neutral \u2013 XI."},"content":{"rendered":"

\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 na b\u00e1zi pouze kladn\u00e9 Gamma. V \u010dl\u00e1nku Delta Neutral – VI.<\/strong><\/span><\/a> jsem se cht\u011bl matematicky dobrat k demonstraci, \u017ee obchody se z\u00e1pornou Gamma mohou b\u00fdt velmi \u0161patn\u011b \u201e\u0159iditeln\u00e9\u201c a mohou b\u00fdt zdrojem nemal\u00e9ho rizika vypl\u00fdvaj\u00edc\u00edho s neo\u010dek\u00e1van\u011b velk\u00e9ho pohybu podkladu. T\u00e9m\u011b\u0159 v\u0161echny tyto \u010dl\u00e1nky se pak nesly v duchu Delta Neutrality zalo\u017een\u00e9 na pozorov\u00e1n\u00ed, jak m\u016f\u017ee m\u00e9 portfolio ohrozit p\u0159\u00edpadn\u00fd pohyb podkladov\u00e9ho aktiva, v p\u0159\u00edpad\u011b op\u010dn\u00edho portfolia s kladnou Gamma pak demonstrace pokus\u016f, jak z t\u011bchto pohyb\u016f naopak t\u011b\u017eit, proto\u017ee toto je t\u011bmto obchod\u016fm vlastn\u00ed a svou podstatou se k tomu takov\u00e9 \u00fapravy vyb\u00edzej\u00ed. V duchu m\u00edrn\u00e9ho p\u0159ipomenut\u00ed z\u00e1kladn\u00edch poznan\u00fdch princip\u016f Delta Neutrality a chov\u00e1n\u00ed poznan\u00fdch \u0159eck\u00fdch p\u00edsmen jsem pak popsal, jak mohu pomoc\u00ed pr\u00e1ce s podkladem \u201eregulovat\u201c Delta m\u00e9 op\u010dn\u00ed pozice a dod\u00e1vat tak pot\u0159ebn\u00e9 mno\u017estv\u00ed Delta k zabezpe\u010den\u00ed cht\u011bn\u00e9 a po\u017eadovan\u00e9 neutralizace. Bylo pops\u00e1no, \u017ee pokud m\u00e1 portfolio kladnou Gamma, bude ka\u017ed\u00e1 takov\u00e1 \u00faprava a manipulace s podkladem znamenat pro op\u010dn\u00ed portfolio v\u017edy n\u011bjak\u00fd \u010d\u00e1ste\u010dn\u00fd profit, v p\u0159\u00edpad\u011b op\u010dn\u00edho portfolia se z\u00e1pornou Gamma pak bude takov\u00e1 transakce znamenat v\u017edy potvrzen\u00ed n\u011bjak\u00e9 \u010d\u00e1ste\u010dn\u00e9 ztr\u00e1ty. Vypo\u0159\u00e1dal jsem se tak n\u011bjak\u00fdm zp\u016fsobem s pochopen\u00edm t\u011bchto transakc\u00ed a zejm\u00e9na s pozn\u00e1n\u00edm, jak pohyb podkladu p\u016fsob\u00ed na m\u00e9 op\u010dn\u00ed pozice. Pohyb podkladu ale nen\u00ed to jedin\u00e9, co m\u00e1 na mnou po\u0159\u00edzen\u00e9 op\u010dn\u00ed kontrakty bezprost\u0159edn\u00ed vliv a vytv\u00e1\u0159\u00ed dal\u0161\u00ed risk. Existuj\u00ed dal\u0161\u00ed \u201eextern\u00ed vlivy\u201c, kter\u00e9 na m\u00e9 op\u010dn\u00ed portfolio p\u016fsob\u00ed sou\u010dasn\u011b s pohybem a jsou mo\u017en\u00fdm zdrojem dal\u0161\u00edho rizika. Pochopen\u00ed Delta a Gamma pak bylo rozvinuto do vykreslen\u00ed z\u00e1kladn\u00ed souvislosti rizika vypl\u00fdvaj\u00edc\u00edho z pohybu podkladu a rizika zp\u016fsobovan\u00e9ho plynut\u00edm \u010dasu v tomto \u010dl\u00e1nku<\/a><\/strong><\/span>. V obecn\u00e9m shrnut\u00ed pak bylo konstatov\u00e1no, \u017ee pokud m\u00e1m op\u010dn\u00ed portfolio s kladnou Gamma a z tohoto titulu vypl\u00fdvaj\u00edc\u00edm luxusem vyd\u011bl\u00e1vat na pohybu podkladu, tak mi toto p\u0159id\u011blen\u00e9 \u0161t\u011bst\u00ed kaz\u00ed z\u00e1porn\u00e1 Th\u00e9ta, tedy nutnost \u010delit riziku vypl\u00fdvaj\u00edc\u00edho z plynut\u00ed \u010dasu, kter\u00e9 ka\u017ed\u00fdm dnem rozkl\u00e1d\u00e1 hodnotu m\u00e9ho portfolia. V opa\u010dn\u00e9m principu pak z\u00e1porn\u00e1 Gamma m\u00e9ho portfolia sice trp\u00ed zna\u010dn\u00fdm rizikem vypl\u00fdvaj\u00edc\u00edm z pohybu podkladu, ale je oko\u0159en\u011bno v\u00fdhodou vypl\u00fdvaj\u00edc\u00edm z plynut\u00edm \u010dasu \u2013 kladnou Th\u00e9ta, kdy takto koncipovan\u00e9 portfolio z\u00edsk\u00e1v\u00e1 na sv\u00e9 hodnot\u011b uplynut\u00edm ka\u017ed\u00e9ho dne jeho \u017eivota. Tento poznatek je pak p\u0159enesen do skute\u010dnosti, \u017ee hodnota znam\u00e9nka Gamma u op\u010dn\u00edho kontraktu je v\u017edy opa\u010dn\u00e1 ne\u017e hodnota jej\u00ed Th\u00e9ta, mohu se tak pomoc\u00ed tohoto opa\u010dn\u00e9ho vztahu znam\u00e9nek Gamma a Th\u00e9ta pokou\u0161et sou\u010dasn\u011b eliminovat tak\u00e9 riziko plynut\u00ed \u010dasu, toto nen\u00ed \u017e\u00e1dn\u00fd nadlidsk\u00fd v\u00fdkon. Ka\u017ed\u00fd velk\u00fd pohyb a n\u00e1sledn\u00e1 \u00faprava portfolia do stavu Delta Neutrality s kladnou Gamma pak znamen\u00e1 tak\u00e9 eliminaci z\u00e1porn\u00e9 Th\u00e9ta tohoto portfolia, ka\u017ed\u00fd ub\u011bhl\u00fd den bez \u00fapravy do stavu Delta Neutrality pro portfolio se z\u00e1pornou Gamma znamen\u00e1 prosp\u011bch z kladn\u00e9 Th\u00e9ta tohoto portfolia.<\/span><\/p>\n

\u00a0\u00a0 V \u00favodu do t\u00e9matu Delta Neutrality jsem uvedl, \u017ee op\u010dn\u00ed portfolio na m\u00e9m \u00fa\u010dtu trp\u00ed nejm\u00e9n\u011b trojrozm\u011brn\u00fdm riskem a tento je tvo\u0159en a vypl\u00fdv\u00e1 z pohybu podkladu (Delta, Gamma), plynut\u00ed \u010dasu (Th\u00e9ta) a zm\u011bny Imp\u013aied Volatility (Vega). Ka\u017ed\u00fd tento risk nebo jejich kombinace m\u016f\u017ee m\u00edt na m\u00e9 portfolio blahod\u00e1rn\u00fd nebo devastuj\u00edc\u00ed vliv, z\u00e1le\u017e\u00ed, jak\u00e9 m\u00e1 vlastnosti. Tak\u00e9 jsem podotkl, \u017ee pokud pozn\u00e1m principy obrany proti t\u011bmto rizik\u016fm, mohly by z nich vyplynout n\u011bjak\u00e9 smyslupln\u00e9 obchodn\u00ed konsekvence. Mohu tak nap\u0159\u00edklad cht\u00edt sv\u00e9 portfolio m\u00edt zaji\u0161t\u011bno proti pohybu podkladu a nechat pracovat \u010das a Implied Volatilitu, mohu m\u00edt pokryto riziko vypl\u00fdvaj\u00edc\u00ed z plynut\u00ed \u010dasu a nechat pracovat pohyb a Implied Volatilitu. Toto v\u0161e pak mohu pov\u00fd\u0161it na snahu kombinovat pokusy o hed\u017eov\u00e1n\u00ed dvou rizik a nechat pracovat riziko t\u0159et\u00ed v m\u016fj prosp\u011bch.<\/span><\/p>\n

\u00a0\u00a0 Logick\u00fdm vyvrcholen\u00edm \u010dl\u00e1nk\u016f o Delta Neutralit\u011b by pak mohl b\u00fdt pokus o kombinaci sou\u010dasn\u00e9ho zaji\u0161t\u011bn\u00ed portfolia proti riziku vypl\u00fdvaj\u00edc\u00edho z pohybu podkladu<\/strong> a rizika plynut\u00ed \u010dasu<\/strong> za sou\u010dasn\u00e9ho otev\u0159en\u00ed se pokusu zobchodovat riziko<\/strong> vypl\u00fdvaj\u00edc\u00ed z pohybu Implied Volatility<\/strong>. Mus\u00edm hned v\u00a0\u00favodu tohoto zaj\u00edmav\u00e9ho p\u0159\u00edstupu sd\u011blit, \u017ee je to velmi nelehk\u00fd \u00fakol a \u00fapln\u011b ide\u00e1ln\u011b toto obchodovat jednodu\u0161e nejde, by\u0165 by to mohla b\u00fdt opravdu fantastick\u00e1 my\u0161lenka.<\/span><\/p>\n

\u00a0\u00a0 Jak je to mo\u017en\u00e9, \u017ee to nejde? No, mo\u017en\u00e1 to n\u011bkomu jde, j\u00e1 to ale nedok\u00e1\u017eu a m\u00e1m proto sv\u00e9 velmi praktick\u00e9 d\u016fvody. Z p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nk\u016f zejm\u00e9na vyplynulo, \u017ee Delta Neutralita je v\u011bc\u00ed mnohdy prchav\u00e9ho okam\u017eiku, proto\u017ee podklady<\/strong> se jednodu\u0161e po\u0159\u00e1d n\u011bjak pohybuj\u00ed<\/strong> a pokud bych byl extr\u00e9mista, tak bych takov\u00fdm pohyb\u016fm mohl p\u0159isoudit vlastnosti Brownova pohybu, tedy ne\u0159e\u0161itelnost tyto pohyby n\u011bjak smyslupln\u011b kvantifikovat. Rovn\u011b\u017e \u010das plyne po\u0159\u00e1d<\/strong>, na rozd\u00edl od nepohybu podkladu ve chv\u00edl\u00edch, kdy se s n\u00edm neobchoduje, je plynut\u00ed \u010dasu trval\u00e9 a nezastaviteln\u00e9 (i o v\u00edkendech \u2013 \u0161koda\u2026:c). Z t\u00e9to neuchopitelnosti \u010dasu a dialektiky neust\u00e1le zm\u011bny ceny tak nen\u00ed mo\u017en\u00e9 ob\u011b tyto rizika zcela pevn\u011b \u201eukotvit\u201c a zajistit se v pozic\u00edch tak, abych mohl zcela jednozna\u010dn\u011b spol\u00e9hat na to, \u017ee t\u0159et\u00ed riziko bude pracovat v m\u016fj prosp\u011bch. Pokud jsem nakoupil ATM Long Call opci na strike 120 p\u0159i cen\u011b akcie 115 USD a Delta m\u00e9 opce je +35, tak mohu prodat -35x Short akcie a budu Delta Neutr\u00e1ln\u00ed. Cena akcie ale z\u00edtra vystoup\u00e1 na 120 a Delta m\u00e9 Long Call 120 opce bude +50 a j\u00e1 ji\u017e nebudu Delta Neutr\u00e1ln\u00ed, ale budu muset prodat dal\u0161\u00edch -15x Short akci\u00ed. Jestli\u017ee tato Long Call 120 opce ztratila na sv\u00e9 hodnot\u011b od v\u010derej\u0161ka -7 USD vlivem plynut\u00ed \u010dasu, tak se mohu spolehnout, \u017ee do z\u00edt\u0159ka ztrat\u00ed dal\u0161\u00ed \u010d\u00e1st sv\u00e9 hodnoty. V minul\u00fdch \u010dl\u00e1nc\u00edch bylo pops\u00e1no, jak tyto rizika poznat a tak\u00e9 \u010d\u00e1ste\u010dn\u011b \u0159e\u0161it v nazna\u010den\u00fdch uk\u00e1zk\u00e1ch a obchodech. Nic ale nen\u00ed dokonal\u00e9 a tak\u00e9 obchodov\u00e1n\u00ed touto technikou nen\u00ed z\u00e1ruka profitability, mohu tak k t\u011bmto postup\u016fm je\u0161t\u011b p\u0159idat pohr\u00e1v\u00e1n\u00ed si s Implied Volatiltou? Pravd\u011bpodobn\u011b to mo\u017en\u00e9 je a z\u00e1kladn\u00edm p\u0159edpokladem by pak mohlo b\u00fdt dokonalej\u0161\u00ed pozn\u00e1n\u00ed chov\u00e1n\u00ed samotn\u00e9 Implied Volatility a porozum\u011bn\u00ed jejich z\u00e1kladn\u00edch vlastnost\u00ed. Nebudu k tomu pou\u017e\u00edvat \u017e\u00e1dn\u00e9 slo\u017eit\u00e9 v\u00fdpo\u010dty nebo rozeb\u00edrat slo\u017eit\u00e9 matematick\u00e9 vzorce, od toho tady jsou akademick\u00e9 studie a odborn\u00e1 literatura, budu se sna\u017eit vyu\u017e\u00edt to, co je mi nab\u00edzeno prost\u0159ednictv\u00edm dostupn\u00e9ho software tak, abych si mohl o Implied Volatilit\u011b ud\u011blat n\u011bjak\u00fd vlastn\u00ed obr\u00e1zek a tento n\u00e1hled pak mo\u017en\u00e1 p\u0159en\u00e9st do n\u011bjak\u00e9 obchodn\u00ed reality.\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0\u00a0<\/span><\/p>\n

\n

Volatility Skew<\/strong><\/span><\/h1>\n

\u00a0\u00a0 V\u00fdpo\u010det ceny opce podle oce\u0148ovac\u00edho modelu je asi pochopiteln\u00e1 v\u011bc, mus\u00ed se jednodu\u0161e v\u00fdpo\u010dtem stanovit, jak\u00e1 je cena opce a tuto cenu pak prezentovat jako nab\u00eddku pro uzav\u0159en\u00ed n\u011bjak\u00e9ho obchodu s ur\u010dit\u00fdm typem op\u010dn\u00edho kontraktu. V \u010dl\u00e1nku Cena opce<\/a><\/strong><\/span> jsem popisoval, jak\u00fdm zp\u016fsobem se cena op\u010dn\u00edho kontraktu m\u016f\u017ee vypo\u010d\u00edtat podle Black-Scholesova modelu a kter\u00e9 veli\u010diny do tohoto v\u00fdpo\u010dtu vstupuj\u00ed. Pro opr\u00e1\u0161en\u00ed znalost\u00ed je cena opce tvo\u0159ena Cenou podkladu<\/strong>, Hodnotou Strike<\/strong>, Dobou do expirace<\/strong>, aktu\u00e1ln\u00ed \u00darokovou m\u00edrou<\/strong>, hodnotou vypl\u00e1cen\u00e9 Dividendy<\/strong> a Implied Volatilitou<\/strong>. Tyto cenotvorn\u00e9 prvky vstupuj\u00ed do matematick\u00e9ho modelu, aby jeho v\u00fdstupem byla cena op\u010dn\u00edho kontraktu. V teoretick\u00e9m sv\u011bt\u011b by pak z tohoto jednoduch\u00e9ho popisku cenotvorby m\u011blo vypl\u00fdvat, \u017ee by ceny opc\u00ed m\u011bly b\u00fdt pro ka\u017ed\u00fd strike a v ka\u017ed\u00e9 expiraci lehce vypo\u010ditateln\u00e9, proto\u017ee by se jednalo o v\u00fdlu\u010dn\u011b matematickou operaci. V re\u00e1ln\u00e9m sv\u011bt\u011b tomu tak samoz\u0159ejm\u011b nen\u00ed, proto\u017ee na ceny opc\u00ed p\u016fsob\u00ed velmi mnoho tr\u017en\u00edch vliv\u016f, kter\u00e9 se formuj\u00ed do nab\u00eddky a popt\u00e1vky po jednotliv\u00fdch op\u010dn\u00edch kontraktech a tyto tr\u017en\u00ed tlaky zp\u016fsobuj\u00ed deformaci cen jednotliv\u00fdch op\u010dn\u00edch kontrakt\u016f. Jednodu\u0161e jsou n\u011bkte\u0159\u00ed \u00fa\u010dastn\u00edci trhu ochotni za ur\u010dit\u00fd op\u010dn\u00ed kontrakt zaplatit v\u00edce ne\u017e za jin\u00fd a mohou pro to m\u00edt spoustu racion\u00e1ln\u00edch d\u016fvod\u016f. Spekulativn\u00ed n\u00e1kupy, o\u010dek\u00e1van\u00e9 fundament\u00e1ln\u00ed ud\u00e1losti, negativn\u00ed ekonomick\u00e9 a politick\u00e9 n\u00e1lady, insider informace a j\u00e1 nev\u00edm co dal\u0161\u00edho p\u016fsob\u00ed na cenu op\u010dn\u00edch kontrakt\u016f a zp\u016fsobuje deformaci jejich cen. V principu op\u010dn\u00ed cenotvorby pak mus\u00edm vyhodnotit, \u017ee pokud jsou hodnoty polo\u017eek – Cena podkladu, Hodnota Strike, Doba do expirace, aktu\u00e1ln\u00ed \u00darokov\u00e1 m\u00edra a hodnota vypl\u00e1cen\u00e9 Dividendy v ka\u017ed\u00e9m okam\u017eiku st\u00e1l\u00e9, poznateln\u00e9 a jednozna\u010dn\u011b dan\u00e9, tak se ceny op\u010dn\u00edch kontrakt\u016f<\/strong>, kter\u00e9 maj\u00ed jinou strukturu n\u011b\u017e tu, kterou vypo\u010d\u00edtal n\u011bjak\u00fd matematick\u00fd model, mus\u00ed li\u0161it<\/strong> o hodnotu Implied Volatility<\/strong>. Implied Volatilita je tak jedinou prom\u011bnnou, kter\u00e1 bude, pod tlakem nab\u00eddky a popt\u00e1vky po opc\u00edch na jednotliv\u00fdch strike a v jednotliv\u00fdch expirac\u00edch, m\u00edt odli\u0161n\u00e9 hodnoty. Takto strukturovan\u00e1 Implied Volatilita pak bude vytv\u00e1\u0159et nejr\u016fzn\u011bj\u0161\u00ed stavy, kter\u00e9 budou patrn\u00e9 v jednotliv\u00fdch op\u010dn\u00edch \u0159et\u011bzc\u00edch a v jednotliv\u00fdch expirac\u00edch a tato struktura pak m\u016f\u017ee mnoho napov\u00eddat o struktu\u0159e dan\u00e9ho trhu, fundament\u00e1ln\u00ed n\u00e1lad\u011b a samotn\u00e9 obchodn\u00ed aktivit\u011b. Pokud se li\u0161\u00ed cena op\u010dn\u00edch kontrakt\u016f na r\u016fzn\u00fdch strike a v r\u016fzn\u00fdch expirac\u00edch, bude patrn\u011b struktura Implied Volatility vytv\u00e1\u0159et podle t\u011bchto sv\u00fdch strike a expirac\u00ed r\u016fzn\u011b se\u0161ikmen\u00e9 a tvarovan\u00e9 k\u0159ivky \u2013 k\u0159ivky zn\u00e1zor\u0148uj\u00edc\u00ed tzv. Volatility Skew<\/strong> (\u0161ikmost). Zkoum\u00e1n\u00ed tvar\u016f t\u011bchto k\u0159ivek pak m\u016f\u017ee nab\u00edzet velmi dobr\u00e9 interpretace a zaj\u00edmav\u00e9 pohledy na konkr\u00e9tn\u00ed trhy. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Je velmi nep\u0159ehledn\u00e9 a nekomfortn\u00ed vyhodnocovat aktu\u00e1ln\u00ed hodnoty Implied Volatility na jednotliv\u00fdch strike a v\u00a0jednotliv\u00fdch expirac\u00edch p\u0159\u00edmo z\u00a0op\u010dn\u00edho \u0159et\u011bzce v\u00a0obchodn\u00ed platform\u011b. \u201eSkewness\u201c (\u0161ikmost) Implied Volatility mohu u sv\u00e9ho brokera vyhodnocovat graficky v\u00a0nejr\u016fzn\u011bj\u0161\u00edch zobrazen\u00edch a bylo by s\u00a0podivem, kdyby n\u011bkter\u00fd z\u00a0op\u010dn\u00edch broker\u016f takov\u00e9 grafick\u00e9 interpretace nenab\u00edzel. Jsem klientem Interactive Brokers, p\u0159edpokl\u00e1d\u00e1m, \u017ee drtiv\u00e1 v\u011bt\u0161ina \u010dten\u00e1\u0159\u016f tak\u00e9, proto se zam\u011b\u0159\u00edm na grafick\u00e9 zn\u00e1zorn\u011bn\u00ed Volatility Skew pr\u00e1v\u011b pomoc\u00ed jeho obchodn\u00ed platformy TWS. P\u0159edpokl\u00e1d\u00e1m tak\u00e9, \u017ee pokud jin\u00ed op\u010dn\u00ed broke\u0159i nab\u00edzej\u00ed pohledy na k\u0159ivky Implied Volatility, budou nab\u00edzet klient\u016fm obdobn\u00e9 pohledy sestaven\u00e9 na obdobn\u00fdch principech.<\/span><\/p>\n

Volatility Smile a Volatility Smirk<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Pokud se pohybuji na p\u016fdoryse p\u0159edstavy, \u017ee pro v\u00fdpo\u010det op\u010dn\u00edch cen na jednotliv\u00fdch strike a v jednotliv\u00fdch expirac\u00edch pou\u017eiji Black-Scholes\u016fv oce\u0148ovac\u00ed model, tak mohu zjistit, \u017ee tak, jak jsem postupoval p\u0159i v\u00fdpo\u010dtu Historick\u00e9 Volatility v tomto \u010dl\u00e1nku<\/a><\/strong><\/span>, mohu aplikovat sv\u016fj teoretick\u00fd pohled na ceny opc\u00ed na jednotliv\u00fdch strike obdobn\u00fdm zp\u016fsobem. Vztah mezi cenou podkladu a cenou jednotliv\u00e9ho strike mohu vyj\u00e1d\u0159it jako p\u0159irozen\u00fd logaritmus (ln) pod\u00edlu ceny strike a aktu\u00e1ln\u00ed ceny a sou\u010dasn\u011b pohyb podkladu v \u010dase si mohu nechat popsat (v intenc\u00edch Black-Scholesova modelu) jeho druhou odmocninou. Mohu potom vyj\u00e1d\u0159it o\u010dek\u00e1v\u00e1n\u00ed pohybu podkladu od aktu\u00e1ln\u00ed ceny k cen\u011b strike jako p\u0159irozen\u00fd logaritmus pod\u00edlu ceny strike a aktu\u00e1ln\u00ed ceny vyd\u011blen\u00fd druhou odmocninou \u010dasu, pro kter\u00fd tento pohyb sleduji. Takov\u00fd postup by pak mohl p\u0159edstavovat velmi jednoduchou p\u0159edstavu o\u010dek\u00e1v\u00e1n\u00ed pohybu k jednotliv\u00fdm strike v dan\u00e9m \u010dase a zobrazoval by precizn\u00ed \u00fadaje podle tohoto oce\u0148ovac\u00edho modelu o\u010di\u0161t\u011bn\u00fd o jak\u00e9koliv tr\u017en\u00ed vlivy. Na obr\u00e1zku n\u00ed\u017ee je p\u0159\u00edklad takov\u00e9ho teoretick\u00e9ho v\u00fdpo\u010dtu pro jednotliv\u00e9 strike na akcii AAPL, kter\u00e1 se obchoduje v danou chv\u00edli za 235,28 USD a p\u0159edstavuje velmi zjednodu\u0161en\u00fd pohled na tvar Volatility Skew na jednotliv\u00fdch cen\u00e1ch podkladov\u00e9ho aktiva.\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 V \u201elaboratorn\u00edch podm\u00ednk\u00e1ch\u201c by pak k\u0159ivka skew mohla vykazovat nap\u0159\u00edklad takov\u00fd ide\u00e1ln\u00ed tvar. Sv\u011bt ale nen\u00ed mexick\u00e1 telenovela, proto je samoz\u0159ejm\u00e9, \u017ee na tyto ide\u00e1ln\u00ed tvary budou p\u016fsobit tr\u017en\u00ed vlivy nab\u00eddky a popt\u00e1vky a tak\u00e9 je jasn\u00e9, \u017ee tv\u016frci cen nebo obecn\u011b \u00fa\u010dastn\u00edci trh\u016f disponuj\u00ed sofistikovan\u011bj\u0161\u00edmi modely ne\u017e je ten klasick\u00fd Black-Scholes\u016fv. Tvar t\u00e9to k\u0159ivky tak bude zcela jist\u011b nejm\u00e9n\u011b z t\u011bchto d\u016fvod\u016f deformov\u00e1n. Jak vypad\u00e1 takov\u00e1 ide\u00e1ln\u00ed k\u0159ivka po deformaci vn\u011bj\u0161\u00edmi vlivy si mohu nechat zobrazit v n\u011bjak\u00e9m jednoduch\u00e9m analytick\u00e9m n\u00e1stroji. V m\u00e9m p\u0159\u00edpad\u011b, pro pochopen\u00ed v\u00fdznamu zn\u00e1zor\u0148ovan\u00e9 struktury k\u0159ivky Implied Volatility, mohu pou\u017e\u00edt n\u00ed\u017ee uveden\u00fd obr\u00e1zek, kter\u00fd mohu vyvolat v platform\u011b TWS m\u00e9ho brokera, a to z tohoto um\u00edst\u011bn\u00ed TWS\/Analytical Tools\/Option Analysis\/Volatility Skew, abych z\u00edskal grafick\u00e9 zobrazen\u00ed jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku je vyobrazena aktu\u00e1ln\u00ed k\u0159ivka Implied Volatility na jednotliv\u00fdch strike podkladov\u00e9 akcie AAPL pro op\u010dn\u00ed \u0159et\u011bzec expiruj\u00edc\u00ed 25.10.2019 (tlust\u011b te\u010dkovanou k\u0159ivku jsem dodal pro v\u011bt\u0161\u00ed n\u00e1zornost). Volbu<\/strong> op\u010dn\u00edho \u0159et\u011bzce (expirace<\/strong>) mohu vykon\u00e1vat pomoc\u00ed rolovac\u00edho menu ozna\u010den\u00e9ho (1)<\/strong><\/span>. Co tedy mohu z\u00a0obr\u00e1zku odez\u00edrat? Na ose \u201ex\u201c m\u00e1m mo\u017enost pozorovat jednotliv\u00e9 strike<\/strong> podle ceny podkladu s\u00a0vyzna\u010den\u00edm aktu\u00e1ln\u00ed ceny podkladu v\u00a0danou chv\u00edli (2)<\/strong><\/span>. Na ose \u201ey\u201c jsou pak vyneseny hodnoty Implied Volatility<\/strong> pro jednotliv\u00e9 op\u010dn\u00ed strike, kter\u00e9 jsou „mimo pen\u00edze“. Na grafu v jeho lev\u00e9 \u010d\u00e1sti jsou na ose \u201ey\u201c vyneseny hodnoty Implied Volatility pro strike, kter\u00e9 le\u017e\u00ed pod aktu\u00e1ln\u00ed cenou<\/strong>, tedy OTM<\/strong> Put<\/strong> op\u010dn\u00ed kontrakty (3)<\/strong><\/span> a na grafu v jeho prav\u00e9 \u010d\u00e1sti jsou na ose \u201ey\u201c vyneseny hodnoty Implied Volatility pro strike, kter\u00e9 le\u017e\u00ed nad aktu\u00e1ln\u00ed cenou<\/strong>, tedy OTM Call<\/strong> op\u010dn\u00ed kontrakty (4)<\/span><\/strong>. Jednozna\u010dn\u011b m\u00e1m mo\u017enost pozorovat, \u017ee k\u0159ivka Implied Volatility se na m\u011b \u201ejaksi sm\u011bje\u201c s \u201em\u00edrn\u011b p\u0159idrzl\u00fdm\u201c povyta\u017een\u00fdm lev\u00fdm koutkem. Zkoum\u00e1n\u00ed \u201e\u00fasm\u011bvu\u201c a \u201em\u00edry jeho drzosti\u201c m\u016f\u017ee nab\u00edzet zaj\u00edmav\u00e9 informace. Na obr\u00e1zku v\u00fd\u0161e jsem pak vyzna\u010dil dv\u011b situace mal\u00fdmi \u017elut\u00fdmi \u0161ipkami, kter\u00e9 mohu vysv\u011btlit obr\u00e1zkem n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0 \u00a0Prvn\u00ed patrn\u00e1 vlastnost Implied Volatility, kter\u00e1 stoj\u00ed za zaznamen\u00e1n\u00ed, je souvislost velikosti Implied Volatility<\/strong> na Call<\/strong> i Put<\/strong> opci na stejn\u00e9m strike<\/strong>, vyobrazen\u00e1 jako p\u0159\u00edpad (1)<\/strong><\/span>. Je patrn\u00e9, \u017ee hodnoty Implied Volatility pro Call opci i Put opci na stejn\u00e9m strike jsou si velmi podobn\u00e9 a nevykazuj\u00ed z\u00e1sadn\u00ed odli\u0161nosti, tyto se projevuj\u00ed (velmi vla\u017en\u011b), jak se op\u010dn\u00ed strike pono\u0159uj\u00ed \u201edo pen\u011bz\u201c, tedy vzdaluj\u00ed od aktu\u00e1ln\u00ed ceny a od ATM strike (v obou sm\u011brech), bude mi tak nyn\u00ed sta\u010dit konstatov\u00e1n\u00ed, \u017ee hodnoty Implied Volatility<\/strong> pro Call i Put<\/strong> opce na stejn\u00e9m strike<\/strong> jsou p\u0159ibli\u017en\u011b stejn\u00e9<\/strong>. Pro\u010d tomu tak je? Pokud by existoval zjevn\u00fd nepom\u011br mezi hodnotou Implied Volatility na stejn\u00e9m strike pro op\u010dn\u00ed kontrakt Call i Put, vytv\u00e1\u0159ely by se bezrizikov\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti, jednodu\u0161e by to znamenalo, \u017ee op\u010dn\u00ed kontrakt z vy\u0161\u0161\u00ed Implied Volatilitou by m\u011bl vy\u0161\u0161\u00ed cenu ne\u017e stejn\u00fd op\u010dn\u00ed kontrakt na stejn\u00e9m strike a byl by tak v\u00fdrazn\u011b p\u0159edra\u017een oproti cen\u011b op\u010dn\u00edho kontraktu s Implied Volatilitou ni\u017e\u0161\u00ed. Sta\u010dilo by pouze dra\u017e\u0161\u00ed op\u010dn\u00ed kontrakt prodat a nakoupit kontrakt levn\u011bj\u0161\u00ed sou\u010dasn\u011b s po\u0159\u00edzen\u00edm podkladov\u00e9ho aktiva (vytvo\u0159it Delta Neutral pozici) a uzamknout profit do Conversion nebo Reversal<\/a><\/strong><\/span>. Stejn\u00e9 a vyv\u00e1\u017een\u00e9 hodnoty Implied Volatility pak udr\u017euj\u00ed sv\u00fdmi obchody trade\u0159i, kte\u0159\u00ed se sna\u017e\u00ed z takov\u00fdch mal\u00fdch rozd\u00edl\u016f opravdu t\u011b\u017eit (nap\u0159\u00edklad tv\u016frci trh\u016f). Z d\u016fvodu t\u00e9to vytvo\u0159en\u00e9 rovnov\u00e1hy hodnoty Implied Volatility na stejn\u00e9m strike pro Call i Put op\u010dn\u00ed kontrakty, jsou na ose \u201ey\u201c t\u011bchto graf\u016f vyneseny hodnoty Implied Volatility pro op\u010dn\u00ed kontrakty \u201emimo pen\u00edze\u201c, proto\u017ee se p\u0159edpokl\u00e1d\u00e1, \u017ee hodnoty op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike \u201ev pen\u011bz\u00edch\u201c by m\u011bly b\u00fdt stejn\u00e9. Mohu tak pro potvrzen\u00ed t\u00e9to skute\u010dnosti z obr\u00e1zku v\u00fd\u0161e vypozorovat, \u017ee Implied Volatilita na strike Long Put 210 je na hodnot\u011b 43,30% (2)<\/strong><\/span> a hodnota Implied Volatility op\u010dn\u00edho kontraktu Long Call 210 (\u017elut\u00fd krou\u017eek) je na hodnot\u011b 42,10%, kdy\u017e tato opce je siln\u011b pono\u0159ena \u201ev pen\u011bz\u00edch\u201c a nem\u011bla by tak b\u00fdt v\u016f\u010di stejn\u00e9mu op\u010dn\u00edmu kontraktu na stejn\u00e9m strike \u201ep\u0159edra\u017eena\u201c a nenab\u00edz\u00ed proto \u017e\u00e1dnou p\u0159\u00edle\u017eitost k jednoduch\u00e9 arbitr\u00e1\u017ei.\u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0\u00a0 Je ale z obr\u00e1zku patrn\u00e9, \u017ee z tvaru k\u0159ivky Volatility Skew vypl\u00fdv\u00e1, \u017ee nejsou<\/strong> v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b stejn\u00e9<\/strong> hodnoty Implied Volatility na strike stejn\u011b vzd\u00e1len\u00fdch<\/strong> od aktu\u00e1ln\u00ed ceny podkladov\u00e9ho aktiva. Tato se p\u0159i po\u0159\u00edzen\u00ed obr\u00e1zku v\u00fd\u0161e obchodovala okolo 235 USD, a proto jsem do grafu v\u00fd\u0161e vyzna\u010dil \u017elut\u00fdmi \u0161ipkami<\/strong> hodnoty Implied Volatility pro strike ve vzd\u00e1lenostech +\/-25 USD<\/strong> od t\u00e9to sou\u010dasn\u00e9 ceny<\/strong> a tak\u00e9 tyto hodnoty jsem vyzna\u010dil do obr\u00e1zku op\u010dn\u00edho \u0159et\u011bzce z\u00a0platformy TWS. Je z\u0159eteln\u00e9, \u017ee na stran\u011b Put, na strike 210 vzd\u00e1len\u00e9m -25 USD od aktu\u00e1ln\u00ed ceny<\/strong> atakuje Implied Volatilita hodnotu 40% (2)<\/span><\/strong>, kde\u017eto na stran\u011b Call, na strike 260 vzd\u00e1len\u00e9m +25 USD od aktu\u00e1ln\u00ed ceny<\/strong> dosahuje hodnota Implied Volatility hodnotu kolem 25% (3)<\/span><\/strong>, To je obrovsk\u00fd rozd\u00edl a p\u0159edstavuje zna\u010dn\u00fdch 15%. Mohu tak pozorovat, \u017ee hodnoty Implied Volatility jsou daleko vy\u0161\u0161\u00ed na lev\u00e9 stran\u011b grafu, proto se mi k\u0159ivka \u201e\u0161ikmosti\u201c Implied Volatility vytvo\u0159\u00ed pr\u00e1v\u011b ve tvaru \u00fasm\u011bvu s povyta\u017een\u00fdm lev\u00fdm koutkem.<\/span><\/p>\n

\u00a0\u00a0 Tato formace k\u0159ivky je typick\u00e1<\/strong> nap\u0159\u00edklad pro akciov\u00e9 tituly<\/strong>. Zp\u016fsobuje ji vy\u0161\u0161\u00ed popt\u00e1vka po Put opc\u00edch \u201emimo pen\u00edze\u201c, kter\u00e9 slou\u017e\u00ed k zaji\u0161\u0165ov\u00e1n\u00ed dr\u017een\u00fdch akciov\u00fdch pozic, jako odraz existence obecn\u00e9ho pocitu bolesti z p\u00e1d\u016f akciov\u00fdch trh\u016f a snahy b\u00fdt na takov\u00e9 poklesy p\u0159ipraven. Pokud bych vy\u0161el z interpretace, \u017ee hodnota Implied Volatility je stejn\u00e1 na Call i Put stran\u011b, pak se zd\u00e1, \u017ee jsou vy\u0161\u0161\u00ed tak\u00e9 ceny Call opc\u00ed, kter\u00e9 jsou sv\u00fdmi strike aktu\u00e1ln\u011b \u201ev pen\u011bz\u00edch\u201c a mohlo by to tak\u00e9 znamenat, \u017ee substituovat akciov\u00e9 pozice hluboce ITM Call opcemi se nyn\u00ed opravdu m\u016f\u017ee d\u00edt. Simulovat dr\u017een\u00ed podkladu Long Call opcemi hluboce \u201ev pen\u011bz\u00edch\u201c m\u00e1 v\u00fdhodu v omezen\u00e9m risku (nemohu prod\u011blat v\u00edce ne\u017e jej\u00ed po\u0159izovac\u00ed cenu) a tak\u00e9 \u201ep\u00e1kov\u00fd efekt\u201c vypl\u00fdvaj\u00edc\u00ed z v\u00fdhody dr\u017een\u00ed takov\u00e9 opce nam\u00edsto p\u0159\u00edm\u00e9 akciov\u00e9 pozice. Obr\u00e1zek s k\u0159ivkou \u201e\u00fasm\u011bvu\u201c tak odhaluje m\u00edru vy\u0161\u0161\u00edch tr\u017en\u00edch tlak\u016f vypl\u00fdvaj\u00edc\u00ed z nab\u00eddky a popt\u00e1vky po ur\u010dit\u00fdch typech op\u010dn\u00edch kontrakt\u016f (zejm\u00e9na na Put stran\u011b na strike „mimo pen\u00edze“), kter\u00e9 se projevuj\u00ed do r\u016fstu hodnot Implied Volatility na t\u011bchto jednotliv\u00fdch strike, kter\u00e9 takov\u00fdmi tr\u017en\u00edmi n\u00e1pory trp\u00ed (tedy lev\u00e1 strana k\u0159ivky). Tento tvar tak\u00e9 mohu jednodu\u0161eji interpretovat jako obecn\u00fd n\u00e1zor op\u010dn\u00edch obchodn\u00edk\u016f na pohled na akciov\u00e9 trhy, na kter\u00fdch se se sv\u00fdmi op\u010dn\u00edmi kontrakty pohybuj\u00ed, a sice, \u017ee tyto akciov\u00e9 trhy r\u00e1dy rychleji spadnou, ne\u017e by se stejnou rychlost\u00ed rostly.<\/span><\/p>\n

\u00a0\u00a0 Zobrazov\u00e1n\u00ed k\u0159ivek Implied Volatility Skew m\u016f\u017ee b\u00fdt u\u017eite\u010dn\u00fdm pomocn\u00edkem, jak pohl\u00ed\u017eet na n\u00e1lady dr\u017eitel\u016f op\u010dn\u00edch kontrakt\u016f ve spojitosti s o\u010dek\u00e1v\u00e1n\u00edm trh\u016f. Mohu se pak zab\u00fdvat pozorov\u00e1n\u00edm deformac\u00ed t\u00e9to k\u0159ivky a z nich vytv\u00e1\u0159et vlastn\u00ed obchodn\u00ed \u00fasudky nebo vytv\u00e1\u0159et obecn\u00e9 i konkr\u00e9tn\u00ed n\u00e1hledy na konkr\u00e9tn\u00ed trhy. Toto mi m\u016f\u017ee u m\u00e9ho brokera umo\u017enit volba analytick\u00e9 aplikace Multi-Expiry Skew z um\u00edst\u011bn\u00ed TWS\/Analytical Tools\/Option Analysis\/Volatility Skew\/Multi-Expiry Skew.<\/span><\/p>\n

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\u00a0 \u00a0Po zad\u00e1n\u00ed v\u00fdb\u011bru tickeru podkladov\u00e9ho aktiva (nap\u0159\u00edklad AAPL) si mohu z rozbalovac\u00edho menu vybrat, kter\u00e9 op\u010dn\u00ed \u0159et\u011bzce si podle sv\u00e9 expirace mohu nechat zobrazit, abych si mohl prohl\u00e9dnout, jak vypad\u00e1 rozlo\u017een\u00ed Implied Volatility nap\u0159\u00edklad (podle obr\u00e1zku v\u00fd\u0161e) v nejbli\u017e\u0161\u00edch t\u0159ech expirac\u00edch. Pro\u010d bych m\u011bl takov\u00e9 „multiexpira\u010dn\u00ed“ zobrazen\u00ed vlastn\u011b zad\u00e1vat? Stejn\u011b jako se vytv\u00e1\u0159\u00ed \u201e\u0161ikmost\u201c d\u00edky nestejn\u00fdm hodnot\u00e1m Implied Volatility na r\u016fzn\u00fdch strike<\/strong> ve stejn\u00e9 expiraci <\/strong>– Vertical Skew<\/strong>, tak mohu tak\u00e9 pozorovat \u201e\u201c\u0161ikmost\u201c Implied Volatility na stejn\u00fdch strike<\/strong>, ale v r\u016fzn\u00fdch expirac\u00edch<\/strong> – Horizontal Skew<\/strong>. Na obr\u00e1zku n\u00ed\u017ee je obr\u00e1zek s nejbli\u017e\u0161\u00edmi dv\u011bma expiracemi pro titul KSU.<\/span><\/p>\n

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\u00a0\u00a0 V p\u00e1tek 18.10.2019 vyhla\u0161ovala spole\u010dnost KSU hospod\u00e1\u0159sk\u00e9 v\u00fdsledky a je v\u00edce ne\u017e patrn\u00e9, jak\u00e9 byly obavy investor\u016f do akci\u00ed KSU prost\u0159ednictv\u00edm po\u0159izov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f. Tlak na strike na lev\u00e9 stran\u011b grafu zp\u016fsoben\u00fd popt\u00e1vkou po OTM Put opc\u00edch zdeformoval hodnoty Implied Volatility tak, \u017ee se \u201e\u00fasm\u011bv\u201c nakonec zm\u011bnil v \u201e\u00fa\u0161klebek\u201c (Smirk). Nen\u00ed ale jednoduch\u00e9 d\u011blat z pohledu na takto tvarovan\u00e9 skew n\u011bjak\u00e9 jednozna\u010dn\u00e9 z\u00e1v\u011bry, proto\u017ee to tak\u00e9 m\u016f\u017ee jednodu\u0161e jen znamenat, \u017ee tento akciov\u00fd titul jenom nem\u00e1 vysokou op\u010dn\u00ed likviditu a investo\u0159i do akciov\u00fdch titul\u016f se pouze zaji\u0161\u0165uj\u00ed proti propadu p\u0159ed Earnings a nemaj\u00ed v danou chv\u00edli z\u00e1jem na tomto titulu vytv\u00e1\u0159et op\u010dn\u00ed struktury participuj\u00edc\u00edch na p\u0159\u00edpadn\u00e9m uptrendu vytvo\u0159en\u00e9 z Call op\u010dn\u00edch kontrakt\u016f. KSU je akciov\u00fd titul, kde velk\u00e9 pod\u00edly dr\u017e\u00ed institucion\u00e1ln\u00ed investo\u0159i a velk\u00e9 investi\u010dn\u00ed fondy s Long akciov\u00fdmi pozicemi, co\u017e by mohlo takov\u00e9 tvarov\u00e1n\u00ed skew vysv\u011btlovat. Pozoruhodn\u00fd je ale tak\u00e9 pohled na rozd\u00edly mezi hodnotami Implied Volatility na stejn\u00fdch strike, ale v t\u011bchto dvou zobrazen\u00fdch rozd\u00edln\u00fdch expirac\u00edch (Horizontal Skew). Je patrn\u00e9, \u017ee ob\u011b k\u0159ivky jsou od sebe v\u00fdrazn\u011b odd\u011bleny, kdy\u017e k\u0159ivka Skew s nejbli\u017e\u0161\u00ed expirac\u00ed je v\u00fdrazn\u011b v\u00fd\u0161e na v\u0161ech cenov\u00fdch \u00farovn\u00edch pro v\u0161echny strike. Pro ilustraci a srovn\u00e1n\u00ed je na dal\u0161\u00edm obr\u00e1zku zobrazeno \u201ep\u0159edEarnings\u201c o\u010dek\u00e1v\u00e1n\u00ed obchodn\u00edk\u016f na akciov\u00e9m titulu TSLA.<\/span><\/p>\n

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\u00a0\u00a0 Tesla reportuje sv\u00e9 v\u00fdsledky 23.10.2019, tedy v expiraci op\u010dn\u00edho \u0159et\u011bzce, kter\u00fd je nejv\u00fd\u0161e polo\u017eenou k\u0159ivkou a kter\u00e1 odpov\u00edd\u00e1 nejvy\u0161\u0161\u00edm hodnot\u00e1m Implied Volatility. Na n\u011bjak\u00fd velk\u00fd sm\u00edch to tedy rozhodn\u011b nevypad\u00e1\u2026 :c). P\u0159esto\u017ee je patrn\u00e9, \u017ee na k\u0159ivce skew pro tuto nejbli\u017e\u0161\u00ed expiraci je velk\u00fd tlak na Put opce \u201emimo pen\u00edze\u201c a k\u0159ivka vykazuje prota\u017een\u00ed a se\u0161ikmen\u00ed na lev\u00e9 stran\u011b grafu, je patrn\u00e9, \u017ee zcela pozadu nez\u016fstali ani obchodn\u00edci, kte\u0159\u00ed se rozhodli spekulovat na prav\u00e9 stran\u011b obr\u00e1zku, tedy s Call op\u010dn\u00edmi kontrakty. TSLA je samoz\u0159ejm\u011b p\u0159edm\u011btem daleko v\u011bt\u0161\u00ed pozornosti op\u010dn\u00edch obchodn\u00edk\u016f ne\u017e nudn\u00e1 \u017eelezni\u010dn\u00ed akcie KSU s velmi mal\u00fdm op\u010dn\u00edm Volume a Open Interest, proto je rozlo\u017een\u00ed pozornosti na jednotliv\u00e9 strike tak\u00e9 v\u00fdrazn\u011b pest\u0159ej\u0161\u00ed. Op\u011bt je tak\u00e9 patrn\u00e9 zna\u010dn\u011b \u0161irok\u00e9 Horizontal Skew, kde k\u0159ivky pro jednotliv\u00e9 za sebou jdouc\u00ed expirace jsou poskl\u00e1d\u00e1ny od nejv\u00fd\u0161e polo\u017een\u00e9 k ni\u017e\u0161\u00ed. To u Goldman\u016f (GS) maj\u00ed ji\u017e po v\u00fdznamn\u00e9 fundament\u00e1ln\u00ed zpr\u00e1v\u011b (vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f), proto se m\u016f\u017ee Implied Volatilita na jednotliv\u00fdch strike uvolnit do sv\u00fdch b\u011b\u017en\u011bj\u0161\u00edch hodnot, aby vykreslovala b\u011b\u017en\u00fd pohled na jej\u00ed rozlo\u017een\u00ed v jednotliv\u00fdch op\u010dn\u00edch expirac\u00edch, kter\u00e9 jsem do aplikace zadal a nechal si zobrazit podle n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Mohu pozorovat b\u011b\u017en\u00fd a ni\u010d\u00edm neobvykl\u00fd tvar Volatility Smile pro Vertical Skew<\/strong>, tedy pro opce se stejnou expirac\u00ed. Pro akciov\u00e9 tituly vy\u0161\u0161\u00ed popt\u00e1vka po Put opc\u00edch tvo\u0159\u00edc\u00edch \u00fasm\u011bv s povyta\u017een\u00fdm koutkem na lev\u00e9 stran\u011b grafu. Co je ale v\u00fdrazn\u011b jin\u00e9, ne\u017e na p\u0159edchoz\u00edch obr\u00e1zc\u00edch se zna\u010dn\u011b diferencovanou Implied Volatilitou v jednotliv\u00fdch expirac\u00edch, je t\u00e9m\u011b\u0159 vymizen\u00ed pozorovateln\u011b v\u00fdznamn\u011bj\u0161\u00edho Horizontal Skew<\/strong>. GS nem\u00e1 p\u0159ed sebou \u017e\u00e1dnou v\u00fdznamnou fundament\u00e1ln\u00ed zpr\u00e1vu, kter\u00e1 by se projevila zv\u00fd\u0161en\u00edm hodnoty Implied Volatility na strike s\u00a0expirac\u00ed nejbl\u00ed\u017ee po jej\u00edm vyhl\u00e1\u0161en\u00ed a mohu pozorovat, \u017ee ve t\u0159ech po sob\u011b jdouc\u00edch expirac\u00edch, kter\u00e9 reprezentuj\u00ed zobrazen\u00e9 k\u0159ivky, jsou hodnoty Implied Volatility na stejn\u00fdch strike v\u00a0t\u011bchto r\u016fzn\u00fdch expirac\u00edch (zejm\u00e9na na lev\u00e9 stran\u011b obr\u00e1zku) v\u00fdrazn\u011b podobn\u00e9.<\/span><\/p>\n

\u00a0\u00a0 Co je vlastn\u00ed akciov\u00fdm titul\u016fm, neplat\u00ed pro jin\u00e9 t\u0159\u00eddy aktiv, kter\u00e9 mohu obchodovat a pou\u017e\u00edvat p\u0159itom op\u010dn\u00ed kontrakty. Volatility Skew a tvary jej\u00ed k\u0159ivky, kter\u00e9 mohu od\u016fvodnit n\u00e1ladami op\u010dn\u00edch investor\u016f, vypl\u00fdvaj\u00ed ze samotn\u00e9 podstaty t\u011bchto podkladov\u00fdch aktiv. V minul\u00e9m p\u0159\u00edsp\u011bvku jsem popisoval Delta Neutral obchod na prosincov\u00e9 kuku\u0159ici a zm\u00ednil se p\u0159itom, \u017ee Implied Volatilita se m\u011bn\u00ed za jin\u00fdch podm\u00ednek a jin\u00fdm zp\u016fsobem, ne\u017e jsem zvykl\u00fd u akciov\u00fdch titul\u016f, toto pak obecn\u011b plat\u00ed pro v\u0161echny zrninov\u00e9 kontrakty. Na obr\u00e1zku n\u00ed\u017ee je vyobrazeno rozlo\u017een\u00ed Implied Volatility na jednotliv\u00fdch strike pro op\u010dn\u00ed kontrakty s prosincovou a \u00fanorovou expirac\u00ed pro podkladov\u00e9 futures – p\u0161enici s dod\u00e1n\u00edm v b\u0159eznu 2020<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 \u00dasm\u011bv ano, p\u0159idrzlost tak\u00e9, ale drzost je nyn\u00ed zn\u00e1zorn\u011bna naopak povyta\u017een\u00edm prav\u00e9ho koutku pomysln\u00e9ho \u00fasm\u011bvu Volatility Skew. Tento typick\u00fd pohled je vlastn\u00ed zrnin\u00e1m z d\u016fvodu obav o explozi ceny podkladov\u00e9 komodity, zp\u016fsoben\u00e9 nap\u0159\u00edklad nep\u0159\u00edzn\u00ed po\u010das\u00ed, n\u00edzk\u00fdmi v\u00fdnosy sklizn\u011b, ohro\u017een\u00edm export\/importu, klesaj\u00edc\u00edmi z\u00e1sobami\u2026. Hled\u00e1n\u00ed zaji\u0161t\u011bn\u00ed se tak p\u0159esouv\u00e1 na Call stranu a zvy\u0161uje popt\u00e1vku po Call opc\u00edch jako participaci na uptrendu vypl\u00fdvaj\u00edc\u00edho z t\u011bchto nep\u0159\u00edjemn\u00fdch fundament\u016f.<\/span><\/p>\n

\u00a0\u00a0 Zaj\u00edmav\u00fd pohled by se mohl tak\u00e9 nask\u00fdtat na tvar Volatility Skew pro op\u010dn\u00ed \u0159et\u011bzce VIX<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 Nen\u00ed asi zapot\u0159eb\u00ed velk\u00e9ho koment\u00e1\u0159e k obav\u00e1m, kter\u00e9 formuj\u00ed nab\u00eddku a popt\u00e1vku po VIX op\u010dn\u00edch kontraktech, ve\u0161ker\u00e1 pozornost se soust\u0159e\u010fuje na Call stranu grafu zcela jasn\u00e9ho \u201e\u00fa\u0161klebku\u201c Volatility Skew a m\u016f\u017ee popisovat z\u00e1kladn\u00ed vlastnost chov\u00e1n\u00ed VX futures \u2013 raketov\u011b nab\u00fdvat na sv\u00e9 cen\u011b p\u0159i tr\u017en\u00edch ot\u0159esech na trz\u00edch m\u011b\u0159en\u00fdch indexem S&P 500. Za pov\u0161imnut\u00ed stoj\u00ed popisky na ose \u201ey\u201c, kter\u00e9 reprezentuj\u00ed Volatilitu Volatility popisovanou v\u00a0tomto \u010dl\u00e1nku<\/a><\/strong><\/span>. Spekulace s VIX opcemi se tak d\u011bj\u00ed p\u0159ev\u00e1\u017en\u011b na Call stran\u011b op\u010dn\u00edch \u0159et\u011bzc\u016f a z tvar\u016f k\u0159ivek Implied Volatility na jednotliv\u00fdch strike tak jednozna\u010dn\u011b vypl\u00fdv\u00e1, \u017ee Call op\u010dn\u00ed kontrakty v ur\u010dit\u00e9 vzd\u00e1lenosti od sou\u010dasn\u00e9 ceny podkladu maj\u00ed daleko vy\u0161\u0161\u00ed hodnotu ne\u017e stejn\u011b vzd\u00e1len\u00e9 Put op\u010dn\u00ed kontrakty. Pokud ji\u017e v\u00edm, \u017ee hodnota VIX Indexu m\u00e1 obvyklou hodnotu neklesaj\u00edc\u00ed pod 10 bod\u016f a v obr\u00e1zku pak mohu pozorovat, \u017ee aktu\u00e1ln\u00ed hodnota spotov\u00e9 ceny se nach\u00e1z\u00ed okolo t\u0159in\u00e1cti bod\u016f, nebudou Put op\u010dn\u00ed kontrakty, kter\u00e9 jsou „mimo pen\u00edze“, st\u00e1t n\u011bjak\u00e9 dramatick\u00e9 pen\u00edze a nebudou patrn\u011b p\u0159edm\u011btem n\u011bjak\u00e9 zv\u00fd\u0161en\u00e9 obchodn\u00ed pozornosti. Za upozorn\u011bn\u00ed stoj\u00ed tak\u00e9 v\u00fdrazn\u011b vykreslen\u00e9 Horizontal Skew, kdy jednotliv\u00e9 k\u0159ivky jsou podle expirac\u00ed od sebe velmi z\u0159eteln\u011b odd\u011bleny.<\/span><\/p>\n

Volatility Skew – zobrazen\u00ed v \u010dase<\/strong><\/span><\/h2>\n

\u00a0\u00a0 P\u0159esto\u017ee si ka\u017ed\u00fd z analytik\u016f, trader\u016f, autor\u016f nebo mentor\u016f nazve pozorovan\u00e9 tvary jednotliv\u00fdch k\u0159ivek \u0161ikmosti Implied Volatility na r\u016fzn\u00fdch strike a v r\u016fzn\u00fdch expirac\u00edch po sv\u00e9m (Positive Skew, Negative Skew, Reverse Skew…), pro v\u0161echno n\u00e1zvoslov\u00ed existuj\u00ed dva spole\u010dn\u00e9 jmenovatele. Hodnoty Implied Volatility se li\u0161\u00ed na jednotliv\u00fdch strike pro op\u010dn\u00ed \u0159et\u011bzec ve stejn\u00e9 expiraci (Vertik\u00e1ln\u00ed Skew) a tak\u00e9 se li\u0161\u00ed na stejn\u00fdch strike pro r\u016fzn\u00e9 expirace (Horizontal Skew). To, \u017ee se Implied Volatilita m\u011bn\u00ed v dan\u00e9 expiraci podle sv\u00fdch strike a co ji zp\u016fsobuje je ji\u017e pops\u00e1no v\u00fd\u0161e. Pozorov\u00e1n\u00ed k\u0159ivky Implied Volatility na jednotliv\u00fdch strike pak vykresl\u00ed jej\u00ed tvar pro dan\u00fd strike a danou cenu v aktu\u00e1ln\u00ed chv\u00edli a mohu pak pozorovat jej\u00ed konkr\u00e9tn\u00ed tvar. Tento Vertical Skew<\/strong> a Horizontal Skew<\/strong> se v\u0161ak v \u010dase neust\u00e1le vyv\u00edj\u00ed a m\u011bn\u00ed<\/strong>. Je to proto, sou\u010dasn\u011b s b\u011b\u017e\u00edc\u00edm \u010dasem se m\u011bn\u00ed tr\u017en\u00ed vlivy a z n\u011bj vypl\u00fdvaj\u00edc\u00ed zm\u011bny nab\u00eddky a popt\u00e1vky. Tyto jednotliv\u00e9 zm\u011bny by patrn\u011b nebylo \u0161patn\u00e9 pozorovat a tak\u00e9 podrobit n\u011bjak\u00e9mu zevrubn\u00e9mu vyhodnocov\u00e1n\u00ed. Takovou mo\u017enost mi analytick\u00e1 \u010d\u00e1st aplikace TWS tak\u00e9 nab\u00edz\u00ed pro pozorov\u00e1n\u00ed \u010dasov\u00e9ho v\u00fdvoje Vertical Skew. Na obr\u00e1zku n\u00ed\u017ee je mo\u017enost takov\u00e9 volby nap\u0159\u00edklad pro e-mini S&P 500 prosincov\u00e9 futures (ES).<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0analytick\u00e9 platform\u011b TWS\/Analytical Tools\/Option Anylysis\/Volatility Skew vyberu mo\u017enost \u201eTime Lapse Skew<\/strong>\u201c. Pot\u00e9 si vyvol\u00e1m nab\u00eddku \u00fapravy skrytou pod ikonou kl\u00ed\u010de (\u010derven\u00e1 \u0161ipka). Potvrd\u00edm tla\u010d\u00edtkem volbu „Time Lapse Skew“ (1)<\/span><\/strong> a vyberu mo\u017enost \u201eStrike\u201c (2)<\/span><\/strong>. T\u00edmto zad\u00e1m zobrazov\u00e1n\u00ed jednotliv\u00fdch strike na ose \u201ex\u201c nam\u00edsto procentn\u00edho \u00fadaje, nakolik je dan\u00e1 cena na ose \u201ex\u201c v\u00a0pen\u011bz\u00edch (alternativn\u00ed volba \u201eMoneyness\u201c). D\u00e1le potvrd\u00edm volbu \u201eAnnual\u201c<\/strong> (3)<\/strong><\/span>, kterou si na ose \u201ey\u201c navol\u00edm hodnoty Implied Volatility v\u00a0ro\u010dn\u00edm procentn\u00edm tvaru nam\u00edsto jej\u00edho denn\u00edho vyj\u00e1d\u0159en\u00ed (p\u0159ep\u00edn\u00e1n\u00ed je ale skv\u011bl\u00fd pomocn\u00edk, jak ro\u010dn\u00ed Implied Volatilitu \u201eodannualizovat\u201c na denn\u00ed b\u00e1zi). Takto p\u0159ipraven\u00fd graf mohu d\u00e1le upravit o zn\u00e1zorn\u011bn\u00ed jednotliv\u00fdch k\u0159ivek pr\u016fb\u011bh\u016f Implied Volatility v\u00a0historii.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0nab\u00eddky ozna\u010den\u00e9 \u010dervenou \u0161ipkou (1)<\/span><\/strong> si vyberu, kter\u00e1 op\u010dn\u00ed s\u00e9rie (podle data expirace) m\u011b bude p\u0159i zobrazen\u00ed zaj\u00edmat, v\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b si chci nechat zobrazovat tvar k\u0159ivky Implied Volatility pro jednotliv\u00e9 strike v op\u010dn\u00edm \u0159et\u011bzci s\u00a0expirac\u00ed 25. \u0159\u00edjna 2019. Kliknut\u00ed na rozbalovac\u00ed menu ozna\u010den\u00e9 \u017elutou \u0161ipkou mohu vyb\u00edrat z\u00a0historie, kter\u00fd okam\u017eik bych si k\u00a0sou\u010dasn\u00e9mu zobrazen\u00ed k\u0159ivky mohl p\u0159idat a vypozorovat pohyb Implied Volatility. Mohu vyb\u00edrat z\u00a0p\u0159esn\u011b stanoven\u00fdch term\u00edn\u016f<\/strong> podle m\u00e9 volby (2)<\/strong><\/span> nebo mohu vyu\u017e\u00edt p\u0159eddefinovan\u00e9<\/strong> historick\u00e9 \u010dasy volbou podle (3)<\/strong><\/span>. V\u00a0m\u00e9m p\u0159\u00edpad\u011b jsem cht\u011bl k\u00a0dne\u0161n\u00edmu aktu\u00e1ln\u00edmu pohledu p\u0159idat v\u010derej\u0161\u00ed k\u0159ivku hodnot Implied Volatility na jednotliv\u00fdch strike. \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee se k\u0159ivka s dne\u0161n\u00edm pr\u016fb\u011bhem nepohnula (podle sv\u00e9ho dna) ani doprava ani doleva oproti pr\u016fb\u011bhu minul\u00e9ho obchodn\u00edho dne (grafick\u00e9 zn\u00e1zorn\u011bn\u00ed v\u010derej\u0161\u00edho pr\u016fb\u011bhu ve form\u011b n\u00ed\u017ee polo\u017een\u00e9 velmi mdl\u00e9 \u010derven\u00e9 slab\u0161\u00ed k\u0159ivky je v\u00fdplodem analytick\u00e9ho n\u00e1stroje a nem\u016f\u017eu jej ovlivnit), toto je zp\u016fsobeno zejm\u00e9na situac\u00ed, \u017ee se nezm\u011bnila cena podkladov\u00e9ho futures, proto\u017ee se nyn\u00ed obchoduje za t\u00e9m\u011b\u0159 stejnou cenu jako k p\u0159edch\u00e1zej\u00edc\u00edmu Close. K\u0159ivka dne\u0161n\u00edho pr\u016fb\u011bhu se v\u0161ak posunula z\u0159eteln\u011bji v\u00fd\u0161e a znamen\u00e1 to zv\u00fd\u0161en\u00ed Implied Volatility na jednotliv\u00fdch strike oproti v\u010derej\u0161ku. Tak\u00e9 mohu pozorovat v\u011bt\u0161\u00ed \u201esev\u0159en\u00ed k\u0159ivky\u201c a zv\u00fd\u0161en\u00ed \u201e\u0161ikmosti\u201c na lev\u00e9 stran\u011b grafu, co\u017e mohu interpretovat, \u017ee zv\u00fd\u0161en\u00ed Implied Volatility je vy\u0161\u0161\u00ed na vzd\u00e1len\u011bj\u0161\u00edch ne\u017e na bli\u017e\u0161\u00edch strike vzhledem k aktu\u00e1ln\u00ed cen\u011b obchodovan\u00e9ho futures. Velikost Implied Volatility se na t\u011bchto vzd\u00e1len\u011bj\u0161\u00edch strike zv\u011bt\u0161ila a \u201ev\u00edce rozt\u00e1hla\u201c a vytvo\u0159ila sice velmi nepatrn\u00e9, ale v\u011bt\u0161\u00ed vzd\u00e1lenosti mezi sousedn\u00edmi OTM Put strike. Pro srovn\u00e1n\u00ed jsem v obr\u00e1zku k\u0159ivek ozna\u010dil hodnoty na strike 2975 b\u00edl\u00fdmi krou\u017eky<\/strong> a b\u00edlou \u0161ipkou<\/strong>, kdy pro op\u010dn\u00ed kontrakty na tento strike s expirac\u00ed 25.10.2019 vystoupala mezidenn\u011b hodnota Implied Volatility z \u00farovn\u011b 10.90%<\/strong> na hladinu 12.60%<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Tento efekt zachov\u00e1n\u00ed p\u0159ibli\u017en\u00e9ho tvaru k\u0159ivky v\u010derej\u0161\u00edho skew a dne\u0161n\u00edho skew mohu tak\u00e9 vyu\u017e\u00edt k\u00a0extrapolaci<\/strong> hodnoty Implied Volatility<\/strong> p\u0159i ur\u010dit\u00e9m pohybu podkladov\u00e9ho aktiva. Do obr\u00e1zku jsem p\u0159idal \u017elut\u011b te\u010dkovanou fiktivn\u00ed k\u0159ivku, kter\u00e1 by mohla zn\u00e1zor\u0148ovat uptrend podkladov\u00e9ho futures, kter\u00fd jsem zn\u00e1zornil zelen\u00fdmi vodorovn\u00fdmi \u0161ipkami. Mohu pak pozorovat, jak se velmi v\u00fdrazn\u011b zm\u011bn\u00ed Implied Volatilita na jednotliv\u00fdch vybran\u00fdch strike 3000 a 3025, pokud p\u0159ipust\u00edm, \u017ee tvar k\u0159ivky z\u016fstane v\u00edcem\u00e9n\u011b zachov\u00e1n.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Pro analytick\u00e9 pozorov\u00e1n\u00ed k\u0159ivky Volatility Skew mohu v\u00a0aplikaci TWS vyvolat tak\u00e9 nab\u00eddku 3D zobrazen\u00ed<\/strong> pro vybran\u00fd titul a pozorovat sou\u010dasn\u011b tvary jednotliv\u00fdch k\u0159ivek Volatility Skew pro jednotliv\u00e9 expirace na jednotliv\u00fdch strike. Mohu tak sou\u010dasn\u011b<\/strong> nahl\u00ed\u017eet na Vertical Skew<\/strong> a Horizontal Skew.<\/strong> V\u00a0platform\u011b TWS pak mohu k\u00a0otev\u0159en\u00ed 3D zobrazen\u00ed vyu\u017e\u00edt tuto cestu TWS\/Analytical Tools\/Option Anylysis\/Interactive Analytics\/3D Volatility Surface. Zvolen\u00edm podkladov\u00e9ho aktiva je incializov\u00e1no otev\u0159en\u00ed str\u00e1nky prohl\u00ed\u017ee\u010de s\u00a0vyobrazen\u00edm 3D Volatility Skew. Na obr\u00e1zku n\u00ed\u017ee nap\u0159\u00edklad pro titul GS.<\/span><\/p>\n

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\u00a0\u00a0 Zobrazen\u00ed poskytuje nejr\u016fzn\u011bj\u0161\u00ed volby. Mohu si nechat zobrazovat aktu\u00e1ln\u00ed situaci (1)<\/span><\/strong> nebo se tak\u00e9 pod\u00edvat do n\u011bjak\u00e9ho \u010dasov\u00e9ho bodu v historii<\/span>\u00a0(2)<\/strong><\/span>. Na posuvn\u00edku (3)<\/strong><\/span> mohu ta\u017een\u00edm vyb\u00edrat zobrazov\u00e1n\u00ed<\/strong> jednotliv\u00fdch expirac\u00ed<\/strong>, stejn\u011b tak mohu toto \u010dasov\u00e9 rozp\u011bt\u00ed zadat v\u00fdb\u011brem (4)<\/span><\/strong>. Mohu tak\u00e9 p\u0159ep\u00ednat mezi zobrazen\u00edm hodnoty denn\u00ed <\/strong>Implied Volatility nebo ro\u010dn\u00ed<\/strong> Implied Volatility (5)<\/strong><\/span>. Na plo\u0161e grafu<\/strong> (6)<\/strong> <\/span>pak mohu na jednotliv\u00fdch os\u00e1ch 3D modelu pozorovat jednotliv\u00e9 hodnoty Na ose \u201ex\u201c jsou jednotliv\u00e9 strike, na ose \u201ey\u201c je zn\u00e1zorn\u011bn\u00e1 Implied Volatilita na t\u011bchto strike a na ose \u201ez\u201c jsou jednotliv\u00e9 expirace a k nim odpov\u00eddaj\u00edc\u00ed Implied Volatilita na jednotliv\u00fdch strike. Svisle veden\u00e9 \u010dern\u00e9 \u010d\u00e1ry v modr\u00e9 plo\u0161e grafu pak ukazuj\u00ed na jednotliv\u00e9 expirace, tenk\u00e1 zelen\u00e1 \u010d\u00e1ra vedouc\u00ed nap\u0159\u00ed\u010d grafem zobrazuje aktu\u00e1ln\u00ed Implied Volatilitu na ATM strike pro ka\u017edou ze zobrazovan\u00fdch expirac\u00ed. K dispozici jsou pak dal\u0161\u00ed zobrazovac\u00ed n\u00e1stroje (7)<\/span><\/strong>. Mohu pak vypozorovat, jak se Implied Volatilita na jednotliv\u00fdch strike \u201erozl\u00e9v\u00e1\u201c do budoucnosti jako roz\u0161i\u0159uj\u00edc\u00ed se koryto \u0159eky se st\u00e1le m\u011bl\u010d\u00ed hladinou vody v n\u011bm, co\u017e zobrazuje nejb\u011b\u017en\u011bj\u0161\u00ed stav pr\u016fb\u011bhu Implied Volatility na jednotliv\u00fdch strike pro akciov\u00fd titul ve smyslu Vertical Skew a Horizontal Skew. Pomysln\u00e9 koryto \u0159eky Implied Volatility pak m\u00e1 patrn\u00fd vy\u0161\u0161\u00ed lev\u00fd b\u0159eh (v\u011bt\u0161\u00ed z\u00e1jem o Put op\u010dn\u00ed kontrakty) a m\u00edrnou sva\u017eitost po jej\u00edm pomysln\u00e9m proudu sm\u011brem do budoucnosti. Obr\u00e1zek je siln\u011b zmen\u0161en\u00fd pro pot\u0159eby tohoto \u010dl\u00e1nku, p\u0159i jeho zobrazen\u00ed na cel\u00e9 plo\u0161e displeje po\u010d\u00edta\u010de jsou pak tyto vlastnosti velmi plasticky vyvedeny a dob\u0159e pozorovateln\u00e9.<\/span><\/p>\n

\u00a0\u00a0 Pro srovn\u00e1n\u00ed na obr\u00e1zku n\u00ed\u017ee aktu\u00e1ln\u00ed 3D model Implied Volatility Skew pro akcii Facebook (FB).<\/span><\/p>\n

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\u00a0\u00a0 Pomysln\u00e1 \u0159eka vytvo\u0159en\u00e1 3D projekc\u00ed Implied Volatility Skew vyhloubila sm\u011brem do budoucnosti zatracen\u011b hlubok\u00e9 koryto, kter\u00e9 u \u201esv\u00e9ho pramene\u201c (dne\u0161n\u00ed den) m\u00e1 opravdu hlubok\u00fd pr\u016fb\u011bh. Nen\u00ed to zp\u016fsobeno ni\u010d\u00edm jin\u00fdm ne\u017e skute\u010dnost\u00ed, \u017ee v dob\u011b do expirace prvn\u00edho op\u010dn\u00edho \u0159et\u011bzce v po\u0159ad\u00ed (1.11.2019) prob\u00edh\u00e1 vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f (30.10.2019). Krom\u011b hloubky jednotliv\u00fdch k\u0159ivek vytvarovan\u00e9 pomoc\u00ed Vertical Skew pak mohu tak\u00e9 pozorovat zna\u010dnou \u0161\u00ed\u0159ku jednotliv\u00fdch pod\u00e9ln\u00fdch modr\u00fdch p\u00e1s\u016f grafu (zejm\u00e9na prvn\u00edch dvou) odd\u011blen\u00fdch \u010dern\u00fdmi hrani\u010dn\u00edmi k\u0159ivkami jednotliv\u00fdch expirac\u00ed, kter\u00e9 zobrazuj\u00ed zna\u010dn\u011b velik\u00e9 (\u0161irok\u00e9) Horizontal Skew, vytvo\u0159en\u00e9 vysok\u00fdmi hodnotami Implied Volatility na obdobn\u00fdch strike v prvn\u00edch dvou expirac\u00edch. Dal\u0161\u00ed modr\u00e9 p\u00e1sy v\u00edce v budoucnosti pak ji\u017e maj\u00ed tyto sv\u00e9 \u0161\u00ed\u0159ky men\u0161\u00ed a do budoucnosti se tak zu\u017euj\u00ed a zobrazuj\u00ed p\u0159edpoklad, \u017ee se o\u010dek\u00e1van\u00e1 volatilita na vzd\u00e1len\u011bj\u0161\u00edch expirac\u00edch bude vracet do norm\u00e1lu. Pro lep\u0161\u00ed vyhodnocen\u00ed tohoto Horizontal Skew mohu prov\u00e1d\u011bt nat\u00e1\u010den\u00ed grafu podle sv\u00e9 pot\u0159eby p\u0159ichycen\u00edm a ta\u017een\u00edm my\u0161\u00ed v plo\u0161e grafu. Mohu si tak tento 3D model oto\u010dit „v\u00edce zboku“ a pozorovat nap\u0159\u00edklad pr\u00e1v\u011b zmi\u0148ovan\u00e9 Horizontal Skew.<\/span><\/p>\n

\"\"<\/p>\n

\n

\u00a0\u00a0 Ka\u017ed\u00fd si m\u016f\u017ee interpretovat pohled na Volatility Skew sv\u00fdm zp\u016fsobem, patrn\u011b jinak se na n\u011bj bude d\u00edvat tv\u016frce trhu, jinou optikou na n\u011bj bude nahl\u00ed\u017eet multimilionov\u00fd investi\u010dn\u00ed fond a zcela jin\u00fd \u00fasudek si vytvo\u0159\u00ed b\u011b\u017en\u00fd op\u010dn\u00ed trader. Bez pohledu na k\u0159ivku Volatility Skew se d\u00e1 ur\u010dit\u011b v b\u011b\u017en\u00e9m obchodn\u00edm \u017eivot\u011b existovat a nemus\u00edm se jej\u00edm nepochopen\u00edm v\u00fdrazn\u011b tr\u00e1pit. M\u011b osobn\u011b zaj\u00edm\u00e1, jak si m\u016f\u017eu takovou vlastnost Implied Volatility p\u0159ev\u00e9st do re\u00e1ln\u00e9ho obchodn\u00edho rozhodnut\u00ed a \u0159e\u010deno velmi zjednodu\u0161en\u011b \u2013 jak ji \u201ep\u0159etavit na pen\u00edze\u201c. Zd\u00e1lo by se, \u017ee pokud by se mi to neda\u0159ilo, je toto pozn\u00e1n\u00ed pravd\u011bpodobn\u011b k ni\u010demu. Nemus\u00ed to b\u00fdt ale pravda, pr\u00e1v\u011b toto pozn\u00e1n\u00ed m\u016f\u017ee b\u00fdt v\u00fdznamn\u00fdm st\u0159\u00edpkem do mozaiky celkov\u00e9ho n\u00e1zoru na n\u011bjak\u00fd skv\u011bl\u00fd obchod nebo m\u016f\u017ee podpo\u0159it jin\u00e9 argumenty pro chystan\u00e9 obchodn\u00ed rozhodnut\u00ed. \u010cl\u00e1nek byl mal\u00fdm teoretick\u00fdm vhledem do problematiky Implied Volatility a pozorov\u00e1n\u00ed jej\u00ed \u00farovn\u011b na r\u016fzn\u00fdch strike a v r\u016fzn\u00fdch expirac\u00edch pomoc\u00ed jednoduch\u00fdch a dostupn\u00fdch grafick\u00fdch pom\u016fcek. Na tento \u010dl\u00e1nek se pak pokus\u00edm nav\u00e1zat zcela praktickou uk\u00e1zkou obchod\u016f, kter\u00e9 ve sv\u00e9 podstat\u011b vyu\u017e\u00edvaj\u00ed poznan\u00e9 vlastnosti Implied Volatility a vych\u00e1zej\u00ed z princip\u016f Delta Neutrality :c)<\/span><\/p>\n

Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a> <\/strong><\/span>:c)<\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":3829,"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":[4],"tags":[52,18],"class_list":["post-3810","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-kombinace","tag-delta-neutral","tag-implied-volatility"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-Zs","jetpack-related-posts":[{"id":3346,"url":"https:\/\/dobretrejdy.com\/?p=3346","url_meta":{"origin":3810,"position":0},"title":"Delta Neutral – VIII.","author":"dobretrejdy :c)","date":"8.6.2019","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed s\u00a0vyu\u017eit\u00edm prvk\u016f Delta Neutrality nen\u00ed, po s\u00e9rii \u010dl\u00e1nk\u016f popisuj\u00edc\u00ed tuto techniku, pravd\u011bpodobn\u011b v\u016fbec k\u00a0zahozen\u00ed a mohlo by m\u00edt slu\u0161n\u00fd obchodn\u00ed potenci\u00e1l. K\u00a0jeho vyu\u017eit\u00ed je ale zapot\u0159eb\u00ed pochopit hlub\u0161\u00ed vztahy mezi jednotliv\u00fdmi obchodn\u00edmi prvky a odhalit tak dal\u0161\u00ed souvislosti, kter\u00e9 mohou vytvo\u0159it vyu\u017eiteln\u00e9 obchodn\u00ed sch\u00e9ma. Prozat\u00edm jsem se dotkl\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\/06\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":522,"url":"https:\/\/dobretrejdy.com\/?p=522","url_meta":{"origin":3810,"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":3847,"url":"https:\/\/dobretrejdy.com\/?p=3847","url_meta":{"origin":3810,"position":2},"title":"Delta Neutral \u2013 XII.","author":"dobretrejdy :c)","date":"10.11.2019","format":false,"excerpt":"\u00a0 \u00a0V minul\u00e9m \u010dl\u00e1nku jsem se zab\u00fdval probl\u00e9mem deformace hodnot Implied Volatility na jednotliv\u00fdch strike op\u010dn\u00edch \u0159et\u011bzc\u016f a sna\u017eil jsem se rozpoznat, jak\u00e9 by to mohlo p\u0159in\u00e1\u0161et obchodn\u00ed interpretace nebo alespo\u0148 obecn\u00e1 vysv\u011btlen\u00ed. Z tohoto pozn\u00e1n\u00ed pak mohu vych\u00e1zet p\u0159i praktick\u00e9m vyu\u017eit\u00ed t\u011bchto poznatk\u016f a vyhodnotit, jestli by se nedaly\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\/11\/main2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3202,"url":"https:\/\/dobretrejdy.com\/?p=3202","url_meta":{"origin":3810,"position":3},"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":3383,"url":"https:\/\/dobretrejdy.com\/?p=3383","url_meta":{"origin":3810,"position":4},"title":"Delta Neutral \u2013 IX.","author":"dobretrejdy :c)","date":"30.6.2019","format":false,"excerpt":"\u00a0 \u00a0Zachycen\u00ed v\u00fdznamu \u0159eck\u00fdch p\u00edsmen, kter\u00e9 popisuj\u00ed vlastnosti m\u00e9ho op\u010dn\u00edho kontraktu, vypad\u00e1 jako velmi zaj\u00edmav\u00e1 discipl\u00edna a m\u016f\u017ee b\u00fdt pravd\u011bpodobn\u011b dobrou v\u00fdchoz\u00ed situac\u00ed pro m\u00e9 op\u010dn\u00ed obchody. Prozat\u00edm jsem se zab\u00fdval pouze vybran\u00fdm segmentem situac\u00ed, kdy jsem zejm\u00e9na op\u010dn\u00ed kontrakty nakupoval a pozoroval, jak\u00e9 jsou hodnoty vybran\u00fdch \u0159eck\u00fdch p\u00edsmen Delta,\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\/06\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":551,"url":"https:\/\/dobretrejdy.com\/?p=551","url_meta":{"origin":3810,"position":5},"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":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/3810","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=3810"}],"version-history":[{"count":10,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/3810\/revisions"}],"predecessor-version":[{"id":7277,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/3810\/revisions\/7277"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/3829"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3810"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3810"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3810"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}