{"id":4022,"date":"2020-01-04T11:55:49","date_gmt":"2020-01-04T09:55:49","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=4022"},"modified":"2025-02-24T08:59:02","modified_gmt":"2025-02-24T06:59:02","slug":"vxx-volatility-etn","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=4022","title":{"rendered":"VXX – Volatility ETN – I."},"content":{"rendered":"

\u00a0 \u00a0Volatilitu mohu obchodovat mnoha zp\u016fsoby. Mohu se zam\u011b\u0159it na Implied Volatilitu jednotliv\u00fdch akciov\u00fdch titul\u016f nebo akciov\u00fdch index\u016f a zkou\u0161et vyu\u017e\u00edt jej\u00ed \u00farovn\u011b k zachycen\u00ed profit\u016f, kter\u00e9 by mohly vypl\u00fdvat pr\u00e1v\u011b z pohybu Implied Volatility. Nemus\u00edm ale nutn\u011b z\u016fst\u00e1vat jenom u t\u011bchto obchodn\u00edch p\u0159\u00edstup\u016f a mohu se pokusit obchodovat volatilitu prost\u0159ednictv\u00edm n\u00e1stroj\u016f, kter\u00e9 n\u011bjak\u00fdm zp\u016fsobem volatilitu replikuj\u00ed. Na str\u00e1nk\u00e1ch tohoto webu jsem ji\u017e popsal z\u00e1kladn\u00ed deriv\u00e1ty volatility, pomoc\u00ed kter\u00fdch mohu obchodovat volatilitu trh\u016f \u2013 VX futures a VIX opce, tedy investi\u010dn\u00ed n\u00e1stroje nav\u00e1zan\u00e9 na VIX Index, tedy o\u010dek\u00e1vanou volatilitu m\u011b\u0159enou na akciov\u00e9m indexu S&P 500. Pochopit a pokusit se obchodovat tyto instrumenty je opravdu velk\u00e1 v\u00fdzva a m\u016f\u017ee nab\u00edzet \u0161irok\u00e9 pole p\u016fsobnosti pro nejr\u016fzn\u011bj\u0161\u00ed typy obchod\u016f s t\u011bmito deriv\u00e1ty nebo s jej\u00edmi kombinacemi. Pokus\u00edm se nyn\u00ed vr\u00e1tit k tomuto t\u00e9matu a roz\u0161\u00ed\u0159it jej o popis dal\u0161\u00ed kategorie titul\u016f odvozen\u00fdch od deriv\u00e1t\u016f volatility \u2013 Volatility ETN (Exchange-Trade Notes).<\/span><\/p>\n

\u00a0\u00a0 Patrn\u011b nejzn\u00e1m\u011bj\u0161\u00ed Volatility ETN nese ticker VXX<\/strong>. Pod t\u00edmto ozna\u010den\u00edm se skr\u00fdv\u00e1 iPath Series B<\/span> S&P 500 VIX Short-Term Futures ETNs<\/strong>. VXX mi velmi zjednodu\u0161en\u011b umo\u017e\u0148uje zaujmout pozici v prvn\u00edch dvou VX futures kontraktech<\/strong>, a o tom, jak je to za\u0159\u00edzeno, bude dne\u0161n\u00ed \u010dl\u00e1nek. Pro\u010d je v n\u00e1zvu Series B? P\u016fvodn\u00ed titul VXX se obchodoval deset let a jeho obchodov\u00e1n\u00ed bylo ukon\u010deno 30.1.2019. Investi\u010dn\u00ed spole\u010dnost Barclays ale velmi pru\u017en\u011b p\u0159edstavila \u201en\u00e1hra\u017eku\u201c za obl\u00edben\u00e9 VXX a p\u0159edstavila ji\u017e rok p\u0159ed ukon\u010den\u00edm VXX jeho n\u00e1sledovn\u00edka VXXB, kter\u00e9 je mo\u017en\u00e9 obchodovat od jeho vzniku 19.1.2018 a jeho\u017e \u017eivot nyn\u00ed nam\u00edsto deseti let prodlou\u017eila na t\u0159icet let do 23.1.2048. Patrn\u011b bude zaj\u00edmav\u00e9 zjistit, nakolik se star\u00e9 VXX a nov\u00e9 VXXB od sebe odli\u0161uje a co by m\u011blo st\u00e1t za investorovu pozornost. Ve shrnut\u00ed je pak mo\u017en\u00e9 si na str\u00e1nk\u00e1ch emitenta prohl\u00e9dnout sum\u00e1\u0159 hlavn\u00edch vlastnost\u00ed obou titul\u016f.<\/span><\/p>\n

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\u00a0 Nejmarkantn\u011bj\u0161\u00ed rozd\u00edl je pak v\u00a0polo\u017ece \u201eIssuer Call Feature\u201c, kde emitent p\u0159ipou\u0161t\u00ed mo\u017enost vyplatit dr\u017eitele ETN kdykoliv p\u0159ed ukon\u010den\u00edm obchodov\u00e1n\u00ed v\u00a0roce 2048. M\u00e1 tak mo\u017enost \u201eCall\u201c \u2013 p\u0159ivolat zp\u011bt do sv\u00fdch rukou cenn\u00e9 pap\u00edry v\u00a0dr\u017een\u00ed \u00fa\u010dastn\u00edk\u016f trhu VXX.<\/span><\/p>\n

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\u00a0\u00a0 Zku\u0161enosti z \u00fanora 2018, kdy se trhy p\u0159ehnala bou\u0159e v\u00fdprodej\u016f za doprovodu astronomick\u00e9ho n\u00e1rustu volatility na trz\u00edch a sou\u010dasn\u011b tak\u00e9 kolaps cen n\u011bkter\u00fdch deriv\u00e1t\u016f volatility pak patrn\u011b emitenta p\u0159inutila k tomu, aby si takovou mo\u017enost uzav\u0159en\u00ed ETN do prospektu vyzna\u010dil nikoliv jen \u201epro str\u00fd\u010dka p\u0159\u00edhodu\u201c. \u00a0<\/span><\/p>\n

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\u00a0\u00a0 Pro\u010d stoj\u00ed VXXB za pozornost? Proto\u017ee je nav\u00e1z\u00e1no na VX futures a m\u00e1 \u201e\u010f\u00e1belskou v\u00fdkonnost\u201c. Na grafu n\u00ed\u017ee je vid\u011bt ro\u010dn\u00ed v\u00fdkonnost \u201enov\u00e9ho VXX\u201c a nebyl by to patrn\u011b hezk\u00fd obr\u00e1zek pro investora, kter\u00fd by cht\u011bl investovat do Long pozice na tomto titulu.<\/span><\/p>\n

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\u00a0\u00a0 Pominu nyn\u00ed skute\u010dnost, \u017ee podklad VXXB si nelze po\u0159\u00eddit d\u00edky sm\u011brnici EU o restrikci obchod\u016f s n\u011bkter\u00fdmi ETF a ETN (net\u00fdk\u00e1 se ov\u0161em op\u010dn\u00edch kontrakt\u016f), tak VXXB t\u00e9m\u011b\u0159 vytrvale ztr\u00e1c\u00ed na sv\u00e9 hodnot\u011b<\/strong>. Stejn\u00fd osud pak potkal ji\u017e neobchodovan\u00e9 p\u016fvodn\u00ed VXX, kter\u00e9 za dobu sv\u00e9ho obchodov\u00e1n\u00ed ztratilo t\u00e9m\u011b\u0159 celou svou hodnotu. (Proto\u017ee se nyn\u00ed ji\u017e obchoduje pouze VXXB a p\u016fvodn\u00ed VXX se ji\u017e obchodovat ned\u00e1, budu ji\u017e nad\u00e1le pou\u017e\u00edvat jen ozna\u010den\u00ed VXX). V\u00fdznamn\u00e1 vada na kr\u00e1se – setrval\u00fd downtrend – by se tak mohl st\u00e1t p\u0159edm\u011btem zaslou\u017een\u00e9 obchodn\u00ed pozornosti<\/strong>, a t\u00e9 se j\u00ed dost\u00e1v\u00e1 opravdu vrchovat\u011b.\u00a0 \u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0 \u00a0Co stoj\u00ed za takovou ztr\u00e1tou je pak ukryto v konstrukci v\u00fdpo\u010dtu hodnoty VXX, kterou by nebylo \u0161patn\u00e9 pochopit a z takov\u00e9 logiky v\u00fdpo\u010dtu pak usuzovat o mo\u017en\u00e9m zapojen\u00ed tohoto tickeru do m\u00e9ho obchodov\u00e1n\u00ed. VXX<\/strong> je konstruov\u00e1no tak, aby vytv\u00e1\u0159elo identick\u00fd obraz<\/strong> indexu „S&P 500 VIX Short-Term Futures Index Total Return<\/strong>“ (d\u00e1le jen \u201eIndex\u201c), jednomu z \u0161irok\u00e9 \u0161k\u00e1ly index\u016f S&P (ticker SPVXSTR). Proto\u017ee je tento index v\u011brn\u00fdm p\u0159edobrazem VXX a VXX je z n\u011bj odvozeno, je asi zapot\u0159eb\u00ed v\u011bd\u011bt, jak je takov\u00fd index konstruov\u00e1n, jak doch\u00e1z\u00ed k jeho v\u00fdpo\u010dtu a jak jsou spojeny vlivy trh\u016f s jeho v\u00fdkonnost\u00ed. Pokud bych si p\u0159elo\u017eil n\u00e1zev indexu, tak bych si jej mohl \u010desky ozna\u010dit za \u201eIndex celkov\u00e9 v\u00fdkonnosti kr\u00e1tkodob\u00fdch VX futures S&P 500<\/strong>\u201c a za pojem kr\u00e1tkodob\u00e9 VX futures si mus\u00edm dosadit prvn\u00ed dv\u011b VX futures<\/strong> s\u00a0nejbli\u017e\u0161\u00ed m\u011bs\u00ed\u010dn\u00ed expirac\u00ed<\/strong> obchodovan\u00e9 na CFE (Chicago Futures Exchange). Z \u010dl\u00e1nk\u016f o VX futures vypl\u00fdv\u00e1, \u017ee tyto nejbli\u017e\u0161\u00ed VX futures disponuj\u00ed nejvy\u0161\u0161\u00ed citlivost\u00ed na zm\u011bny tr\u017en\u00ed n\u00e1lady na akciov\u00fdch trz\u00edch m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 a na ka\u017edou nejistotu na trz\u00edch um\u00ed p\u0159im\u011b\u0159en\u011b agresivn\u011b reagovat. Obecn\u011b vzato, VXX sleduje, jakou mezidenn\u00ed v\u00fdkonnost m\u00e1 tento SPVXSTR Index, podoba tohoto indexu pak spo\u010d\u00edv\u00e1 v expozici tohoto indexu v prvn\u00edch dvou VX futures, kdy\u017e tato VX futures jsou v hodnot\u011b indexu zastoupena svou v\u00e1hou<\/strong> podle doby do expirace<\/strong> obou VX futures. Mohl bych si pro \u00fapln\u00e9 zjednodu\u0161en\u00ed p\u0159edstavit, \u017ee ka\u017ed\u00fd jednotliv\u00fd obchodn\u00ed den budou stanoveny ur\u010dit\u00e9 v\u00e1hy zastoupen\u00ed prvn\u00edho a druh\u00e9ho VX futures podle doby do expirace, a tato v\u00e1ha se bude m\u011bnit plynut\u00edm \u010dasu. Ka\u017ed\u00fd obchodn\u00ed den<\/strong> pak bude prod\u00e1na \u010d\u00e1st bli\u017e\u0161\u00edch VX futures<\/strong> (proto\u017ee se jeho v\u00e1ha bude sni\u017eovat) a sou\u010dasn\u011b nakoupena \u010d\u00e1st vzd\u00e1len\u011bj\u0161\u00edch VX futures<\/strong> (proto\u017ee se jeho v\u00e1ha bude zvy\u0161ovat). Mo\u017en\u00e1 ji\u017e nyn\u00ed n\u011bkoho napadne, \u017ee tady le\u017e\u00ed z\u00e1kladn\u00ed d\u016fvod postupn\u00e9ho a vytrval\u00e9ho poklesu hodnoty VXX, proto\u017ee bli\u017e\u0161\u00ed VX futures b\u00fdv\u00e1 obvykle levn\u011bj\u0161\u00ed ne\u017e VX futures vzd\u00e1len\u011bj\u0161\u00ed, potom takov\u00e9 rolov\u00e1n\u00ed \u201eprod\u00e1v\u00e1m levn\u011bji a nakupuji dr\u00e1\u017e\u201c mus\u00ed z\u00e1konit\u011b generovat ztr\u00e1tu. Je to do jist\u00e9 m\u00edry pravda, p\u0159esto ale m\u00e1 takov\u00e9 obecn\u00e9 tvrzen\u00ed sv\u00e9 nuance.<\/span><\/p>\n

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Konstrukce v\u00fdpo\u010dtu<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Pochopen\u00ed fungov\u00e1n\u00ed VXX stoj\u00ed a pad\u00e1 s pochopen\u00edm stavby (v\u00fdpo\u010dtu) a principu SPVXSTR Indexu, proto\u017ee VXX jej v\u011brn\u011b replikuje. Poch\u00e1z\u00ed z d\u00edlny renomovan\u00e9 poradensk\u00e9 spole\u010dnosti S&P Global a jeho domovskou str\u00e1nku mohu naj\u00edt zde<\/a><\/strong><\/span>. Prospekt, ve kter\u00e9m je ukryt princip v\u00fdpo\u010dtu tohoto indexu je mo\u017en\u00e9 st\u00e1hnout zde<\/a><\/span><\/strong>. N\u00e1v\u0161t\u011bvou domovsk\u00e9 str\u00e1nky je mo\u017en\u00e9 prohl\u00e9dnout historickou v\u00fdkonnost tohoto SPVXSTR Indexu, kdy\u017e na desetilet\u00e9 \u010dasov\u00e9 period\u011b je zcela z\u0159eteln\u011b patrn\u00e9, jak si v\u00fdkonnost tohoto indexu komponovan\u00e9ho ze dvou nejbli\u017e\u0161\u00edch VX futures vedla.<\/span><\/p>\n

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\u00a0\u00a0 Graf nepot\u0159ebuje v\u00fdznamn\u00fd koment\u00e1\u0159. Za zm\u00ednku stoj\u00ed mo\u017enost (ozna\u010den\u00e1 \u010dervenou \u0161ipkou) st\u00e1hnout si historick\u00e1 data indexu do sv\u00e9ho excelovsk\u00e9ho se\u0161itu.<\/span><\/p>\n

\u00a0 \u00a0VX futures kontrakty, jako ka\u017ed\u00e9 jin\u00e9 futures, maj\u00ed omezenou dobu \u017eivotnosti, proto se musel konstrukt\u00e9r SPVXSTR Indexu n\u011bjak\u00fdm zp\u016fsobem vypo\u0159\u00e1dat pr\u00e1v\u011b s touto skute\u010dnost\u00ed. Proto\u017ee se p\u016fsoben\u00edm \u010dasu prvn\u00ed futures neudr\u017e\u00ed na sv\u00e9m prvn\u00edm m\u00edst\u011b v\u011b\u010dn\u011b, ale je st\u0159\u00edd\u00e1no p\u0159i expiraci druh\u00fdm futures v po\u0159ad\u00ed, musely b\u00fdt stanoveny podm\u00ednky pro ur\u010den\u00ed v\u00e1hy jednotliv\u00fdch kontrakt\u016f tak, aby reflexe na b\u011bh dn\u016f byla co nejv\u011brn\u011bj\u0161\u00ed. Z p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f vypl\u00fdv\u00e1, \u017ee m\u011bs\u00ed\u010dn\u00ed VX futures nejb\u011b\u017en\u011bji expiruje ve t\u0159et\u00ed st\u0159edu ka\u017ed\u00e9ho m\u011bs\u00edce, je tedy z\u0159ejm\u00e9, \u017ee prvn\u00ed VX futures se na prvn\u00edm m\u00edst\u011b v po\u0159ad\u00ed dr\u017e\u00ed cel\u00fd obchodn\u00ed m\u011bs\u00edc (nejb\u011b\u017en\u011bji 21 obchodn\u00edch dn\u016f) ne\u017e je vyst\u0159\u00edd\u00e1no na prvn\u00edm m\u00edst\u011b druh\u00fdm VX futures v po\u0159ad\u00ed. Index je ale konstruov\u00e1n tak, \u017ee jak se bl\u00ed\u017e\u00ed k expiraci VX prvn\u00ed futures v po\u0159ad\u00ed a \u201eub\u00fdv\u00e1 mu sil\u201c vyj\u00e1d\u0159en\u00fdch \u00fabytkem po\u010dtu obchodn\u00edch dn\u016f do bl\u00ed\u017e\u00edc\u00ed se expirace, je \u00fabytek t\u011bchto sil nahrazov\u00e1n silou druh\u00e9ho VX futures kontraktu vyj\u00e1d\u0159enou po\u010dtem dn\u00ed, kter\u00e9 z celkov\u00e9ho po\u010dtu obchodn\u00edch dn\u016f u\u017e uplynuly.<\/span><\/p>\n

\u00a0\u00a0 Jak p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed v\u00e1hy jednotliv\u00fdch futures obsa\u017een\u00fdch v indexu vlastn\u011b funguje. Z p\u0159edchoz\u00edho vypl\u00fdv\u00e1, \u017ee prvn\u00edm podstatn\u00fdm \u00fadajem je celkov\u00fd po\u010det obchodn\u00edch dn\u016f, kdy je ur\u010dit\u00e9 VX futures prvn\u00ed po\u0159ad\u00ed, b\u00fdv\u00e1 to v\u011bt\u0161inou \u010d\u00edslo 21, p\u0159edstavuj\u00edc\u00ed po\u010det obchodn\u00edch dn\u016f v m\u011bs\u00edci<\/strong> a budu ho, shodn\u011b s prospektem indexu, ozna\u010dovat jako „dt“ (\u201edays total\u201c)<\/strong>. Ozna\u010duje tak d\u00e9lku \u201erolovac\u00ed periody\u201c. Druh\u00e9 v\u00fdznamn\u00e9 \u010d\u00edslo bude p\u0159edstavovat po\u010det obchodn\u00edch dn\u016f<\/strong>, kter\u00e9 zb\u00fdvaj\u00ed do expirace prvn\u00edho VX futures<\/strong> kontraktu, budu jej ozna\u010dovat, op\u011bt shodn\u011b s ofici\u00e1ln\u00edm prospektem indexu, jako \u201edr\u201c (\u201edays remaining\u201c)<\/strong>. Rolovac\u00ed perioda<\/strong> (\u201eRoll Period\u201c) za\u010d\u00edn\u00e1 v \u00fater\u00fd p\u0159ed st\u0159ede\u010dn\u00ed expirac\u00ed<\/strong> VX futures kontraktu a v toto \u00fater\u00fd jsou v r\u00e1mci v\u00e1hy indexu v\u0161echny prost\u0159edky alokov\u00e1ny<\/strong> do z\u00edtra nastupuj\u00edc\u00edho prvn\u00edho VX futures kontraktu<\/strong>. Ka\u017ed\u00fd n\u00e1sleduj\u00edc\u00ed dal\u0161\u00ed den je pak tato v\u00e1ha p\u0159epo\u010d\u00edt\u00e1v\u00e1na, a to tak, \u017ee prvn\u00ed kontrakt m\u00e1 v\u00e1hu dr\/dt<\/strong> a druh\u00fd kontrakt m\u00e1 v\u00e1hu dr-dt\/dt<\/strong>. Konkr\u00e9tn\u011b, pokud je celkov\u011b obchodn\u00edch dn\u016f 21 (=dt) a jsem v okam\u017eiku, kdy zb\u00fdv\u00e1 do expirace prvn\u00edho kontraktu 17 obchodn\u00edch dn\u016f (=dr), bude v\u00e1ha prvn\u00edho VX futures 17\/21 = 0,8095 (80,95%) a v\u00e1ha druh\u00e9ho VX kontraktu bude 4\/21 = 0,1905 (19,05%). Takto prov\u00e1d\u011bn\u00e9 p\u0159epo\u010dty v\u00e1hy pokra\u010duj\u00ed a\u017e do dal\u0161\u00edho \u00fater\u00fd p\u0159ed expirac\u00ed, kdy kon\u010d\u00ed Roll Period a v\u0161echny prost\u0159edky jsou alokov\u00e1ny do druh\u00e9ho VX futures v po\u0159ad\u00ed, kter\u00e9 se na druh\u00fd den stane prvn\u00edm v po\u0159ad\u00ed a p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed se op\u011bt opakuje. Aktu\u00e1ln\u00ed v\u00e1hu jednotliv\u00fdch futures kontrakt\u016f, kter\u00e9 tvo\u0159\u00ed index a je obrazem VXX, tak\u00e9 m\u016f\u017eu sledovat na str\u00e1nk\u00e1ch ETN s tickerem VXX<\/a><\/strong><\/span> , kliknut\u00edm na z\u00e1lo\u017eku Index Components.<\/span><\/p>\n

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\u00a0 P\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed SPVXSTR Indexu je prov\u00e1d\u011bno ka\u017ed\u00fd obchodn\u00ed den, ve dnech, kdy se neobchoduje se \u017e\u00e1dn\u00fd p\u0159epo\u010det neprov\u00e1d\u00ed. Soboty a ned\u011ble a ve dnech sv\u00e1tk\u016f plat\u00ed posledn\u00ed v\u00e1hy stanoven\u00e9 pro p\u00e1tky nebo dny p\u0159edch\u00e1zej\u00edc\u00ed sv\u00e1tku. Takov\u00e9 v\u00fdpo\u010dty si tak\u00e9 mohu nasimulovat v Excelu. Na obr\u00e1zku n\u00ed\u017ee je teoretick\u00e9 obchodn\u00ed obdob\u00ed s jedn\u00edm sv\u00e1tkem a s jednoduch\u00fdm grafick\u00fdm vyobrazen\u00edm takov\u00e9ho \u201ep\u0159esunu v\u00e1hy\u201c z prvn\u00edho VX futures kontraktu do druh\u00e9ho VX kontraktu v pr\u016fb\u011bhu rolovac\u00ed periody.<\/span><\/p>\n

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\u00a0 P\u0159esouv\u00e1n\u00ed v\u00e1hy prvn\u00edho VX futures do v\u00e1hy druh\u00e9ho VX futures sledovan\u00e9ho indexu jsem podbarvil v\u00a0jednotliv\u00fdch bu\u0148k\u00e1ch s\u00a0procenty v\u00e1hy \u017elut\u00fdmi v\u00fdpln\u011bmi pro lep\u0161\u00ed n\u00e1zornost. Pokud tedy m\u00e1m p\u0159edstavu o zm\u011bn\u011b v\u00e1hy v\u00a0jednotliv\u00fdch dnech v\u00a0pr\u016fb\u011bhu rolovac\u00ed periody \u2013 jednoho obchodn\u00edho m\u011bs\u00edce mezi expiracemi m\u011bs\u00ed\u010dn\u00edch VX futures (t\u0159et\u00ed st\u0159edy v\u00a0ka\u017ed\u00e9m jednotliv\u00e9m m\u011bs\u00edci) mohu se zam\u011b\u0159it na princip v\u00fdpo\u010dtu samotn\u00e9ho indexu a pokusit se tak p\u0159ij\u00edt na kloub skute\u010dnosti pro\u010d je celkov\u00e1 v\u00fdkonnost SPVXSTR Indexu (pota\u017emo VXX) z historick\u00e9ho pohledu tak \u017ealostn\u00e1.<\/span><\/p>\n

\u00a0 Z prospektu ETN VXX, kter\u00fd je dostupn\u00fd zde<\/a><\/strong><\/span> vypl\u00fdv\u00e1 (str\u00e1nka 26), \u017ee hodnota Indexu je vypo\u010dtena podle n\u00ed\u017ee uveden\u00e9ho vzorce:<\/span><\/p>\n

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\u00a0\u00a0 Vzorec v \u010derven\u00e9m r\u00e1me\u010dku mo\u017en\u00e1 vypad\u00e1 nev\u00e1bn\u011b, jeho interpretace je ale jednoduch\u00e1. Dne\u0161n\u00ed hodnota SPVXSTR Indexu (IndexTrt<\/sub>)<\/strong> (v \u010dase \u201et\u201c) (1)<\/strong> <\/span>je rovna v\u010derej\u0161\u00ed hodnot\u011b SPVXSTR Indexu (IndexTrt-1<\/sub>)<\/strong> \u00a0(v \u010dase t-1 = v\u010dera) (2)<\/span><\/strong> vyn\u00e1soben\u00e1<\/strong> o n\u011bjak\u00fd Koeficient (3)<\/span><\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Koeficient (3)<\/span><\/strong> e tvo\u0159en hodnotou jedna<\/strong>, ke kter\u00e9 je p\u0159ipo\u010dtena n\u011bjak\u00e1 hodnota CDRt<\/sub>\u00a0<\/strong>a n\u011bjak\u00e1 hodnota TBRt<\/sub><\/strong>. Pokud budu schopen vypo\u010d\u00edtat tento koeficient, vypo\u010dtu v\u0161echno pot\u0159ebn\u00e9 a nejen to, pokud pochop\u00edm samotnou konstrukci a logiku koeficientu, pochop\u00edm podstatu a chov\u00e1n\u00ed VXX, kterou bych cht\u011bl vyu\u017e\u00edt p\u0159i obchodov\u00e1n\u00ed.<\/span><\/p>\n

\u00a0 CDRt<\/sub><\/strong>\u00a0je v prospektu popisov\u00e1no jako Contract Daily Return<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 To je pr\u00e1v\u011b to, co pohybuje cel\u00fdm SPVXSTR Indexem a tak\u00e9 hodnotou VXX, kter\u00e9 SPVXSTR Index kop\u00edruje. Toto CDRt<\/sub><\/strong> vypo\u010d\u00edtan\u00e9 pro ur\u010dit\u00fd den toti\u017e vyjad\u0159uje<\/strong>, jak se pro ur\u010ditou v\u010derej\u0161\u00ed v\u00e1hu a v\u010derej\u0161\u00ed cenu jednotliv\u00fdch futures zm\u011bnila cena jednotliv\u00fdch VX futures<\/strong> kontrakt\u016f k t\u00e9to v\u010derej\u0161\u00ed v\u00e1ze<\/strong>. Zjistil jsem, \u017ee jsem ji\u017e schopen si vypo\u010d\u00edtat v\u00e1hu ka\u017ed\u00e9ho futures kontraktu v ka\u017ed\u00fd konkr\u00e9tn\u00ed den pomoc\u00ed \u201edt\u201c a \u201edr\u201c, historickou cenu jednotliv\u00fdch prvn\u00edch dvou futures kontrakt\u016f v ka\u017ed\u00fd konkr\u00e9tn\u00ed den jsem schopen zjistit ze str\u00e1nek CBOE<\/a><\/strong><\/span>.\u00a0<\/span><\/p>\n

\u00a0 Cel\u00e9 CDRt<\/sub><\/strong>, tedy z\u00e1klad koeficientu mezidenn\u00ed v\u00fdkonnosti Indexu, je v prospektu podle obr\u00e1zku v\u00fd\u0161e vyzna\u010deno jako n\u011bjak\u00fd pod\u00edl dvou hodnot<\/strong>, \u010ditatele TWDOt<\/sub> <\/strong>a jmenovatele TWDOt-1<\/sub><\/strong>. Co tyto hodnoty znamenaj\u00ed je vyobrazeno n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159esto\u017ee to nyn\u00ed ji\u017e m\u016f\u017ee vypadat slo\u017eit\u011b, patrn\u011b podle anglicky popisovan\u00fdch komponent vzorce, nen\u00ed to v\u016fbec nic slo\u017eit\u00e9ho, proto\u017ee se jedn\u00e1 o prost\u00fd pod\u00edl sestaven\u00fd s ji\u017e zn\u00e1m\u00fdch hodnot \u2013 v\u010derej\u0161\u00edch a dne\u0161n\u00edch vah<\/strong> zastoupen\u00ed obou VX futures a v\u010derej\u0161\u00edch a dne\u0161n\u00edch cen<\/strong> obou VX futures, jednodu\u0161e mi tento pod\u00edl zjist\u00ed, nakolik se cena Indexu zm\u011bnila v souvislost\u00ed s mezidenn\u00ed zm\u011bnou v\u00e1hy za sou\u010dasn\u00e9 zm\u011bny cen obou VX futures. Abych p\u0159idal na n\u00e1zornosti, mohu si cel\u00fd vzorec CDRt <\/sub><\/strong>(jako kl\u00ed\u010dovou komponentu cel\u00e9ho vzorce) p\u0159ev\u00e9st do \u010de\u0161tiny \u00a0<\/span><\/p>\n

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\u00a0 \u00a0V koeficientu tvo\u0159\u00edc\u00ed sou\u010d\u00e1st celkov\u00e9ho vzorce v\u00fdpo\u010dtu hodnoty SPVXSTR Indexu mi zb\u00fdv\u00e1 je\u0161t\u011b zjistit, co p\u0159edstavuje hodnotu TBRt<\/sub><\/strong>. Pro jeho vysv\u011btlen\u00ed a objasn\u011bn\u00ed mohu z prospektu zjistit, \u017ee nab\u00fdv\u00e1 tohoto tvaru:<\/span><\/p>\n

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\u00a0\u00a0 Nebudu se nyn\u00ed v t\u00edmto vzorcem v\u00fdpo\u010dtu TBRt zab\u00fdvat, m\u00e1 zv\u011bdavost je uspokojena t\u00edm, \u017ee v koeficientu vzorce p\u0159edstavuje TBRt<\/sub><\/strong> mezidenn\u00ed v\u00fdnos 91-denn\u00edch dluhopis\u016f<\/strong> (US Treasury Bills). Je to pro mou pot\u0159ebu v\u00fdpo\u010dtu nyn\u00ed v\u00edcem\u00e9n\u011b zanedbateln\u00e1 \u010d\u00e1stka, nicm\u00e9n\u011b p\u0159edstavuje kladn\u00e9 \u010d\u00edslo<\/strong>, co\u017e je nyn\u00ed to nejpodstatn\u011bj\u0161\u00ed zji\u0161t\u011bn\u00ed pro dal\u0161\u00ed \u00favahy.<\/span><\/p>\n

\u00a0 Shrnuto, pokud vypo\u010dtu \u201eKoeficient<\/strong>\u201c (tedy k hodnot\u011b jedna<\/strong> p\u0159ipo\u010d\u00edt\u00e1m hodnotu CDRt<\/sub><\/strong>\u00a0vypo\u010dtenou pomoc\u00ed zn\u00e1m\u00fdch \u010d\u00edsel v\u00fd\u0161e (podle po\u010de\u0161t\u011bn\u00e9ho vzorce) a k tomuto p\u0159id\u00e1m mikroskopickou \u010d\u00e1stku<\/strong> vypl\u00fdvaj\u00edc\u00ed z mezidenn\u00edho v\u00fdnosu z \u00farok\u016f dluhopis\u016f) a t\u00edmto Koeficientem vyn\u00e1sob\u00edm v\u010derej\u0161\u00ed hodnotu SPVXSTR Indexu \u2013 dostanu novou hodnotu<\/strong> tohoto SPVXSTR Indexu<\/strong> pro dne\u0161n\u00ed den<\/strong>, je bu\u010f vy\u0161\u0161\u00ed nebo ni\u017e\u0161\u00ed. SPVXSTR Indexu Index bu\u010f roste nebo kles\u00e1, VXX tak roste nebo kles\u00e1 tak\u00e9.<\/span><\/p>\n

\u00a0 Ve sv\u011btle t\u00e9to vcelku jednoduch\u00e9 logiky v\u00fdpo\u010dtu, kdy se na mezidenn\u00ed b\u00e1zi tv\u016frce SPVXSTR Indexu zbavuje levn\u011bj\u0161\u00edch bli\u017e\u0161\u00edch VX futures a nakupuje dra\u017e\u0161\u00ed vzd\u00e1len\u011bj\u0161\u00ed VX futures, bych mohl asi opravdu jednodu\u0161e konstatovat n\u00e1sleduj\u00edc\u00ed. \u201eProto\u017ee je \u010dasov\u00e1 struktura VX futures po v\u011bt\u0161inu \u010dasu (cca 80%) v Contango, kdy je prvn\u00ed VX futures levn\u011bj\u0161\u00ed ne\u017e dra\u017e\u0161\u00ed druh\u00e9 VX futures, je takov\u00e9 rolov\u00e1n\u00ed \u201ez levn\u011bj\u0161\u00edho do dra\u017e\u0161\u00edho\u201c, z dlouhodob\u00e9ho pohledu, jasn\u011b ztr\u00e1tov\u00e1 z\u00e1le\u017eitost a je p\u0159\u00ed\u010dinou prachb\u00eddn\u00e9 v\u00fdkonnosti Indexu a tak\u00e9 VXX<\/em>\u201c.<\/span><\/p>\n

\n

Mechanika VXX<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Ve sv\u011btle ji\u017e napsan\u00fdch \u010dl\u00e1nk\u016f o spreadov\u00fdch kombinac\u00edch s VX futures kontrakty jsem se zam\u011b\u0159oval, pro jednodu\u0161\u0161\u00ed logiku p\u0159\u00edstupu, pozorov\u00e1n\u00edm cenov\u00e9ho chov\u00e1n\u00ed \u201eLong Kalend\u00e1\u0159n\u00edho Spreadu<\/strong>\u201c dvou VX futures kontrakt\u016f, tedy jak\u00e1 bude cena t\u00e9to kombinace, kdy\u017e VX futures s bli\u017e\u0161\u00ed expirac\u00ed prod\u00e1m<\/strong> a sou\u010dasn\u011b nakoup\u00edm VX futures se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed<\/strong>. Pokud takovou kombinaci nakoup\u00edm, budu se sna\u017eit takto u\u010dinit za co nejm\u00e9n\u011b, proto\u017ee budu spol\u00e9hat, \u017ee cena tohoto spreadu poroste a j\u00e1 vyd\u011bl\u00e1m na r\u016fstu ceny m\u00e9 nakoupen\u00e9 spreadov\u00e9 kombinace, toto jsem mysl\u00edm ji\u017e v minulosti oz\u0159ejmil a nen\u00ed to nic nepochopiteln\u00e9ho. Proto\u017ee jsem ale u problematiky VXX Volatility ETN, kter\u00e9 velmi v\u011brn\u011b kop\u00edruje SPVXSTR Index a kter\u00e9 je vyrobeno jako neust\u00e1l\u00e9 mezidenn\u00ed rolov\u00e1n\u00ed z prvn\u00edho VX futures do druh\u00e9ho VX futures v po\u0159ad\u00ed (podle expirace), m\u016f\u017ee mi k pochopen\u00ed z\u00e1kladn\u00ed mechaniky pohybu VXX pomoci pr\u00e1v\u011b pochopen\u00ed chov\u00e1n\u00ed spreadu t\u011bchto prvn\u00edch dvou VX futures kontrakt\u016f. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je graficky zn\u00e1zorn\u011bna cenov\u00e1 situace za obdob\u00ed 2017 a\u017e do dne\u0161n\u00edch dn\u016f (konec roku 2019), kdy je v grafu vyzna\u010dena v horn\u00ed hn\u011bd\u00e9 k\u0159ivce<\/strong> hodnota Spreadu -VX1\/+VX2<\/strong> a modrou k\u0159ivkou<\/strong> je vyobrazena v\u00fdkonnost SPVXSTR Indexu<\/strong> za stejn\u00e9 obdob\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Spread -VX1\/+VX2 je prolo\u017een \u010dervenou osou<\/strong>, kter\u00e1 ozna\u010duje nulovou hodnotu<\/strong> jeho ceny. Z p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f, ale i na z\u00e1klad\u011b jednoduch\u00e9 matematick\u00e9 \u00favahy, je jasn\u00e9, \u017ee pokud je hodnota tohoto spreadu men\u0161\u00ed ne\u017e nula, tak to jednodu\u0161e znamen\u00e1, \u017ee jsem za prodej prvn\u00edho VX futures obdr\u017eel v\u00edce pen\u011bz, ne\u017e jsem musel vynalo\u017eit na n\u00e1kup druh\u00e9ho VX futures. Toto pak nazna\u010duje poru\u0161en\u00ed obvykl\u00e9 Term Structure<\/a><\/strong><\/span>\u00a0a tomuto stavu trh\u016f VX futures se \u0159\u00edk\u00e1 Backwardation<\/strong>. Nemus\u00edm b\u00fdt zrovna velk\u00fd analytik graf\u016f, abych si nev\u0161iml, \u017ee v p\u0159\u00edpadech, kdy se trh ocitl pod \u00farovn\u00ed nula (tedy v Backwardation), tak za\u010dala hodnota SPVXSTR Indexu velmi strm\u011b nar\u016fstat<\/strong>, tyto stavy jsem na obr\u00e1zku vyzna\u010dil v \u010derven\u00fdch obd\u00e9ln\u00edc\u00edch<\/strong>. V ostatn\u00edch obdob\u00edch, kdy byla hodnota Spreadu -VX1\/+VX2 nad hodnotou nula (tedy v Contango<\/strong>) hodnota SPVXSTR Indexu vytrvale ztr\u00e1cela<\/strong>. Zcela na okraj jsem v grafu vyzna\u010dil vrcholy v\u00fdst\u0159el\u016f hodnot SPVXSTR Indexu (\u010dern\u00e9 horozint\u00e1ln\u00ed \u0161ipky), stoj\u00ed opravdu za zaznamen\u00e1n\u00ed, \u017ee pokud nastane n\u011bjak\u00fd budouc\u00ed vrchol cenov\u00e9 hodnoty, tak velmi st\u011b\u017e\u00ed tento vrchol p\u0159ekon\u00e1v\u00e1 minul\u00e9 \u00farovn\u011b hodnot indexu, za pov\u0161imnut\u00ed nap\u0159\u00edklad stoj\u00ed situace nejvy\u0161\u0161\u00edho vrcholu v grafu z po\u010d\u00e1tku \u00fanora 2018, kter\u00fd m\u016f\u017ee b\u00fdt pr\u00e1vem ozna\u010den jako \u010dern\u00fd den v d\u011bjin\u00e1ch \u201eextr\u00e9m\u016f volatility\u201c \u2013 st\u011b\u017e\u00ed p\u0159ekonal vrcholy vytvo\u0159en\u00e9 m\u00e9n\u011b ne\u017e p\u0159ed rokem p\u0159edch\u00e1zej\u00edc\u00edm t\u00e9to ud\u00e1losti.<\/span><\/p>\n

\u00a0 Obr\u00e1zek jako by potvrzoval v\u00fd\u0161e uveden\u00e1 tvrzen\u00ed, \u017ee Contango p\u016fsob\u00ed proti r\u016fstu ceny SPVXSTR Indexu (pota\u017emo VXX). SPVXSTR Index nebo VXX se pak zotavuje jenom proto, \u017ee se trh VX futures ob\u010das ocit\u00e1 v Backwardation (v dob\u011b turbulenc\u00ed). Je to ale mo\u017en\u00e1 nep\u0159esn\u00fd v\u00fdklad, se kter\u00fdm je mo\u017en\u00e9 se p\u0159i interpretaci sl\u00e1bnouc\u00ed v\u00fdkonnosti VXX v \u010dase setkat nap\u0159\u00edklad v tradersk\u00fdch m\u00e9di\u00edch, dalo by se mo\u017en\u00e1 i odv\u00e1\u017en\u011b konstatovat, \u017ee je to jen jak\u00e1si polovi\u010dn\u00ed pravda.<\/span><\/p>\n

\u00a0 Pro vysv\u011btlen\u00ed takov\u00e9ho nep\u0159esn\u00e9ho v\u00fdkladu pou\u017eiji n\u00e1sleduj\u00edc\u00ed modelovou situaci. Po cel\u00fd sledovan\u00fd m\u011bs\u00edc (rolovac\u00ed periodu) si stanov\u00edm, \u017ee ceny obou VX futures budou stejn\u00e9 a budou v Contango. Cena VX prvn\u00edho futures<\/strong> bude 13,00<\/strong> a cena VX druh\u00e9ho futures<\/strong> bude 14,00<\/strong>. Pak by m\u011blo b\u00fdt sni\u017eov\u00e1n\u00ed ceny Indexu v \u010dase zaru\u010deno. Podle vzorce – Dne\u0161n\u00ed hodnota SPVXSTR Indexu (IndexTrt<\/sub>)<\/strong> (v \u010dase \u201et\u201c) je rovna v\u010derej\u0161\u00ed hodnot\u011b SPVXSTR Indexu (IndexTrt-1<\/sub>)<\/strong> \u00a0(v \u010dase t-1 = v\u010dera) vyn\u00e1soben\u00e1<\/strong> o n\u011bjak\u00fd Koeficient <\/strong>(ten u\u017e um\u00edm vypo\u010d\u00edtat) si p\u0159i v\u00fdpo\u010dtu v Koeficientu podle p\u0159edch\u00e1zej\u00edc\u00edho textu dosad\u00edm tyto stejn\u00e9 hodnoty 13,00 a 14,00. Co to ud\u011bl\u00e1 s hodnotou CDRt<\/sub><\/strong> (Contract Daily Return), jako hlavn\u00ed komponentou v\u00fdpo\u010dtu nov\u00e9 hodnoty Indexu.<\/span><\/p>\n

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\u00a0\u00a0 Ze vzorce pro v\u00fdpo\u010det Koeficientu<\/strong> je jasn\u00e9, \u017ee \u010ditatel i jmenovatel pro CDRt<\/sub><\/strong> (Contract Daily Return) je stejn\u00fd<\/strong> a celkov\u011b bude zlomek roven jedn\u00e9<\/strong>. Proto\u017ee od hodnoty zlomku ode\u010d\u00edt\u00e1me jedna \u2013 je celkov\u00e9 CDRt<\/sub><\/strong> rovn\u00e9 hodnot\u011b nula<\/strong>. Co to znamen\u00e1? P\u0159ipomenu obr\u00e1zek v\u00fdpo\u010dtu podstaty v\u00fdkonnosti VXX, tedy v\u00fdkonnosti pohybu SPVXSTR Indexu.<\/span><\/p>\n

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\u00a0\u00a0 Dne\u0161n\u00ed hodnota je V\u010derej\u0161\u00ed hodnota kr\u00e1t Koeficient. Pokud je hodnota CDRt<\/sub> rovn\u00e1 nule, tak SPVXSTR Index nem\u00e1 \u017e\u00e1dnou v\u00fdkonnost, potom je vzorec pro v\u00fdpo\u010det hodnoty Indexu:<\/span><\/p>\n

\u00a0\u00a0 Dne\u0161n\u00ed hodnota SPVXSTR Indexu<\/strong> = V\u010derej\u0161\u00ed hodnota SPVXSTR Indexu<\/strong> x Koeficient<\/strong>\u2026..a ten je = (1 + nula + TBRt<\/sub>)<\/strong><\/span><\/p>\n

\u00a0 To je impozantn\u00ed zji\u0161t\u011bn\u00ed, proto\u017ee pokud by trhy setrv\u00e1valy neust\u00e1le v takov\u00e9m ide\u00e1ln\u00edm Contango<\/strong>, potom by musela hodnota Indexu (a tak\u00e9 VXX) trvale r\u016fst<\/strong> pr\u00e1v\u011b jen o v\u00fdnos 91-denn\u00edch dluhopis\u016f<\/strong>!!! Tak\u017ee \u017e\u00e1dn\u00fd vytrval\u00fd pokles jako na historick\u00e9m grafu VXX. Stejn\u00fd v\u00fdpo\u010det bych samoz\u0159ejm\u011b obdr\u017eel, pokud bychom pou\u017eil situaci, kdy je trh VX futures v ide\u00e1ln\u00edm Backwardation a za hodnoty VX futures dosadili pouze hodnoty nap\u0159\u00edklad 15,00 pro prvn\u00ed VX futures a 13,00 pro hodnoty druh\u00e9ho VX futures. Op\u011bt by Index rostl pouze o v\u00fdnos 91-denn\u00edch dluhopis\u016f, tedy \u017e\u00e1dn\u00e9 dramatick\u00e9 r\u016fsty d\u00edky rolov\u00e1n\u00ed z \u201edra\u017e\u0161\u00edho do levn\u011bj\u0161\u00edho\u201c.<\/span><\/p>\n

\u00a0\u00a0 Kde se tedy ztr\u00e1ta v\u00fdkonnosti Indexu a VXX vlastn\u011b bere? P\u0159esto\u017ee vypl\u00fdv\u00e1 z podstaty Contango nebo Backwardation, co\u017e je patrn\u00e9 na p\u0159edch\u00e1zej\u00edc\u00edm d\u016fkazu, mus\u00ed b\u00fdt zp\u016fsobena tak\u00e9 jinou skute\u010dnost\u00ed. Touto skute\u010dnost\u00ed je samotn\u00e1 \u010dasov\u00e1 struktura VX futures a zejm\u00e9na skute\u010dnost, \u017ee VX futures, tak jako jak\u00e9koliv jin\u00e9 futures, je v \u010dase p\u0159itahov\u00e1no ke spotov\u00e9 cen\u011b futures, v na\u0161em p\u0159\u00edpad\u011b k VIX Indexu. Jak se jednotliv\u00e9 prvn\u00ed dva kontrakty sm\u011brem ke sv\u00e9 bl\u00ed\u017e\u00edc\u00ed expiraci bl\u00ed\u017e\u00ed ke spotov\u00e9 cen\u011b, ke kter\u00e9 jsou p\u0159itahov\u00e1ny, tak se projevuje pr\u00e1v\u011b ztr\u00e1tovost tohoto rolov\u00e1n\u00ed, ka\u017ed\u00fd z\u00a0kontrakt\u016f je toti\u017e p\u0159itahov\u00e1n jinou silou<\/strong> a v\u011bt\u0161\u00ed p\u0159ita\u017elivost p\u016fsob\u00ed na prvn\u00ed VX futures v\u00a0po\u0159ad\u00ed (ztr\u00e1c\u00ed hodnotu rychleji) ne\u017e je p\u0159ita\u017elivost (a ztr\u00e1ta ceny) druh\u00e9ho VX futures v\u00a0po\u0159ad\u00ed. Je to tedy zp\u016fsobeno dynamikou ztr\u00e1ty<\/strong> ceny obou futures kontrakt\u016f sm\u011brem k bl\u00ed\u017e\u00edc\u00ed se expirac\u00ed nikoli tedy pouhou skute\u010dnost\u00ed, \u017ee trh VX futures je v Contango. Aby toti\u017e SPVXSTR Index „systematicky“ klesal, tak jako ve skute\u010dnosti ve valn\u00e9 \u010d\u00e1sti \u010dasu, mus\u00ed b\u00fdt v\u00fd\u0161e uveden\u00fd zlomek ve vzorci s v\u00e1hami a cenami obou VX futures (CDRt<\/sub>) men\u0161\u00ed ne\u017e jedna, t\u00edm pak bude cel\u00fd koeficient men\u0161\u00ed ne\u017e jedna a bude zp\u016fsobovat viditelnou mezidenn\u00ed ztr\u00e1tu SPVXSTR Indexu a tak\u00e9 VXX. Aby byl zlomek men\u0161\u00ed ne\u017e jedna, tak nejjednodu\u0161\u0161\u00ed matematickou p\u0159\u00ed\u010dinou je skute\u010dnost, \u017ee \u010ditatel zlomku (dne\u0161n\u00ed ceny VX futures) je men\u0161\u00ed ne\u017e jmenovatel zlomku (v\u010derej\u0161\u00ed ceny VX futures), a to je pr\u00e1v\u011b v p\u0159\u00edpadech postupn\u00e9 ztr\u00e1ty ceny obou VX futures vlivem „p\u0159itahov\u00e1n\u00ed“ ceny t\u011bchto futures kontrakt\u016f ke spotov\u00e9 cen\u011b (VIX Indexu) s bl\u00ed\u017e\u00edc\u00ed se expirac\u00ed futures. Toto se fakticky d\u011bje po v\u011bt\u0161inu \u010dasu \u017eivota VX futures tvo\u0159\u00edc\u00ed v\u00fdpo\u010det SPVXSTR Indexu a v obdob\u00edch, kdy tomu tak nen\u00ed, n\u00e1m SPVXSTR Index a samoz\u0159ejm\u011b VXX p\u0159edv\u00e1d\u00ed „nesystematick\u00e9“ pohyby.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Nepohybuji se ale v \u201elaboratorn\u00edch podm\u00ednk\u00e1ch\u201c, ale na re\u00e1ln\u00fdch trz\u00edch, tak\u017ee podobn\u00fd stav trval\u00e9ho a konstantn\u011b velik\u00e9ho Contango je utopick\u00e1 p\u0159edstava a slou\u017e\u00ed pouze k\u00a0dokreslen\u00ed principu fungov\u00e1n\u00ed Volatility ETN s\u00a0tickerem VXX a vyjasn\u011bn\u00ed fungov\u00e1n\u00ed z\u00e1kladn\u00ed \u010d\u00e1sti vzorce v\u00fdpo\u010dtu v\u00fdkonnosti tohoto instrumentu. Mohu si tedy na dvou obdob\u00edch uk\u00e1zat, jak v\u00a0re\u00e1lu takov\u00fd princip vlastn\u011b funguje. Vyu\u017eiji k\u00a0takov\u00e9 demonstraci ji\u017e data \u201enov\u00e9ho\u201c VXX a tyto data si porovn\u00e1m se situac\u00ed Contango\/Backwardation na trz\u00edch VX futures, kter\u00e9 ur\u010duj\u00ed (d\u00edky sv\u00e9mu m\u011bn\u00edc\u00edmu se mixu) v\u00fdkonnost tohoto ETN. Na obr\u00e1zku n\u00ed\u017ee je zobrazeno obdob\u00ed posledn\u00edho roku 2019, kter\u00e1 bylo celkem poklidn\u00e9 a po drtivou \u010d\u00e1st sv\u00e9ho \u010dasu setrv\u00e1valo v\u00a0tr\u017en\u00ed konstelaci Contango m\u011b\u0159en\u00e9 na prvn\u00edch dvou VX futures kontraktech.<\/span><\/p>\n

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\u00a0\u00a0 M\u011b\u0159en\u00ed Contango<\/strong> jsem si op\u011bt zabezpe\u010dil vytvo\u0159en\u00edm Spreadu -VX1\/+VX2<\/strong> a sledoval jeho referen\u010dn\u00ed cenovou \u00farove\u0148 na hodnot\u011b nula<\/strong>. Pouze t\u0159i velmi kr\u00e1tk\u00e1 obdob\u00ed byla ve znamen\u00ed poklesu pod nulovou hranici, po zbytek roku setrv\u00e1val spread a trhy VX futures v Contango. VXX, jako replikuj\u00edc\u00ed n\u00e1stroj SPVXSTR Indexu, krom\u011b t\u011bchto kr\u00e1tk\u00fdch obdob\u00ed setrv\u00e1val ve vydatn\u00e9m poklesu, aby z hodnoty 45.74 USD ke dni 2.1.2019 zakon\u010dil na hodnot\u011b 15.76 USD ke 30.12.2019, za toto obdob\u00ed tak ztratil -30 USD, tedy zhruba dv\u011b t\u0159etiny sv\u00e9 hodnoty. Na dal\u0161\u00edm obr\u00e1zku je zobrazeno obdob\u00ed roku 2018, tedy zna\u010dn\u011b turbulentn\u00ed obdob\u00ed z pohledu obchodov\u00e1n\u00ed s deriv\u00e1ty Volatility, kter\u00e9 p\u0159ineslo jin\u00fd obr\u00e1zek.<\/span><\/p>\n

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\u00a0\u00a0 Trhy VX futures m\u011b\u0159en\u00e9 spreadovou kombinac\u00ed -VX1\/+VX2 z\u016fst\u00e1valy v\u00a0Backwardation<\/strong> po obrovskou \u010d\u00e1st roku (na hodnot\u011b spreadu men\u0161\u00ed ne\u017e nula) a zp\u016fsobily, \u017ee ve mnou sledovan\u00e9m obdob\u00ed ke dni 25.1.2018 m\u011blo VXX hodnotu 27.66 USD, ale na konci roku zakon\u010dilo na \u00farovni 46.99 USD ke dni 31.12.2018, \u017e\u00e1dn\u00fd vytrval\u00fd pokles se nekonal. VXX rostlo v\u00a0obdob\u00edch na lev\u00e9 a prav\u00e9 stran\u011b obr\u00e1zku (Backwardation), v\u00a0obdob\u00ed uprost\u0159ed obr\u00e1zku klesalo (Contango).<\/span><\/p>\n

\u00a0\u00a0 Co tyto stavy chov\u00e1n\u00ed a princip konstrukce vlastn\u011b ukazuj\u00ed pro obchodn\u00ed \u00fa\u010dely? VXX m\u016f\u017ee b\u00fdt dobr\u00fd investi\u010dn\u00ed n\u00e1stroj s p\u0159im\u011b\u0159en\u00fdm rizikem, pokud toto obchodov\u00e1n\u00ed p\u0159izp\u016fsob\u00edm alespo\u0148 z\u00e1kladn\u00edm vypozorovan\u00fdm vzorc\u016fm chov\u00e1n\u00ed vypl\u00fdvaj\u00edc\u00edch z Term Structure na prvn\u00edch dvou VX futures kontraktech. VXX m\u016f\u017ee b\u00fdt tak\u00e9 dobr\u00fd hed\u017eovac\u00ed n\u00e1stroj, kter\u00fd by mohl zaji\u0161\u0165ovat pozice, kter\u00e9 mohou nap\u0159\u00edklad utrp\u011bt masivn\u00edm n\u00e1r\u016fstem volatility na akciov\u00fdch trz\u00edch nebo zaji\u0161\u0165ovat jin\u00e9 pozice na obdobn\u00fdch a korelovan\u00fdch deriv\u00e1tech volatility.<\/span><\/p>\n

\n

Obchodov\u00e1n\u00ed VXX<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Pro\u010d se tak \u0161iroce pozastavuji (pro n\u011bkoho mo\u017en\u00e1 zbyte\u010dn\u011b) zrovna nad t\u00edmto investi\u010dn\u00edm n\u00e1strojem? Z\u00a0jednoduch\u00e9ho d\u016fvodu, VXX toti\u017e nen\u00ed \u201e\u017e\u00e1dn\u00e9 vo\u0159ez\u00e1v\u00e1tko\u201c a nestoj\u00ed na n\u011bjak\u00e9m pomysln\u00e9m okraji tradersk\u00e9ho z\u00e1jmu, zejm\u00e9na z\u00a0d\u016fvod\u016f a p\u0159\u00ed\u010din unik\u00e1tn\u00edch pohyb\u016f a dlouhodob\u00e9ho trendu jeho vytrvale klesaj\u00edc\u00ed ceny. Podle dostupn\u00fdch \u00fadaj\u016f bylo Volume (po\u010det zobchodovan\u00fdch kus\u016f) podkladu VXX za m\u011bs\u00edc prosinec 2019 \u00factyhodn\u00fdch 784 617\u00a0000 kus\u016f, a to je obrovsk\u00e9 \u010d\u00edslo. To samoz\u0159ejm\u011b nasv\u011bd\u010duje obrovsk\u00e9 likvidit\u011b a hladk\u00e9mu vypln\u011bn\u00ed obchodn\u00edch p\u0159\u00edkaz\u016f. Obchodov\u00e1n\u00ed VXX ov\u0161em nen\u00ed zcela bez \u201evad na kr\u00e1se\u201c a je t\u0159eba se m\u00edt p\u0159i nakl\u00e1d\u00e1n\u00ed s\u00a0t\u00edmto titulem na pozoru.<\/span><\/p>\n

Restrikce a poplatky<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Je t\u0159eba nejd\u0159\u00edve upozornit na skute\u010dnost, \u017ee jako ob\u010dan EU nemohu na sv\u00e9m \u00fa\u010dtu p\u0159\u00edmo nakupovat podklady VXX, proto\u017ee to odporuje vydan\u00e9 sm\u011brnici o restrikci po\u0159izov\u00e1n\u00ed n\u011bkter\u00fdch ETF\/ETN, mezi n\u011b\u017e VXX pat\u0159\u00ed. Jako klient Interactive Brokers se o tom mohu p\u0159esv\u011bd\u010dit ve sv\u00e9 platform\u011b.<\/span><\/p>\n

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\u00a0\u00a0 \u010cerven\u00fd punt\u00edk u ozna\u010den\u00ed tickeru (1)<\/strong><\/span> oznamuje nedostupnost tohoto titulu pro moje obchody. Nic s t\u00edm nenad\u011bl\u00e1m a up\u0159\u00edmn\u011b \u0159e\u010deno je mi to tak\u00e9 jedno, tato restrikce se toti\u017e net\u00fdk\u00e1 op\u010dn\u00edch kontrakt\u016f. Pokud jsem zm\u00ednil obrovsk\u00e9 Volume na podkladech, tak to bude samoz\u0159ejm\u011b v\u00e9st ke zna\u010dn\u00e9 likvidit\u011b tak\u00e9 na op\u010dn\u00edch kontraktech, co\u017e je to, co m\u011b eminentn\u011b zaj\u00edm\u00e1. Pomoc\u00ed op\u010dn\u00edch kontrakt\u016f mohu synteticky napodobit dr\u017een\u00ed samotn\u00fdch podklad\u016f, pokud budu na sv\u00fdch opc\u00edch p\u0159i\u0159azen (automaticky p\u0159i expiraci nebo za \u017eivota Short VXX op\u010dn\u00edho kontraktu) obdr\u017e\u00edm na sv\u016fj \u00fa\u010det ETN VXX stejn\u011b \u201erestrikce nerestrikce\u201c, pokud provedu Exercise Long VXX opc\u00ed (op\u011bt nap\u0159\u00edklad automaticky p\u0159i expiraci nebo ru\u010dn\u011b za \u017eivota Long VXX op\u010dn\u00edho kontraktu) stane se to sam\u00e9. P\u0159i\u0159azen\u00e9 nebo uplatn\u011bn\u00e9 podklady pak sm\u011ble zlikviduji p\u0159\u00edkazem z m\u00e9 obchodn\u00ed platformy. J\u00e1 ale nem\u00e1m \u017e\u00e1dn\u00fd z\u00e1jem dr\u017eet podkladov\u00e9 VXX, proto\u017ee je s t\u00edmto dr\u017een\u00edm spojeno dal\u0161\u00ed riziko, a t\u00edm jsou \u00fa\u010dtovan\u00e9 poplatky za p\u016fj\u010den\u00ed podklad\u016f<\/strong> k\u00a0jeho shortov\u00e1n\u00ed<\/strong> (2)<\/strong><\/span>. V p\u0159\u00edpad\u011b p\u0159i\u0159azen\u00ed Short Call nebo uplatn\u011bn\u00ed Long Put obdr\u017e\u00edm na sv\u016fj \u00fa\u010det odpov\u00eddaj\u00edc\u00ed po\u010det Short kus\u016f VXX a za toto p\u016fj\u010den\u00ed podklad\u016f mi bude \u00fa\u010dtov\u00e1n poplatek, aktu\u00e1ln\u011b ve v\u00fd\u0161i 3.08% p.a. Budu se tak jednozna\u010dn\u011b cht\u00edt obchodn\u011b chovat tak, abych se v takov\u00e9 v expozici v p\u0159\u00edm\u00e9m podkladu VXX neocitl, pokud ano, na nejnutn\u011bji nejkrat\u0161\u00ed dobu. \u00a0\u00a0<\/span><\/p>\n

Reverzn\u00ed Split<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Setrvale klesaj\u00edc\u00ed cena VXX si vynucuje nutnost \u00fapravy ceny z\u00e1sahem tv\u016frce tohoto investi\u010dn\u00edho n\u00e1stroje. Podle prospektu emitenta si Barclays Bank Plc vyhrazuje pr\u00e1vo v p\u0159\u00edpad\u011b, \u017ee cena klesne pod 25 USD, kdykoliv prov\u00e9st Reverzn\u00ed Split, tento Reverzn\u00ed Split pak bude v pom\u011bru 4:1. Historicky bylo provedeno v tomto duchu emitentem p\u011bt reverzn\u00edch split\u016f.<\/span><\/p>\n

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\u00a0\u00a0 Vzhledem k tomu, \u017ee se v sou\u010dasnosti cena pohybuje mezi 14 USD a\u017e 15 USD se d\u00e1 rozumn\u011b p\u0159edpokl\u00e1dat, \u017ee tato operace bude provedena tak\u00e9 v leto\u0161n\u00edm roce, pokud samoz\u0159ejm\u011b VXX nenabude n\u011bjak\u00fdch z\u00e1vratn\u011bj\u0161\u00edch hodnot. Co to prakticky znamen\u00e1 pro tradery, kte\u0159\u00ed maj\u00ed na sv\u00fdch \u00fa\u010dtech podkladov\u00e9 VXX? Nic v\u00fdrazn\u011b p\u0159ekotn\u00e9ho nebo zni\u010duj\u00edc\u00edho. Dr\u017een\u00fd po\u010det akci\u00ed VXX na m\u00e9m \u00fa\u010dtu se vyd\u011bl\u00ed \u010dty\u0159mi a tento nov\u00fd po\u010det mi na m\u00e9m \u00fa\u010dtu z\u016fstane. Tyto nov\u00e9 VXX ale budou \u010dty\u0159ikr\u00e1t dra\u017e\u0161\u00ed, ne\u017e p\u016fvodn\u00ed (nyn\u00ed ji\u017e zru\u0161en\u00e9) VXX. Pokud budu v okam\u017eiku splitov\u00e9 operace vlastnit po\u010det akci\u00ed, kter\u00fd nen\u00ed d\u011bliteln\u00fd p\u0159esn\u011b \u010dty\u0159mi, budou mi tyto zbytkov\u00e9 VXX proplaceny za posledn\u00ed Close p\u0159edch\u00e1zej\u00edc\u00ed splitu. V p\u0159\u00edpad\u011b dr\u017een\u00ed op\u010dn\u00edho kontraktu (to je to, co m\u011b zaj\u00edm\u00e1) se op\u011bt nestane nic mimo\u0159\u00e1dn\u00e9ho. Reverzn\u00ed split 4:1 zp\u016fsob\u00ed, \u017ee se sn\u00ed\u017e\u00ed po\u010det podklad\u016f na jeden op\u010dn\u00ed kontrakt z po\u010dtu 100 kus\u016f na jednu \u010dtvrtinu, tedy na 25 kus\u016f. Pokud jsem tedy obchodoval Long Call VXX a zam\u00fd\u0161lel jsem, \u017ee za tento op\u010dn\u00ed kontrakt obdr\u017e\u00edm 100x Long VXX akci\u00ed p\u0159i jeho Exercise, tak p\u0159i tomto \u00fakonu po Reverzn\u00edm Splitu obdr\u017e\u00edm pouze 25x Long VXX podklad\u016f, tyto v\u0161ak budou po okam\u017eiku splitov\u00e9 operace \u010dty\u0159ikr\u00e1t dra\u017e\u0161\u00ed ne\u017e p\u016fvodn\u00ed p\u0159edsplitov\u00e9 VXX, v dolarov\u00e9m vyj\u00e1d\u0159en\u00ed tak o nic nep\u0159ijdu.<\/span><\/p>\n

Short, Long nebo oboj\u00ed\u2026<\/strong><\/span><\/h2>\n

\u00a0 Nazna\u010den\u00e1 obchodn\u00ed \u00faskal\u00ed by nem\u011bla pou\u010den\u00e9ho tradera odradit k s\u00e1hnut\u00ed si na investici do tohoto bezesporu skv\u011bl\u00e9ho investi\u010dn\u00edho n\u00e1stroje. Nen\u00ed asi nic p\u0159ekvapiv\u00e9ho, \u017ee k obchodov\u00e1n\u00ed VXX se nab\u00edz\u00ed, p\u0159i pohledu na jeho historick\u00fd cenov\u00fd pr\u016fb\u011bh, jednozna\u010dn\u011b s\u00e1zet na jeho vytrval\u00fd pokles. Ji\u017e jsem nazna\u010dil, \u017ee m\u011b nezaj\u00edmaj\u00ed \u201ebreky nad rozlit\u00fdm ml\u00e9kem\u201c nemo\u017enosti shortovat podkladov\u00e9 akcie VXX d\u00edky restrikci, ale zejm\u00e9na proto, \u017ee je to nev\u00fdhodn\u00e9 pro poplatkovou politiku spojenou se zap\u016fj\u010den\u00edm podklad\u016f m\u00fdm brokerem. Jako op\u010dn\u00edmu obchodn\u00edkovi se mi ale nab\u00edz\u00ed velmi kvalitn\u00ed arzen\u00e1l mo\u017enost\u00ed, jak mohu takov\u00fd obchod na VXX realizovat pomoc\u00ed op\u010dn\u00edch kontrakt\u016f a vypo\u0159\u00e1dat se s rizikem ob\u010dasn\u00fdch zna\u010dn\u00fdch v\u00fdst\u0159el\u016f cen VXX d\u00edky ot\u0159es\u016fm na akciov\u00fdch trz\u00edch. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee chci techniky obchodn\u00edch p\u0159\u00edstup\u016f rozvinout v\u00a0dal\u0161\u00edch \u010dl\u00e1nc\u00edch po sezn\u00e1men\u00ed s\u00a0dal\u0161\u00edmi deriv\u00e1ty volatility nav\u00e1zan\u00fdmi na VIX Index a VX futures, p\u0159ece jen se nab\u00edz\u00ed ji\u017e nyn\u00ed velmi mal\u00e1 \u00favaha, jak by bylo mo\u017en\u00e9 prov\u00e1d\u011bt op\u010dn\u00ed obchody s\u00a0p\u0159im\u011b\u0159enou efektivitou. Vytv\u00e1\u0159en\u00ed cenov\u00fdch vrchol\u016f a obecn\u011b stoup\u00e1n\u00ed hodnoty VXX je spojeno s\u00a0efekty Contango a Backwardation na trz\u00edch VX futures. Pozorov\u00e1n\u00ed hodnot VX futures a zejm\u00e9na \u010dasov\u00e9 struktury t\u011bchto VX futures by pak m\u011blo b\u00fdt z\u00e1kladn\u00edm vod\u00edtkem, jak umis\u0165ovat nebo \u010dasovat vstupy do sv\u00fdch obchod\u016f. K\u00a0obchodov\u00e1n\u00ed Volatility ETN mohu p\u0159istupovat systematicky na z\u00e1klad\u011b n\u011bjak\u00e9ho vytvo\u0159en\u00e9ho a otestovan\u00e9ho mechanick\u00e9ho p\u0159\u00edstupu nebo mohu sv\u00e9 vstupy \u010dasovat podle aktu\u00e1ln\u00ed n\u00e1lady na trz\u00edch pr\u00e1v\u011b s\u00a0p\u0159ihl\u00e9dnut\u00edm ke stavu Term Structure na trhu VX futures.<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee nejsem propag\u00e1torem naked vypisov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f, v\u00fdpis Short Call nad cenou VXX, na ATM strike nebo i ITM strike v obdob\u00ed vypjat\u00e9ho Backwardation na VX futures a na cenov\u00fdch v\u00fdst\u0159elech VXX m\u016f\u017ee nab\u00eddnout velmi zaj\u00edmav\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti. S\u00e1zka na \u201emean reverting\u201c chov\u00e1n\u00ed volatility pak m\u016f\u017ee nab\u00eddnou zaj\u00edmav\u00e9 obchody. Pokud je toto naked Short Call vypisov\u00e1n\u00ed dopln\u011bno o n\u00e1kupy Long Call nad t\u011bmito vypsan\u00fdmi strike (Call Bear Spready) ve stejn\u011b vypjat\u00fdch chv\u00edl\u00edch, mohu vytvo\u0159it obchodn\u00ed syst\u00e9m s velmi p\u0159ijatelnou pravd\u011bpodobnost\u00ed \u00fasp\u011bchu a dobrou logikou. Mohu nakonec i odm\u00edtnou spekulaci na cenov\u00fd pohyb VXX pro vlastn\u00ed obchod v jeho nejobvyklej\u0161\u00edm sm\u011bru (trval\u00fd pokles VXX), ale mohu nakupov\u00e1n\u00edm VXX Long Call nebo VXX Call Bull Spread\u016f (levn\u011bj\u0161\u00ed varianta) chr\u00e1nit jin\u00e9 obchodn\u00ed pozice proti nenad\u00e1l\u00fdm ot\u0159es\u016fm na trz\u00edch a souvisej\u00edc\u00edch pohybech na volatilit\u011b na akciov\u00fdch trz\u00edch. Systematick\u00e9 kles\u00e1n\u00ed VXX, pro\u0161pikovan\u00e9 ob\u010dasn\u00fdmi v\u00fdst\u0159ely ceny, obchodovan\u00e9 pomoc\u00ed Long Put s del\u0161\u00ed dobou do expirace, je jedn\u00edm z nejlep\u0161\u00edch obchodn\u00edch p\u0159\u00edstup\u016f, na kter\u00e9 bych mohl obchodn\u00edky s t\u00edmto deriv\u00e1tem upozornit. Jasn\u011b danou v\u00fd\u0161i maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty v podob\u011b po\u0159izovac\u00ed ceny tohoto op\u010dn\u00edho kontraktu mohu nastavovat v\u00fdb\u011brem strike t\u00e9to po\u0159izovan\u00e9 Long Put (OTM, ATM, ITM), pravd\u011bpodobnost \u00fasp\u011bchu pak mohu \u0159\u00eddit nastaven\u00edm d\u00e9lky doby do expirace, kterou jsem si pro sv\u016fj kontrakt vybral. Pasivitu v tomto typu obchodu mohu naru\u0161it ob\u010dasn\u00fdm vypisov\u00e1n\u00edm Short Put opc\u00ed pod strike nakoupen\u00e9 Long Put opce a uzav\u00edr\u00e1n\u00edm t\u00e9to \u010dist\u011b Long pozice do Put Bear Spreadu s postupn\u00fdm p\u0159ipisov\u00e1n\u00edm Pr\u00e9mi\u00ed. Mohu prov\u00e1d\u011bt samoz\u0159ejm\u011b ob\u011b transakce s Call i Put kontrakty najednou a nemus\u00edm z\u016fst\u00e1vat pouze u t\u011bchto jednoduch\u00fdch Call a Put spreadov\u00fdch kombinac\u00ed. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0Sezn\u00e1men\u00edm se s\u00a0VXX by mohlo b\u00fdt dobr\u00fdm za\u010d\u00e1tkem miniseri\u00e1lu o produktech nav\u00e1zan\u00fdch na volatilitu a jej\u00ed chov\u00e1n\u00ed a mohlo by odejmout t\u011bmto produkt\u016fm stigma nevyzpytatelnosti a nebezpe\u010dnosti. Nen\u00ed v\u017edy v\u0161e tak jasn\u00e9, jak se na prvn\u00ed pohled zd\u00e1 a nen\u00ed v\u0161e tak hr\u016fzostra\u0161n\u00e9, jak se v\u011bt\u0161inou popisuje a uv\u00e1d\u00ed\u2026.:c)<\/span><\/p>\n

\u00a0Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a><\/strong><\/span>\u00a0<\/b>:c)<\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0Volatilitu mohu obchodovat mnoha zp\u016fsoby. Mohu se zam\u011b\u0159it na Implied Volatilitu jednotliv\u00fdch akciov\u00fdch titul\u016f nebo akciov\u00fdch index\u016f a zkou\u0161et vyu\u017e\u00edt jej\u00ed \u00farovn\u011b k zachycen\u00ed profit\u016f, kter\u00e9 by mohly vypl\u00fdvat pr\u00e1v\u011b z pohybu Implied Volatility. Nemus\u00edm ale nutn\u011b z\u016fst\u00e1vat jenom u t\u011bchto obchodn\u00edch p\u0159\u00edstup\u016f a mohu se pokusit obchodovat volatilitu Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":4067,"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":[37],"tags":[39,40,42],"class_list":["post-4022","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index","tag-vx-futures","tag-vx-spread"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-12S","jetpack-related-posts":[{"id":2853,"url":"https:\/\/dobretrejdy.com\/?p=2853","url_meta":{"origin":4022,"position":0},"title":"VVIX – Volatilita Volatility","author":"dobretrejdy :c)","date":"26.1.2019","format":false,"excerpt":"\u00a0 \u00a0\u00a0Gepard ub\u011bhne sto metr\u016f za \u010dty\u0159i vte\u0159iny, z\u00a0Olomouce do Brna pojedu ve sv\u00e9m aut\u011b hodinu a \u017eralok pr\u00fd plave stejn\u011b rychle, jako si to uh\u00e1n\u00ed Usain Bolt. Ka\u017ed\u00fd tvor nebo ka\u017ed\u00e1 v\u011bc, v\u0161e, co m\u00e1 schopnost pohybu, m\u00e1 svou vlastn\u00ed rychlost. M\u016f\u017eu ji nejr\u016fzn\u011bji m\u011b\u0159it, stopkami, tachometrem nebo prost\u00fdm\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":4022,"position":1},"title":"VX Futures – gravitace k VIX Indexu","author":"dobretrejdy :c)","date":"26.12.2017","format":false,"excerpt":"\u00a0\u00a0 Isaac Newton by m\u011bl radost. Nejenom\u017ee jeho dv\u011b koule hozen\u00e9 z\u00a0\u0161ikm\u00e9 v\u011b\u017ee v\u00a0Pise skon\u010dily v\u017edy bezpardonu v\u00a0italsk\u00e9m pa\u017eitu pod v\u011b\u017e\u00ed a potvrdily tak j\u00edm popsan\u00e9 gravita\u010dn\u00ed z\u00e1kony (a\u0165 s\u00a0nimi h\u00e1zel jakkoliv a m\u011bly r\u016fznou hmotnost), tak tak\u00e9 ka\u017ed\u00fd futures kontrakt (a\u0165 na n\u011bj p\u016fsob\u00ed cokoliv a m\u00e1 jakoukoliv moment\u00e1ln\u00ed\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":4022,"position":2},"title":"VX Futures","author":"dobretrejdy :c)","date":"28.11.2017","format":false,"excerpt":"\u00a0 \u00a0VX futures je kr\u00e1lem mezi deriv\u00e1ty volatility. Je nejv\u00fdznamn\u011bj\u0161\u00ed odvozeninou VIX Indexu a p\u0159edstavuje nejjednodu\u0161\u0161\u00ed formu, jak VIX Index v\u00a0praxi obchodovat. Tento deriv\u00e1t je mo\u017en\u00e9 obchodovat na CFE (Chicago Futures Exchange) pat\u0159\u00edc\u00ed pod k\u0159\u00eddla CBOE. Pokud tedy chcete m\u00edt k\u00a0dispozici aktu\u00e1ln\u00ed nezpo\u017ed\u011bn\u00e1 \u017eiv\u00e1 data t\u011bchto futures kontrakt\u016f, nezb\u00fdv\u00e1 ne\u017e\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4232,"url":"https:\/\/dobretrejdy.com\/?p=4232","url_meta":{"origin":4022,"position":3},"title":"VX Futures \u2013 \u201eThe Big Short\u201c","author":"dobretrejdy :c)","date":"20.3.2020","format":false,"excerpt":"\u00a0\u00a0 \u201ePro\u010d \u010dlov\u011bk nem\u00e1 chobot?\u201c byla jednoduch\u00e1 ot\u00e1zka, kterou polo\u017eil \u010desk\u00e9mu komikovi jeden z r\u00e1dobyvtipn\u00fdch \u010dten\u00e1\u0159\u016f v jist\u00e9m obl\u00edben\u00e9m \u010dasopise. Na tuto jeden z velik\u00e1n\u016f \u010desk\u00e9ho humoru su\u0161e odpov\u011bd\u011bl \u201e\u2026a vid\u011bl jste je v\u0161echny?\u201c a potvrdil mi mou vlastn\u00ed teorii o t\u00e9m\u011b\u0159 nekone\u010dn\u00e9 r\u016fznorodosti lidsk\u00fdch bytost\u00ed a jejich povah. Pro\u010d\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1470,"url":"https:\/\/dobretrejdy.com\/?p=1470","url_meta":{"origin":4022,"position":4},"title":"VX Futures – Volatility Spread \u2013 V.","author":"dobretrejdy :c)","date":"13.2.2018","format":false,"excerpt":"\u00a0 \u00a0P\u0159\u00edb\u011bh tohoto \u010dl\u00e1nku za\u010d\u00edn\u00e1 dopoledne 19. prosince 2017, je lehce p\u0159edv\u00e1no\u010dn\u00ed atmosf\u00e9ra a pozoruji, jak se vyv\u00edj\u00ed trhy s\u00a0deriv\u00e1ty volatility, jednotliv\u00fdmi futures na r\u016fzn\u00fdch trz\u00edch, abych mohl vyu\u017e\u00edt n\u011bjakou ze sledovan\u00fdch p\u0159\u00edle\u017eitost\u00ed k\u00a0dobr\u00e9mu obchodu. Takovou p\u0159\u00edle\u017eitost vid\u00edm na n\u00e1stroji s\u00a0ozna\u010den\u00edm V2TX JAN18, proto p\u0159ed des\u00e1tou dopoledn\u00ed tohoto prosincov\u00e9ho r\u00e1na\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":4022,"position":5},"title":"VIX Index se obchoduje?","author":"dobretrejdy :c)","date":"19.11.2017","format":false,"excerpt":"\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat. Tato jednoduch\u00e1 v\u011bta je p\u0159\u00ed\u010dinou \u00fadivu mnoha op\u010dn\u00edch (i jin\u00fdch) obchodn\u00edk\u016f a v\u011bt\u0161inou bezpe\u010dn\u011b vyvol\u00e1 obs\u00e1hlou polemiku. V\u00a0t\u00e9to jednoduch\u00e9 v\u011bt\u011b se tak\u00e9 skr\u00fdv\u00e1 mnoho obchodn\u00edch ne\u00fasp\u011bch\u016f pramen\u00edc\u00edch z\u00a0neznalosti fungov\u00e1n\u00ed tohoto n\u00e1stroje. V\u00a0\u010dl\u00e1nku VIX Index \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4022","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=4022"}],"version-history":[{"count":16,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4022\/revisions"}],"predecessor-version":[{"id":7286,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4022\/revisions\/7286"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/4067"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4022"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4022"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4022"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}