{"id":4123,"date":"2020-02-08T14:56:49","date_gmt":"2020-02-08T12:56:49","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=4123"},"modified":"2024-08-18T08:58:17","modified_gmt":"2024-08-18T06:58:17","slug":"uvxy-volatility-etf-iii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=4123","title":{"rendered":"UVXY \u2013 Volatility ETF \u2013 III."},"content":{"rendered":"

\u00a0\u00a0 Proniknut\u00ed do problematiky deriv\u00e1t\u016f odvozen\u00fdch od volatility nut\u00ed zv\u00eddav\u00e9 du\u0161e k hled\u00e1n\u00ed dal\u0161\u00edch n\u00e1stroj\u016f, kter\u00e9 by mohly m\u00edt souvisej\u00edc\u00ed vlastnosti jako Volatility ETN popisovan\u00e9 v p\u0159edchoz\u00edch dvou \u010dl\u00e1nc\u00edch. Nemus\u00edm b\u00fdt p\u0159i hled\u00e1n\u00ed n\u011bjak zvl\u00e1\u0161\u0165 urputn\u00fd, abych si nev\u0161imnul, \u017ee takov\u00fdch \u201eodvozenin\u201c je celkem slu\u0161n\u00e1 f\u016fra. Popisoval jsem, \u017ee d\u00edky restrikci EU nemohu investovat do p\u0159\u00edm\u00fdch podklad\u016f, jak\u00fdmi byly ji\u017e popisovan\u00e9 ETN s tickery VXX a VXZ, toto mi v\u0161ak nevadilo, proto\u017ee jsem stejn\u011b nahl\u00ed\u017eel na mo\u017en\u00e9 obchodov\u00e1n\u00ed t\u011bchto ETN pomoc\u00ed op\u010dn\u00edch kontrakt\u016f, na kter\u00e9 se tato restrikce nevztahuje. M\u00e1 selekce p\u0159i hled\u00e1n\u00ed dal\u0161\u00edch deriv\u00e1t\u016f se tak omezuje pouze na takov\u00e9 tituly, kter\u00e9 maj\u00ed listov\u00e1ny op\u010dn\u00ed kontrakty, abych nabyt\u00e9 poznatky mohl p\u0159en\u00e9st do praktick\u00e9ho obchodov\u00e1n\u00ed nap\u0159\u00edklad pr\u00e1v\u011b jejich prost\u0159ednictv\u00edm.\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0\u00a0 ProShare Capital Management LLC se s\u00eddlem v\u00a0americk\u00e9 Marylandu pro investory se z\u00e1jmem o expozici v\u00a0prvn\u00edch dvou VX futures vymyslela a spustila dne 3.10.2011 obchodov\u00e1n\u00ed s\u00a0ETF (Exchange-Traded Fund) s\u00a0tickerem UVXY<\/strong> a pln\u00fdm n\u00e1zvem Ultra Vix Short-Term Futures ETF<\/strong>. Proto\u017ee na trhu ji\u017e existovalo Volatlity ETN s tickerem VXX, kter\u00e9 tak\u00e9 odr\u00e1\u017eelo pohyby na prvn\u00edch dvou VX futures, a to tak, \u017ee je odrazem Indexu SPVIXSTR (viz \u010dl\u00e1nek<\/a><\/strong><\/span>), musela investi\u010dn\u00ed spole\u010dnost ProShares svou nab\u00eddku pro z\u00e1jemce vylep\u0161it, a to t\u00edm zp\u016fsobem, \u017ee sv\u00e9mu produktu ur\u010dila dvojn\u00e1sobnou p\u00e1ku<\/strong> kop\u00edrov\u00e1n\u00ed sv\u00e9ho p\u0159edobrazu<\/strong> \u2013 Indexu SPVIXSTR<\/strong>. Zna\u010dn\u011b turbulentn\u00ed obdob\u00ed spojen\u00e9 s kolapsem volatility vyj\u00e1d\u0159en\u00e9m dramatick\u00fdmi pohyby na VX futures za\u010d\u00e1tkem \u00fanora 2018 p\u0159im\u011blo ProShares, aby revidovala dvojn\u00e1sobnou p\u00e1kovou expozici v\u016f\u010di podkladov\u00e9mu Indexu SPVIXSTR a od 28.2.2018<\/strong> zm\u011bnila v prospektu tuto expozici s p\u00e1kou<\/strong> pouze na 1.5 x<\/strong>.<\/span><\/p>\n

\u00a0 Ne\u017e se dostanu k\u00a0n\u011bjak\u00e9 z\u00e1kladn\u00ed anal\u00fdze investi\u010dn\u00edho n\u00e1stroje UVXY, tak bych se pozastavil nad v\u00fdznamn\u011bj\u0161\u00edm detailem v\u00a0samotn\u00e9m n\u00e1zvu tohoto cenn\u00e9ho pap\u00edru, kter\u00fdm je ozna\u010den\u00ed ETF<\/strong> (Exchange Traded-Fund<\/strong>), kde\u017eto u titul\u016f VXX a VXZ je uv\u00e1d\u011bno, \u017ee jsou to ETN<\/strong> (Exchange- Traded Notes<\/strong>). Proto\u017ee jsem dostal v\u00a0souvislosti s\u00a0t\u00edmto probl\u00e9mem pojmenov\u00e1n\u00ed titulu dotaz od sv\u00e9ho \u010dten\u00e1\u0159e a na tento dotaz jsem odpov\u00eddal pod \u010dl\u00e1nkem o VXX, kop\u00edruji nyn\u00ed svou odpov\u011b\u010f na toto m\u00edsto, a\u0165 jej nemus\u00edte vyhled\u00e1vat.<\/span><\/p>\n

\u00a0\u00a0 \u201e…ETN<\/strong> je dluhopisov\u00e1 forma cenn\u00e9ho pap\u00edru, kter\u00fd vyd\u00e1v\u00e1 n\u011bjak\u00e1 instituce a jeho cena kop\u00edruje n\u011bjak\u00fd podklad, kter\u00fd je virtu\u00e1ln\u00ed a ned\u00e1 se obchodovat. V p\u0159\u00edpad\u011b VXX, kter\u00e9 je ETN, kop\u00edruje jeho cena Index SPVIXSTR, kter\u00fd se opravdu obchodovat ned\u00e1, proto\u017ee je to jen vypo\u010d\u00edtan\u00e9 \u010d\u00edslo. N\u011bjak\u00e1 banka (Barclays nap\u0159\u00edklad) jako emitent, vyd\u00e1 podle sv\u00e9ho prospektu jeden milion pouk\u00e1zek (Notes) v hodnot\u011b stomilion\u016f dolar\u016f, kter\u00e9 p\u0159edstavuj\u00ed investici do Indexu SPVIXSTR na aktu\u00e1ln\u00ed hodnot\u011b 56.000 bod\u016f, tato jedna pouk\u00e1zka bude m\u00edt prvn\u00ed den hodnotu 100 USD, z\u00edtra ov\u0161em klesne hodnota podkladov\u00e9ho Indexu na 55.440 bod\u016f, tedy o jedno procento, hodnota jednoho ETN tak klesne na 99 USD. Je to samoz\u0159ejm\u011b modelov\u00fd p\u0159\u00edklad, proto\u017ee roli hraj\u00ed poplatky a n\u00e1klady za spr\u00e1vu atd, to nen\u00ed ale podstatn\u00e9. Dluhov\u00fdm cenn\u00fdm pap\u00edrem se ETN naz\u00fdv\u00e1 proto, \u017ee emitent (banka, investi\u010dn\u00ed spole\u010dnost) slibuje, \u017ee p\u0159i ukon\u010den\u00ed obchodov\u00e1n\u00ed vyplat\u00ed dr\u017eiteli hodnotu ETN podle aktu\u00e1ln\u00ed v\u00fd\u0161e podkladu. Tento slib je pak obdobn\u00fd slibu emitenta dluhopisu, \u017ee splat\u00ed nomin\u00e1ln\u00ed cenu vydan\u00e9ho dluhopisu v ur\u010dit\u00e9m okam\u017eiku v budoucnosti, ke kter\u00e9mu je ur\u010dena splatnost jeho nomin\u00e1ln\u00ed hodnoty, rozd\u00edlem pak je, \u017ee ETN nenese \u017e\u00e1dn\u00e9 \u00faroky (kup\u00f3n) jako dluhopis. U ETN je pak z pohledu investora dvoj\u00ed riziko<\/strong> \u2013 \u017ee prod\u011bl\u00e1 na jeho hodnot\u011b a nav\u00edc existuje riziko, \u017ee emitent nedostoj\u00ed sv\u00e9mu z\u00e1vazku vyplatit jeho cenu p\u0159i ukon\u010den\u00ed obchodov\u00e1n\u00ed (u VXX za t\u0159icet let) proto\u017ee t\u0159eba zkrachuje. Proto\u017ee ji\u017e z n\u00e1zvu cenn\u00e9ho pap\u00edru vypl\u00fdv\u00e1 \u201eExchange-Traded\u201c, jsou tyto cenn\u00e9 pap\u00edry (ETN) ur\u010deny p\u0159edev\u0161\u00edm k obchodov\u00e1n\u00ed na burze, kde jsou zalistov\u00e1ny k obchodov\u00e1n\u00ed stejn\u011b jako akcie n\u011bjak\u00e9 spole\u010dnosti. ETF<\/strong> (Exchange-Traded Fund) naopak kop\u00edruje cenu n\u011bjak\u00fdch fyzick\u00fdch v\u011bc\u00ed, jako je nap\u0159\u00edklad ko\u0161 akci\u00ed (SPY, QQQ\u2026) nebo n\u011bjakou komoditu (ropu, kuku\u0159ici, plyn\u2026) atd., kterou tento fond fyzicky nakoup\u00ed. ETF QQQ nap\u0159\u00edklad p\u0159edstavuje expozici v indexu Nasdaq 100 a spr\u00e1vce tohoto fondu za jeho prost\u0159edky nakoup\u00ed t\u011bchto 100 akciov\u00fdch titul\u016f v pom\u011bru, v jak\u00e9m se nach\u00e1zej\u00ed v tomto indexu, n\u00e1sledn\u011b vyd\u00e1 cenn\u00e9 pa\u00edry (ETF) a uvede je na burzu, emitovan\u00e9 ETF pak kop\u00edruj\u00ed hodnotu fondu, kter\u00fd je vydal, kdy\u017e hodnota tohoto fondu je ur\u010dena v\u00fdkonnost\u00ed akci\u00ed Nasdaq 100. Jako investor do tohoto ETF pak \u010del\u00edm pouze risku z pohybu t\u011bchto cenn\u00fdch pap\u00edr\u016f<\/strong>, tedy \u017ee nap\u0159\u00edklad prod\u011bl\u00e1m p\u0159i poklesu jejich hodnoty (to je obdobn\u00e9 jako u ETN), odpad\u00e1 riziko krachu emitenta, proto\u017ee tento m\u00e1 fyzick\u00e9 akcie Indexu Nasdaq 100 opravdu v dr\u017een\u00ed. Pokud by se dostal do pot\u00ed\u017e\u00ed, rozprod\u00e1 dr\u017een\u00e9 akcie a vyplat\u00ed dr\u017eitele ETF….“\u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 UVXY je tedy ETF. Co to znamen\u00e1? Na domovsk\u00e9 str\u00e1nce<\/a><\/strong><\/span> tohoto ETF \u00a0m\u016f\u017eu po kliknut\u00ed na \u201eDaily Holdings\u201c zjistit, jak\u00e1 podkladov\u00e1 aktiva investi\u010dn\u00ed spole\u010dnost dr\u017e\u00ed v\u00a0tomto fondu.<\/span><\/p>\n

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\u00a0 \u00dadaje jsou aktualizov\u00e1ny na denn\u00ed b\u00e1zi a mohu tak vypozorovat, \u017ee ETF opravdu disponuje pro zobrazovan\u00fd den 30.1.2020 pozic\u00ed v\u00a0prvn\u00edm VX futures<\/strong> v\u00a0po\u0159ad\u00ed (VXG20 \u2013 \u00fanorov\u00e9 futures) v\u00a0po\u010dtu 24.460 kontrakt\u016f a pozic\u00ed v\u00a0druh\u00e9m VX futures<\/strong> v po\u0159ad\u00ed (VXH20 \u2013 b\u0159eznov\u00e9 futures) v po\u010dtu 17.794 kontrakt\u016f (\u010derven\u00e9 \u0161ipky). Krom\u011b pozice v t\u011bchto VX futures m\u00e1 fond zainvestov\u00e1no do swapu, kter\u00fd by m\u011bl replikovat v\u00fdkon Indexu SPVIXSTR (modr\u00e1 \u0161ipka)<\/span><\/p>\n

\u00a0\u00a0 Na domovsk\u00e9 str\u00e1nce<\/a><\/strong><\/span> mohu z\u00edskat prospekt ETF UVXY k prozkoum\u00e1n\u00ed na tomto odkazu.<\/span><\/p>\n

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\u00a0\u00a0 Pot\u00e9 z\u00a0\u0161irok\u00e9 nab\u00eddky prospekt\u016f pro nejr\u016fzn\u011bj\u0161\u00ed ETF vyberu tu skupinu prospekt\u016f ETF, kter\u00e9 jsou nav\u00e1z\u00e1ny na VX futures.<\/span><\/p>\n

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\u00a0\u00a0 Po inicializaci okna s\u00a0prospektem zji\u0161\u0165uji, \u017ee je spole\u010dn\u00fd pro v\u0161echna ETF nav\u00e1zan\u00e1 na VX futures, mus\u00edm proto jeho studium filtrovat pro \u201esv\u00e9 ETF\u201c. \u010cten\u00ed prospekt\u016f nen\u00ed nijak z\u00e1bavn\u00e9 \u010dten\u00ed, mohu v\u00a0n\u011bm ale naj\u00edt velmi pozoruhodn\u00e9 detaily. Prvn\u00edm poznatkem m\u016f\u017ee b\u00fdt uji\u0161t\u011bn\u00ed, \u017ee hodnoty fondu jsou p\u0159epo\u010d\u00edt\u00e1v\u00e1ny<\/strong> na z\u00e1klad\u011b jednodenn\u00ed v\u00fdkonnosti<\/strong> sv\u00e9ho benchmarku (Indexu SPVIXSTR) a nikoliv na jin\u00e9 \u010dasov\u00e9 period\u011b. Odhl\u00e9dnu nyn\u00ed od skute\u010dnosti, \u017ee mohu ve sv\u00e9 obchodn\u00ed platform\u011b b\u011bhem obchodn\u00ed seance vid\u011bt pohyby ceny ETF (a mohou b\u00fdt i v\u00fdznamn\u00e9), toto jsou ale tzv. \u201eindicative values\u201c, kter\u00e9 reprezentuj\u00ed co nejv\u011brn\u011bj\u0161\u00ed odrazy pohyb\u016f podkladov\u00e9ho indexu, tento mechanismus je ale pro pot\u0159eby tohoto \u010dl\u00e1nku nepodstatn\u00fd.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Co ale podstatn\u00e9 je, je zp\u016fsob v\u00fdpo\u010dtu hodnoty takov\u00e9ho fondu v z\u00e1vislosti na hodnot\u011b indexu, kter\u00fd je jeho p\u0159edobrazem. V p\u0159\u00edpad\u011b ETN s tickerem VXX bylo podle prospektu jasn\u00e9, \u017ee aktu\u00e1ln\u00ed hodnota VXX odr\u00e1\u017e\u00ed aktu\u00e1ln\u00ed hodnotu Indexu SPVIXSTR. V p\u0159\u00edpad\u011b nyn\u00ed analyzovan\u00e9ho ETF s tickerem UVXY z prospektu vypl\u00fdv\u00e1, \u017ee \u201eThe ProShares Ultra VIX Short-Term Futures ETF seeks daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the performance of the Index<\/em>\u201c kdy\u017e za Index je op\u011bt pova\u017eov\u00e1n Index SPVIXSTR. M\u00e1m za ji\u017e objasn\u011bn\u00e9, jak funguje \u201ep\u0159esyp\u00e1v\u00e1n\u00ed v\u00e1hy\u201c v\u00a0tomto Indexu slo\u017een\u00e9ho s\u00a0prvn\u00edch dvou VX futures podle sv\u00e9 expirace (\u010dl\u00e1nek o VXX<\/a><\/strong><\/span>), tak\u017ee by nem\u011blo b\u00fdt slo\u017eit\u00e9 si p\u0159edstavit, \u017ee UVXY je jak\u00fdmsi \u201eadrenalinov\u00fdm bratrancem\u201c ETN VXX, proto\u017ee kop\u00edruje stejn\u00fd vzor, jenom na n\u011bj reaguje s 1.5 kr\u00e1t v\u011bt\u0161\u00ed \u00fa\u010dinnost\u00ed, nam\u00edsto prost\u00e9ho odrazu \u201ejedna ku jedn\u00e9\u201c jak je tomu u VXX.<\/span><\/p>\n

\u00a0\u00a0 Ve zjednodu\u0161en\u00e9 p\u0159edstav\u011b by to pak mohlo vypadat, \u017ee pokud hodnota Indexu SPVIXSTR roste, roste hodnota UVXY 1.5x a naopak, pokud hodnota Indexu SPVIXSTR kles\u00e1, tak UVXY ztr\u00e1c\u00ed 1.5x, toto v\u0161echno p\u0159i p\u0159epo\u010dtech na jednodenn\u00ed b\u00e1zi. Z \u010dl\u00e1nku o VXX v\u00edm, \u017ee hodnota Indexu SPVIXSTR roste v p\u0159\u00edpadech, kdy je hodnota VX futures ve stavu Backwardation, tedy ve stavu neklidu na trz\u00edch, proto\u017ee rolov\u00e1n\u00ed z bli\u017e\u0161\u00edho VX futures do vzd\u00e1len\u011bj\u0161\u00edho VX futures p\u0159in\u00e1\u0161\u00ed \u201eprofit z prodej\u016f za dra\u017e\u0161\u00ed cenu a n\u00e1sledn\u00e9 n\u00e1kupy za levn\u011bj\u0161\u00ed cenu\u201c. Pokles hodnoty Indexu SPVIXSTR pak zp\u016fsobuje stav Contango na trz\u00edch prvn\u00edch dvou VX futures, proto\u017ee rolov\u00e1n\u00ed z p\u0159edn\u00edho VX futures do vzd\u00e1len\u011bj\u0161\u00edho VX futures p\u0159in\u00e1\u0161\u00ed obecn\u011b \u201eztr\u00e1tu z prodeje za ni\u017e\u0161\u00ed cenu a n\u00e1sledn\u00e9 n\u00e1kupy za vy\u0161\u0161\u00ed cenu\u201c. UVXY by pak m\u011blo b\u00fdt dravcem v cenov\u00fdch pohybech oproti VXX, proto\u017ee vych\u00e1z\u00ed ze stejn\u00fdch princip\u016f, jenom je p\u00e1kov\u011b (1.5x) umocn\u011bn cenov\u00fd pohyb. Bohud\u00edk tomu tak zcela p\u0159esn\u011b nen\u00ed.<\/span><\/p>\n

\u201eCompounding\u201c p\u0159i poklesu Indexu SPVIXSTR<\/strong><\/span><\/h2>\n

\u00a0\u00a0\u00a0 Na str\u00e1nce \u010d.7 prospektu je vysv\u011btlen\u00ed, kter\u00e9ho by si ka\u017ed\u00fd investor do tohoto p\u00e1kov\u00e9ho produktu m\u011bl b\u00fdt dob\u0159e v\u011bdom a kter\u00e9 by v kone\u010dn\u00e9m d\u016fsledku mohlo odejmout takov\u00e9mu p\u00e1kov\u00e9mu produktu stigma \u201edynamitu v rukou rozj\u00edven\u00e9ho pubescenta\u201c. Auto\u0159i prospektu vytvo\u0159ili hypotetick\u00fd p\u0159\u00edklad vlivu pohybu ceny podkladov\u00e9ho Indexu na hodnotu hypotetick\u00e9ho ETF fondu p\u0159i uplatn\u011bn\u00e9 p\u00e1ce 1.5x. Na obr\u00e1zku n\u00ed\u017ee je zobrazena situace, kdy hypotetick\u00fd Index XYZ (jeho\u017e hodnotu ETF odr\u00e1\u017e\u00ed) m\u00e1 hodnotu 100 (1)<\/strong> <\/span>a \u010dist\u00e1 hodnota kop\u00edruj\u00edc\u00edho hypotetick\u00e9ho ETF fondu XYZ (Net Asset Value) je tak\u00e9 100 USD (2)<\/strong><\/span>.<\/span><\/p>\n

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\u00a0\u00a0 V n\u00e1sleduj\u00edc\u00edch sedmi dnech vykon\u00e1v\u00e1 podkladov\u00fd Index pohyby sestaven\u00e9 do mezidenn\u00edch stejn\u00fdch pokles\u016f a r\u016fst\u016f v hodnot\u011b +\/-3%<\/strong> syst\u00e9mem, \u017ee prvn\u00ed den<\/strong> cena klesne o -3%<\/strong> a n\u00e1sleduj\u00edc\u00ed den<\/strong> cena o +3%<\/strong> naroste, posledn\u00ed sedm\u00fd den<\/strong> cena klesne o -3%<\/strong>, toto je vyzna\u010deno ve sloupci (3)<\/strong><\/span>. Za pozornost pak stoj\u00ed ji\u017e prvn\u00ed dva dny v\u00fdvoje, nejd\u0159\u00edve Index poklesl z hodnoty 100 bod\u016f o t\u0159i procenta na hodnotu 97 bod\u016f (t\u0159i procenta ze 100 jsou t\u0159i), druh\u00fd den v\u0161ak z hodnoty 97 pos\u00edlil zp\u011bt o t\u0159i procenta (t\u0159i procenta z 97 je 2.91) na hodnotu nikoliv 100, ale pouze na 99.91 bodu (1)<\/strong><\/span>… Mohu pak sledovat, \u017ee a\u010dkoliv se zd\u00e1, \u017ee celkov\u00fd sou\u010det pokles\u016f a r\u016fst\u016f v sedmi dnech je -3%, je vlivem r\u016fst\u016f a pokles\u016f nakonec hodnota Indexu nikoliv na hodnot\u011b 100 -3 = 97, ale na hodnot\u011b 96,74<\/strong>, tyto jednotliv\u00e9 v\u00fdpo\u010dty mohu sledovat ve sloupci (1)<\/strong><\/span>, Index tak oslabil o -3.26%<\/strong><\/span>. Ve sloupci (4)<\/strong><\/span> jsou stejn\u00e9 n\u00e1r\u016fsty a poklesy o +\/-3% p\u0159epo\u010dteny p\u00e1kou +\/-1.5x<\/strong> (tedy pro UVXY) a ve sloupci (2)<\/strong><\/span> pak mohu sledovat, jak tyto poklesy a r\u016fsty a kone\u010dn\u00fd celkov\u00fd pokles Indexu o p\u0159edpokl\u00e1dan\u00fdch (chybn\u011b) celkov\u00fdch -3% n\u00e1soben\u00fd p\u00e1kou 1.5x na -4.5% nakonec dopadne do v\u00fdkonnosti fiktivn\u00edho ETF fondu XYZ. Mohu pak zjistit, \u017ee fiktivn\u00ed ETF p\u00e1kov\u00fd fond ztratil na hodnot\u011b -5.08%<\/strong><\/span>, a to je dosti v\u00fdznamn\u011b jin\u00fd pokles ne\u017e ztr\u00e1ta fiktivn\u00edho Indexu, kter\u00fd ztratil faktick\u00fdch -3.26%.<\/span><\/p>\n

\u00a0\u00a0 Toto v\u0161ak nen\u00ed v\u0161e! Na obr\u00e1zku mohu vypozorovat situaci na konci\u00a0\u0161est\u00e9ho<\/strong> obchodn\u00edho dne, kter\u00fd jsem v\u00a0obr\u00e1zku podtrhl \u010dervenou te\u010dkovanou \u010d\u00e1rou<\/strong>. V tento den by absolutn\u00ed sou\u010det r\u016fst\u016f a pokles\u016f m\u011bly b\u00fdt na hodnot\u011b nula, proto\u017ee v\u0161echny jednodenn\u00ed t\u0159\u00edprocentn\u00ed poklesy byly druh\u00e9ho dne vyst\u0159\u00edd\u00e1ny t\u0159\u00edprocentn\u00edmi r\u016fsty, tak\u017ee na konci \u0161est\u00e9ho dne by tento absolutn\u00ed sou\u010det pokles\u016f a r\u016fst\u016f m\u011bl b\u00fdt nula a v tomto d\u016fsledku tak\u00e9 by se nem\u011bla sn\u00ed\u017eit hodnota Indexu ve sloupci (1)<\/strong><\/span>. Nen\u00ed tomu v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b tak a vlivem takov\u00e9ho skl\u00e1dan\u00e9ho ka\u017edodenn\u00edho p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed hodnoty se Index nenach\u00e1z\u00ed na hodnot\u011b 100, ale na hodnot\u011b 99.73 bodu vyzna\u010den\u00e9 na \u00farovni \u010derven\u00e9 te\u010dkovan\u00e9 \u010d\u00e1ry ve sloupci (1)<\/strong><\/span>. Pokud budu stejn\u00fd v\u00fdvoj pozorovat ve sloupci (2)<\/strong><\/span> zobrazuj\u00edc\u00ed cenu fiktivn\u00edho ETF fondu s p\u00e1kou 1.5x kop\u00edruj\u00edc\u00ed tento fiktivn\u00ed Index, tak mohu zjistit, \u017ee \u0161est\u00fd den (vyzna\u010deno op\u011bt na \u00farovni \u010derven\u00e9 te\u010dkovan\u00e9 \u010d\u00e1ry) zastihl ETF fond na hodnot\u011b 99.39 USD!!! P\u0159esto\u017ee je tedy sou\u010det r\u016fst\u016f a pokles\u016f (profit\u016f a ztr\u00e1t) v absolutn\u00ed hodnot\u011b na hodnot\u011b 0 (nebo 0%) fiktivn\u00ed ETF fond ztratil na hodnot\u011b -0.61 USD<\/strong><\/span>. P\u00e1kov\u00e9 ETF tedy ztr\u00e1c\u00ed na hodnot\u011b i v p\u0159\u00edpad\u011b, \u017ee sou\u010det pokles\u016f a r\u016fst\u016f nen\u00ed z\u00e1porn\u00fd, ale tak\u00e9 v p\u0159\u00edpad\u011b, kdy je nulov\u00fd. Pouze z tohoto z\u00e1kladn\u00edho principu je jasn\u00e9, \u017ee UVXY nen\u00ed v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b favoritem na dlouhodob\u00e9 Long obchody se s\u00e1zkou na r\u016fst t\u011bchto ETF.<\/span><\/p>\n

\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201eCompounding\u201c p\u0159i r\u016fstu Indexu SPVIXSTR<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Tento efekt ztr\u00e1ty hodnoty jin\u00e9, ne\u017e by se v absolutn\u00edm sou\u010dtu pokles\u016f a ztr\u00e1t mohl zd\u00e1t, vznikl\u00fd postupn\u00fdm skl\u00e1d\u00e1n\u00edm (compounding) v\u00fdpo\u010dtu mezidenn\u00edch r\u016fst\u016f a pokles\u016f podkladov\u00e9ho Indexu, pak auto\u0159i prospektu pro n\u00e1zornost aplikovali tak\u00e9 na opa\u010dnou situaci, a to na vliv hodnoty fiktivn\u00edho Indexu XYZ na fiktivn\u00ed hodnotu ETF fondu XYZ s p\u00e1kou 1.5x v p\u0159\u00edpad\u011b, \u017ee se hodnota Indexu v n\u011bjak\u00e9m fiktivn\u00edm obdob\u00ed nakonec zv\u00fd\u0161\u00ed.<\/strong>\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Sedmidenn\u00ed fiktivn\u00ed obdob\u00ed za\u010d\u00edn\u00e1 r\u016fstem<\/strong> o +3%<\/strong> body na podkladov\u00e9m Indexu vyzna\u010den\u00e9 ve sloupci (1)<\/strong><\/span>, tento r\u016fst je druh\u00fd den<\/strong> vyst\u0159\u00edd\u00e1n poklesem o -3%<\/strong> a takto se r\u016fsty a poklesy st\u0159\u00eddaj\u00ed a\u017e do sedm\u00e9ho dne<\/strong>, kdy je zaznamen\u00e1n r\u016fst o +3%<\/strong>, v\u00a0celkov\u00e9m sou\u010dtu je absolutn\u00ed hodnota pokles\u016f a r\u016fst\u016f na hodnot\u011b +3%<\/strong>. Slo\u017een\u00e9 p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed na jednodenn\u00ed b\u00e1zi pak zp\u016fsobuje, \u017ee po t\u011bchto sedmi dnech celkov\u00e9ho r\u016fstu \u010din\u00ed p\u0159\u00edr\u016fstek fiktivn\u00edho Indexu nikoliv +3%, ale pouze +2.72%<\/strong><\/span>. Stejn\u00fd efekt ze skl\u00e1dan\u00e9ho p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed je pak vyzna\u010den pro fiktivn\u00ed ETF s\u00a0p\u00e1kou 1.5x ve sloupci (2)<\/strong><\/span>. O\u010dek\u00e1val bych, \u017ee p\u0159i absolutn\u00edm sou\u010dtu r\u016fst\u016f a pokles\u016f o 3% ve fiktivn\u00edm obdob\u00ed by m\u011bl odpov\u00eddaj\u00edc\u00ed ETF fond s\u00a0p\u00e1kou 1.5x zaznamenat r\u016fst o +4.5% ve sloupci (4)<\/strong><\/span>, op\u011bt tomu tak nen\u00ed, proto\u017ee popisovan\u00fd efekt zp\u016fsobuje celkov\u00fd r\u016fst ceny ETF pouze o +3.87%<\/strong> <\/span>!!!<\/span><\/p>\n

\u00a0\u00a0 Jak toto shrnout? Podkladov\u00fd Index SPVIXSTR, kter\u00fd je p\u0159edobrazem UVXY m\u00e1 d\u00edky sv\u00e9 konstrukci a zp\u016fsobu v\u00fdpo\u010dtu tendenci ve zna\u010dn\u00e9 \u010d\u00e1sti sv\u00e9ho \u010dasu klesat d\u00edky \u010dasov\u00e9 struktu\u0159e (Term Structure) VX futures, kter\u00e1 se nach\u00e1z\u00ed p\u0159ev\u00e1\u017enou \u010d\u00e1st \u010dasu v Contango. Stejn\u011b tak v t\u011bchto obdob\u00edch klesaj\u00ed ceny deriv\u00e1t\u016f, kter\u00e9 jsou na n\u011bj nav\u00e1z\u00e1ny a kter\u00e9 tady popisuji. Pokud je deriv\u00e1t p\u0159\u00edm\u00fdm odrazem hodnoty Indexu, m\u016f\u017ee k pohybu jeho ceny sm\u011brem dol\u016f dopomoci nejenom klesaj\u00edc\u00ed hodnota jeho p\u0159edobrazu, ale tak\u00e9 vlivy p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed hodnot deriv\u00e1t\u016f na jednodenn\u00ed b\u00e1zi, svou pr\u00e1ci samoz\u0159ejm\u011b odv\u00e1d\u011bj\u00ed tak\u00e9 poplatky za spr\u00e1vu takov\u00fdch fond\u016f. Pokud v obdob\u00edch pokles\u016f zapoj\u00edm do sv\u00fdch \u00favah chov\u00e1n\u00ed deriv\u00e1t\u016f s p\u00e1kov\u00fdm p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00edm sv\u00e9 hodnoty (UVXY), je pokles daleko agresivn\u011bj\u0161\u00ed a p\u00e1ka p\u016fsob\u00ed jako skv\u011bl\u00fd \u201emultiplik\u00e1tor eroze hodnoty\u201c. Pokud ov\u0161em podkladov\u00fd Index SPVIXSTR roste, a toto se d\u011bje ve zna\u010dn\u011b krat\u0161\u00ed dob\u011b \u010dasu (\u010dasov\u00e1 struktura je Backwardation), rostou hodnoty nav\u00e1zan\u00fdch deriv\u00e1t\u016f tak\u00e9, pokud kop\u00edruj\u00ed hodnotu Indexu p\u0159esn\u011b, je tento r\u016fst nev\u00fdznamn\u011b men\u0161\u00ed, pokud se ale jedn\u00e1 o nav\u00e1zan\u00fd deriv\u00e1t s p\u00e1kov\u00fdm p\u0159epo\u010d\u00edt\u00e1van\u00ed sv\u00e9 ceny s koeficientem vy\u0161\u0161\u00edm ne\u017e jedna, doch\u00e1z\u00ed op\u011bt k deformaci takov\u00e9ho odrazu hodnoty Indexu do hodnoty deriv\u00e1tu a zp\u016fsobuje, \u017ee r\u016fst jeho ceny neodpov\u00edd\u00e1 r\u016fstu ceny podkladov\u00e9ho Indexu. Shrnuto, Index SPVIXSTR kles\u00e1 \u2013 \u201eje to mazec\u201c, Index SPVIXSTR roste \u2013 \u201ezas takov\u00fd mazec to nen\u00ed\u201c.\u00a0 \u00a0<\/span><\/p>\n

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Spekulace na Short…?!<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Vt\u00edr\u00e1 se nyn\u00ed ot\u00e1zka, jak takov\u00e9 chov\u00e1n\u00ed vlastn\u011b zapojit do vlastn\u00edho obchodov\u00e1n\u00ed nebo jak s takov\u00fdm pozn\u00e1n\u00edm alespo\u0148 nalo\u017eit. Vypad\u00e1 to l\u00e1kav\u011b, ve v\u011bt\u0161inu \u010dasu se z UVXY st\u00e1v\u00e1 smutn\u00fd hrdina vytrvale ztr\u00e1cej\u00edc\u00ed svou cenu a pokud mu svitne chvilka sv\u00e9 mo\u017en\u00e9 sl\u00e1vy, d\u00edky sv\u00e9 konstrukci se mu nepoda\u0159\u00ed takov\u00e1 chv\u00edle zcela vyu\u017e\u00edt ke kompenzaci sv\u00fdch ztracen\u00fdch sil.<\/span><\/p>\n

\u00a0\u00a0 P\u0159i zkoum\u00e1n\u00ed z\u00e1kladn\u00edch vlastnost\u00ed chov\u00e1n\u00ed titulu UVXY na historick\u00fdch datech si mus\u00edm b\u00fdt v\u011bdom dvou z\u00e1kladn\u00edch rozd\u00edl\u016f oproti testov\u00e1n\u00ed titul\u016f VXX a VXZ popisovan\u00fdch v minul\u00fdch \u010dl\u00e1nc\u00edch. Tyto kop\u00edruj\u00ed podkladov\u00e9 indexy (Index SPVIXSTR a Index SPVIXMTR) na p\u0159epo\u010d\u00edt\u00e1vac\u00ed b\u00e1zi 1:1, proto mohu do historick\u00e9 anal\u00fdzy zapojit data samotn\u00fdch Index\u016f a velmi zhruba tak napodobit nap\u0159\u00edklad desetilet\u00fd v\u00fdvoj t\u011bchto titul\u016f a poradit si se z\u00e1kladn\u00edm probl\u00e9mem, kter\u00fdm bylo ukon\u010den\u00ed obchodov\u00e1n\u00ed s\u00e9rie \u201eA\u201c t\u011bchto ETN a jejich nahrazen\u00ed s\u00e9ri\u00ed \u201eB\u201c nebo s existenc\u00ed splitov\u00fdch operac\u00ed. V minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> jsem ukazoval v obr\u00e1zku s grafem (\u201emodr\u00fd graf\u201c uprost\u0159ed \u010dl\u00e1nku), jak se velmi nepatrn\u011b odli\u0161ovala k\u0159ivka pr\u016fb\u011bhu Indexu SPVIXMTR a jeho odrazu \u2013 titulu VXZ, mohl jsem proto s ur\u010dit\u00fdm nadhledem na datech tohoto Indexu vyzkou\u0161et chov\u00e1n\u00ed titulu VXZ a odvodit n\u011bjak\u00e9 z\u00e1kladn\u00ed obchodn\u00ed souvislosti. V p\u0159\u00edpad\u011b titulu UVXY, tedy p\u00e1kov\u00e9ho ETF, kop\u00edruj\u00edc\u00edho Index SPVIXSTR n\u00e1sobkem 1.5x, mus\u00edm takovou my\u0161lenku nahradit historick\u00e1 data samotn\u00e9ho podkladu historick\u00fdmi daty Indexu zavrhnout. M\u00e1m k tomu dva z\u00e1kladn\u00ed d\u016fvody, p\u0159edn\u011b se ke dni 28.2.2018 zm\u011bnila hodnota p\u00e1ky z 2x na hodnotu p\u00e1ky pouze na 1.5x p\u0159epo\u010det hodnoty Indexu a za druh\u00e9, p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed hodnoty obchodovan\u00e9ho ETF na jednodenn\u00ed b\u00e1zi, d\u00edky \u201ecompounding efekt\u016fm\u201c p\u00e1ky, p\u0159in\u00e1\u0161\u00ed v\u00fdrazn\u00e1 zkreslen\u00ed pr\u016fb\u011bhu Indexu a hodnoty UVXY. Na obr\u00e1zku n\u00ed\u017ee je zachycen pr\u016fb\u011bh podkladov\u00e9ho Indexu SPVIXSTR a hodnoty UVXY ode dne 28.2.2018, kdy do\u0161lo ke zm\u011bn\u011b p\u00e1ky na 1.5x.<\/span><\/p>\n

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\u00a0\u00a0 Je patrn\u00e9, \u017ee v obecn\u00e9m trendu je pr\u016fb\u011bh obou k\u0159ivek sestupn\u00fd, nicm\u00e9n\u011b UVXY (\u010derven\u00e1 k\u0159ivka) m\u00e1 tendenci se od k\u0159ivky Indexu (modr\u00e1 k\u0159ivka) rychleji vzdalovat. V obdob\u00ed pokles\u016f trh\u016f vyj\u00e1d\u0159en\u00e9m vzestupy na k\u0159ivce Indexu se m\u00e1 UVXY tendenci rychle se k t\u011bmto vrchol\u016fm p\u0159ibli\u017eovat, to zp\u016fsobuje zejm\u00e9na zabudovan\u00e1 p\u00e1ka do odrazu hodnotu UVXY k hodnot\u011b podkladov\u00e9ho Indexu SPVIXSTR. Rozev\u00edr\u00e1n\u00ed vzd\u00e1lenost\u00ed obou k\u0159ivek v \u010d\u00e1stech grafu, kdy ob\u011b k\u0159ivky klesaj\u00ed, jsou op\u011bt v\u00fdsledkem pr\u00e1v\u011b zakomponovan\u00e9 p\u00e1ky se v\u0161emi v\u00fd\u0161e popisovan\u00fdmi v\u00fdpo\u010detn\u00edmi souvislostmi a chov\u00e1n\u00edm v\u00fdpo\u010dtu hodnoty UVXY p\u0159i poklesech.<\/span><\/p>\n

\u00a0\u00a0 Historick\u00e1 anal\u00fdza a jej\u00ed probl\u00e9my<\/strong><\/span><\/h2>\n

\u00a0\u00a0 K proveden\u00ed z\u00e1kladn\u00ed historick\u00e9 anal\u00fdzy mohu p\u0159istoupit se stejnou logikou, jako v p\u0159\u00edpadech s pozn\u00e1n\u00edm z\u00e1kladn\u00edch vlastnost\u00ed Volatility ETN s tickery VXX a VXZ v minul\u00e9m \u010dl\u00e1nku. Na t\u00e9m\u011b\u0159 desetilet\u00e9m datov\u00e9m souboru podkladu UVXY mohu cht\u00edt otestovat z\u00e1kladn\u00ed obchodn\u00ed p\u0159\u00edstup zalo\u017een\u00fd na vypisov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f s p\u016flro\u010dn\u00ed a\u017e t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed expirac\u00ed a sledovat, jak si takov\u00e9 obchody vedou. Mou snahou je tak op\u011bt vsadit na p\u0159eva\u017euj\u00edc\u00ed pokles hodnoty UVXY a dos\u00e1hnout situace, kdy vypsan\u00e9 Short Call opce zaji\u0161t\u011bn\u00e9 Long Call opcemi do Call Credit Spread\u016f<\/strong> vypr\u0161\u00ed jako bezcenn\u00e9 u sv\u00e9 expirace. Vypisov\u00e1n\u00ed v dlouhodob\u00e9m horizontu pak vol\u00edm s ohledem na po\u017eadavek zapojen\u00ed v\u0161ech efekt\u016f p\u016fsob\u00edc\u00edch na pokles hodnoty obchodovan\u00e9ho titulu, tedy p\u0159eva\u017euj\u00edc\u00edho stavu Contango na trz\u00edch VX futures a ztr\u00e1ta hodnoty vlivem p\u0159epo\u010d\u00edt\u00e1v\u00e1n\u00ed hodnoty na denn\u00ed b\u00e1zi za pou\u017eit\u00ed p\u00e1kov\u00e9ho efektu. Tyto teoretick\u00e9 p\u0159edpoklady jsou samoz\u0159ejm\u011b smyslupln\u00e9 a maj\u00ed pravd\u011bpodobn\u011b i racion\u00e1ln\u00ed z\u00e1klad, nar\u00e1\u017e\u00ed v\u0161ak na praktick\u00e9 probl\u00e9my. V takto dlouhodob\u00e9m re\u017eimu nemohu smyslupln\u011b obchod otev\u0159\u00edt. Na obr\u00e1zku n\u00ed\u017ee je zobrazen nyn\u011bj\u0161\u00ed op\u010dn\u00ed \u0159et\u011bzec s opcemi s expirac\u00ed za 137 kalend\u00e1\u0159n\u00edch dn\u016f.<\/span><\/p>\n

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\u00a0\u00a0 Nab\u00edzen\u00e9 ceny op\u010dn\u00edch kontrakt\u016f jednodu\u0161e neumo\u017e\u0148uj\u00ed sestavit rizikov\u011b p\u0159im\u011b\u0159en\u00fd Call Credit Spread na strikes \u201emimo pen\u00edze\u201c. Na obr\u00e1zku jsou zachyceny kombinace s rozp\u011bt\u00edm Call Credit Spreadu dva body (rizikem -200 USD). V\u00fdpisem Short Call op\u010dn\u00edch kontrakt\u016f sice z\u00edsk\u00e1m Pr\u00e9mium, n\u00e1kup ochrann\u00e9 Long Call na vy\u0161\u0161\u00edm strike je v\u0161ak tak drah\u00fd, \u017ee na n\u011bj padne cel\u00e9 z\u00edskan\u00e9 Pr\u00e9mium, jeho valn\u00e1 \u010d\u00e1st nebo dokonce n\u00e1kup ochrann\u00e9 Long Call opce na vy\u0161\u0161\u00edm strike je dra\u017e\u0161\u00ed ne\u017e z\u00edskan\u00e9 Pr\u00e9mium za v\u00fdpis Call opce na ni\u017e\u0161\u00edm strike. Drastick\u00fd Ask\/Bid spread vypl\u00fdvaj\u00edc\u00ed z pov\u011bdom\u00ed o p\u0159edpokl\u00e1dan\u00e9m budouc\u00edm chov\u00e1n\u00ed podkladu UVXY neumo\u017e\u0148uje na takto vzd\u00e1len\u00fdch expirac\u00edch vytv\u00e1\u0159et smyslupln\u00e9 kombinace, \u010dek\u00e1n\u00ed na vypln\u011bn\u00ed p\u0159\u00edkaz\u016f na n\u011bjak\u00e9 dobr\u00e9 cen\u011b se spolehliv\u011b m\u00edj\u00ed sv\u00fdm \u00fa\u010dinkem. P\u0159\u00edzniv\u011bj\u0161\u00ed obr\u00e1zek by se mi mohl naskytnout p\u0159i \u0159e\u0161en\u00ed stejn\u00e9ho obchodn\u00edho probl\u00e9mu – sestavit Call Credit Spread na op\u010dn\u00edch kontraktech s krat\u0161\u00ed dobou do expirace. Na obr\u00e1zku n\u00ed\u017ee je vyzna\u010deno stejn\u00e9 \u00fasil\u00ed dos\u00e1hnout sestaven\u00ed dvoubodov\u00e9ho Credit Call Spreadu na op\u010dn\u00edch kontraktech s expirac\u00ed za 18 kalend\u00e1\u0159n\u00edch dn\u016f.<\/span><\/p>\n

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\u00a0\u00a0 M\u00edrn\u00e1 Pr\u00e9mia v\u00a0kombinaci s\u00a0mo\u017enost\u00ed v\u00fdst\u0159elu hodnoty UVXY p\u0159i mal\u00e9m \u010dasov\u00e9m prostoru k\u00a0projevu v\u0161ech prvk\u016f, na kter\u00e9 by m\u011bl \u201em\u016fj syst\u00e9m\u201c spol\u00e9hat, by byl opravdu velmi rizikovou operac\u00ed.<\/span><\/p>\n

\u00a0\u00a0 S\u00a0ohledem na tyto nevhodn\u00e9 obchodn\u00ed podm\u00ednky bych mohl celou obchodn\u00ed \u00favahu zalo\u017eenou na t\u00e9m\u011b\u0159 permanentn\u00edm kles\u00e1n\u00ed ceny UVXY p\u0159en\u00e9st na Put stranu op\u010dn\u00edho \u0159et\u011bzce<\/strong> a cht\u00edt se pokusit zachytit toto chov\u00e1n\u00ed pomoc\u00ed n\u00e1kupu Long Put<\/strong> opc\u00ed. Nen\u00ed to \u0161patn\u00e9 my\u0161lenka, proto\u017ee m\u00e1m omezen\u00fd potenci\u00e1l ztr\u00e1ty vyj\u00e1d\u0159en\u00fd po\u0159izovac\u00ed cenou Long Put opce, v\u00edce ne\u017e ztr\u00e1tu investovan\u00fdch prost\u0159edk\u016f do jej\u00edho n\u00e1kupu pak nemohu ztratit. Budu pak spol\u00e9hat na stejn\u00e9 efekty podporuj\u00edc\u00ed pokles ceny v dlouhodob\u011bj\u0161\u00edm \u010dasov\u00e9m horizontu a pod\u00edv\u00e1m se, jak\u00e9 cenov\u00e9 podm\u00ednky jsou pro tyto obchody vytvo\u0159eny na Put stran\u011b na op\u010dn\u00edch kontraktech s expirac\u00ed za 137 kalend\u00e1\u0159n\u00edch dn\u016f.<\/span><\/p>\n

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\u00a0\u00a0 Ceny Long Put opc\u00ed jsou z\u00e1vratn\u00e9. N\u00e1kup Long Put<\/strong> na strike 14<\/strong> vyjde na -460 USD<\/strong> (1)<\/strong>. Cena by musela do expirace klesnout na hodnotu (14 -4.60 USD) UVXY ve v\u00fd\u0161i 9.40 USD, abych se ocitl na BreakEven bodu cel\u00e9ho obchodu a UVXY by tak muselo ztratit t\u0159etinu sv\u00e9 hodnoty, abych byl alespo\u0148 \u201ena sv\u00e9m\u201c. Mohl bych se rozhodnout, \u017ee posunu \u00favahu v\u00edce \u201edo pen\u011bz\u201c a pokus\u00edm se nakoupit Long Put<\/strong> na strike 20<\/strong> (2)<\/strong>, abych nakoupil v\u00edce Vnit\u0159n\u00ed Hodnoty na \u00fakor Pr\u00e9mia. Mohu z\u00a0obr\u00e1zku zjistit, \u017ee by m\u011b takov\u00e1 Long Put 20 vy\u0161la na -1 075 USD<\/strong>. BreakEven bod ve v\u00fd\u0161i (20-10.75 USD) na hodnot\u011b 9.25 USD je dokonce n\u00ed\u017ee ne\u017e p\u0159i n\u00e1kupu Long Put na ni\u017e\u0161\u00edm strike. Pokles ceny UVXY by pak musel b\u00fdt stejn\u00fd, jako v p\u0159edchoz\u00edm p\u0159\u00edpad\u011b, jenom bych u Long Put hloub\u011bji \u201ev pen\u011bz\u00edch\u201c m\u011bl investov\u00e1no v\u00edce pen\u011bz a p\u0159\u00edpadn\u00fd uptrend by pak znamenal vy\u0161\u0161\u00ed ztr\u00e1tu. Spol\u00e9hat na p\u0159ekon\u00e1n\u00ed \u0161irok\u00e9ho Ask\/Bid a \u010dek\u00e1n\u00ed na lep\u0161\u00ed n\u00e1kupn\u00ed cenu je u takto dlouhodob\u00fdch opc\u00ed m\u00edrn\u011b nerealistick\u00e9 a lep\u0161\u00ed cena je jen v\u00fdsledkem shody okolnost\u00ed nebo v\u00edcem\u00e9n\u011b n\u00e1hody a nelze s n\u00ed systematicky po\u010d\u00edtat. Mohl bych zapojit do Put obchod\u016f \u00favahu nakoupen\u00e9 Long Put vylep\u0161it o z\u00edsk\u00e1n\u00ed Pr\u00e9mia<\/strong> v\u00fdpisem Short Put<\/strong> na ni\u017e\u0161\u00edm strike a vytvo\u0159it Put Bear Spread<\/strong> a spol\u00e9hat, \u017ee pokles ceny zp\u016fsob\u00ed, \u017ee tento Put Bear Spread z\u016fstane \u201ev pen\u011bz\u00edch\u201c (nebo se dostane \u201edo pen\u011bz\u201c) a vygeneruje maxim\u00e1ln\u00ed mo\u017en\u00fd profit dan\u00fd rozsahem sv\u00fdch strike p\u0159i ode\u010dten\u00ed n\u00e1klad\u016f na jeho po\u0159\u00edzen\u00ed. Takov\u00fd Put Bear Spread je vyzna\u010den na obr\u00e1zku nap\u0159\u00edklad mo\u017enost\u00ed (3)<\/strong> a znamenal by nap\u0159\u00edklad v\u00fdpis Short Put 15 za +350 USD k nakoupen\u00e9 Long Put 20 za -1 075 USD. Takov\u00fd Put Bear Spread m\u00e1 maxim\u00e1ln\u00ed potenci\u00e1l profitu +500 USD (rozd\u00edl strike 20-15), ale na jeho po\u0159\u00edzen\u00ed vynalo\u017e\u00edm (+350 USD -1075 USD) \u010d\u00e1stku -725 USD!!! Byla by to jasn\u00e1 ztr\u00e1ta ihned p\u0159i konstrukci obchodu.\u00a0 \u00a0 \u00a0<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee je prov\u00e1d\u011bn\u00ed obchod\u016f pomoc\u00ed technik s omezen\u00fdm rizikem v\u00edcem\u00e9n\u011b neprovediteln\u00e9, nemohu si odpustit demonstraci s\u00edly d\u016fvod\u016f, kter\u00e9 vedou k t\u00e9m\u011b\u0159 permanentn\u00edmu tlaku na pokles ceny UVXY na velmi zjednodu\u0161en\u00e9m testu historick\u00fdch dat pomoc\u00ed rizikov\u011bj\u0161\u00edho p\u0159\u00edstupu. Za historick\u00e1 data pou\u017eiji split\u2013adjusted data, tedy data, kter\u00e1 neberou v \u00favahu proveden\u00e9 reverzn\u00ed splity za dobu p\u016fsoben\u00ed titulu UVXY v trz\u00edch. Na obr\u00e1zku n\u00ed\u017ee je zachycena historie reverzn\u00edch split\u016f s term\u00edny proveden\u00ed t\u011bchto operac\u00ed spole\u010dn\u011b se splitov\u00fdmi pom\u011bry.<\/span><\/p>\n

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\u00a0\u00a0 Auto\u0159i ETF UVXY museli k tomuto z\u00e1sahu do ceny p\u0159istoupit razantn\u011bji ne\u017e v p\u0159\u00edpad\u011b VXX. \u010cetnost split\u016f i velikost pom\u011br\u016f pak op\u011bt demonstruje, \u017ee to s UVXY jde opravdu t\u00e9m\u011b\u0159 po\u0159\u00e1d z kopce. Ke splitu pak mohou m\u00edt tv\u016frci tohoto ETF mnoho dobr\u00fdch d\u016fvod\u016f, kdy\u017e sjednocuj\u00edc\u00edm jmenovatelem je pak zachovat zejm\u00e9na atraktivitu titulu pro investory. Velk\u00e9 fondy mohou m\u00edt nap\u0159\u00edklad ve sv\u00e9m investi\u010dn\u00ed politice zakotveno, \u017ee nemohou investovat do titul\u016f s nomin\u00e1ln\u00ed hodnotou men\u0161\u00ed ne\u017e nap\u0159\u00edklad p\u011bt dolar\u016f, n\u011bkter\u00e9 z burz pak mohou m\u00edt stejn\u011b omezuj\u00edc\u00ed pravidlo (stanoven\u00ed n\u011bjak\u00e9 cenov\u00e9 \u00farovn\u011b), kdy v p\u0159\u00edpad\u011b poklesu pod stanovenou cenovou \u00farove\u0148 dojde k delistov\u00e1n\u00ed titulu ze seznamu obchodovan\u00fdch titul\u016f.<\/span><\/p>\n

\u00a0\u00a0 Co bych tedy mohl testovat? Super agresivn\u00ed techniku pro ocelov\u00e9 nervy, pevnou psychiku a obchodn\u00ed sebek\u00e1ze\u0148, tedy nic, co bych mohl doporu\u010dovat. Mechanick\u00e1 strategie<\/strong> bude po\u010d\u00edtat se vstupem do obchodu ka\u017ed\u00e9 pond\u011bl\u00ed<\/strong>, kdy budu investovat do opc\u00ed s\u00a0expirac\u00ed za p\u016fl roku a tyto vstupy do p\u016fvodn\u011b p\u016flro\u010dn\u00ed opce budu opakovat t\u0159i m\u011bs\u00edce, abych po t\u0159ech m\u011bs\u00edc\u00edch za\u010dal sv\u00e9 pond\u011bln\u00ed v\u00fdpisy umis\u0165ovat do op\u010dn\u00edho \u0159et\u011bzce za dal\u0161\u00edho p\u016fl roku. Bude to tedy z\u00a0\u010dasov\u00e9ho hlediska stejn\u00fd princip, jako v\u00a0minul\u00e9m p\u0159\u00edsp\u011bvku, budu tedy spekulovat na pokles ceny UVXY v\u00a0horizontu t\u0159ech a\u017e \u0161esti m\u011bs\u00edc\u016f. Z\u00e1kladn\u00edm p\u0159edpokladem bude v\u00fdpis nekryt\u00e9 Short Call<\/strong> na strike \u201emimo pen\u00edze\u201c ve vzd\u00e1lenosti +20%<\/strong> od sou\u010dasn\u00e9 ceny pro opci v expiraci za p\u016fl roku. Za takov\u00fd v\u00fdpis bych mohl inkasovat +250<\/strong><\/span> USD Pr\u00e9mia<\/strong>. Sou\u010dasn\u011b si stanov\u00edm, \u017ee budu schopen akceptovat ztr\u00e1tu -2.000 USD, kterou budu cht\u00edt uzamknout tak, \u017ee v p\u0159\u00edpad\u011b n\u00e1r\u016fstu ceny UVXY nad<\/strong> m\u016fj vypsan\u00fd strike<\/strong> o dvacet jedna bod\u016f<\/strong> nakoup\u00edm t\u011bsn\u011b p\u0159ed expirac\u00ed Long Call<\/strong> opci prvn\u00ed \u201ev pen\u011bz\u00edch\u201c, kter\u00e1 by mohla m\u00edt hodnotu -150 USD<\/strong><\/span>, vyd\u011bl\u00e1m tedy na v\u00fdpisu a n\u00e1kupu opce do uzav\u00edrac\u00edho Call Credit Spreadu (+250 USD -150 USD) \u010d\u00e1stku +100 USD<\/strong><\/span> a sou\u010dasn\u011b budu p\u0159edpokl\u00e1dat, \u017ee m\u016fj Call Credit Spread zakon\u010d\u00ed \u201ev pen\u011bz\u00edch\u201c s\u00a0maxim\u00e1ln\u00ed ztr\u00e1tou definovanou rozsahem sv\u00fdch dvacet jedna strike na \u00farovni -2.100 USD<\/strong><\/span>, celkov\u00e1 ztr\u00e1ta po zapo\u010dten\u00ed p\u0159ijat\u00e9ho Pr\u00e9mia (+100 USD) tak bude v\u00a0takov\u00e9m p\u0159\u00edpad\u011b -2.000 USD<\/strong><\/span>. Je to opravdu modelov\u00e1 situace a vych\u00e1z\u00ed z pr\u016fm\u011brn\u00e9 ztr\u00e1ty (pokud nastane) v m\u00e9m prov\u00e1d\u011bn\u00e9m testu za obdob\u00ed, kdy m\u00e1m k dispozici historick\u00e1 data (od roku 2011). Pro \u00faplnost uv\u00e1d\u00edm, \u017ee v sou\u010dasn\u00e9 dob\u011b m\u016fj broker po\u017eaduje za v\u00fdpis p\u016flro\u010dn\u00ed OTM Short Call ve vzd\u00e1lenosti 20% margin ve v\u00fd\u0161i zhruba 1.600 USD. Tato zna\u010dn\u011b agresivn\u00ed strategie s neomezen\u00fdm potenci\u00e1lem ztr\u00e1ty a omezen\u00fdm potenci\u00e1lem profitu ve v\u00fd\u0161i z\u00edskan\u00e9ho Pr\u00e9mia by m\u011bla ve sv\u00e9 grafick\u00e9 podob\u011b tento mo\u017en\u00fd pr\u016fb\u011bh.<\/span><\/p>\n

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\u00a0\u00a0 Zna\u010dn\u011b pilovit\u00fd pr\u016fb\u011bh vyzna\u010duj\u00edc\u00ed se dv\u011bma podstatn\u00fdmi propady by p\u0159ece jen p\u0159inesl pro otrl\u00e9ho a vytrval\u00e9ho obchodn\u00edka zna\u010dn\u00fd profit ve v\u00fd\u0161i +39.750 USD<\/strong>, co\u017e je p\u0159i jednokontraktn\u00ed pozici zna\u010dn\u011b impozantn\u00ed \u010d\u00e1stka. Sv\u016fj modelov\u00fd test jsem nyn\u00ed, oproti minul\u00e9mu \u010dl\u00e1nku, vylep\u0161il o zji\u0161t\u011bn\u00ed procenta v\u00edt\u011bzn\u00fdch obchod\u016f v prov\u00e1d\u011bn\u00e9 anal\u00fdze, a mohu tak konstatovat, \u017ee z celkov\u011b proveden\u00fdch 375 obchod\u016f bylo na m\u00fdch datech 353 \u00fasp\u011b\u0161n\u00fdch obchod\u016f, co\u017e p\u0159edstavuje \u00fasp\u011b\u0161nost ve v\u00fd\u0161i 94,13%<\/strong>. Pro \u00faplnost vypov\u00eddac\u00ed hodnoty takov\u00e9ho testu upozor\u0148uji, \u017ee datov\u00e1 \u0159ada nezohled\u0148uje sn\u00ed\u017een\u00ed p\u00e1ky z 2x na 1.5x v \u00fanoru 2018, mohu tak p\u0159istoupit k jeho v\u00fdsledku pro interpretaci do budoucnosti s nepatrn\u011b vy\u0161\u0161\u00edm optimismem, proto\u017ee cenov\u00e9 pohyby UVXY (zejm\u00e9na ty vzh\u016fry) byly p\u0159i vy\u0161\u0161\u00ed p\u00e1ce 2x v\u00fdznamn\u011bj\u0161\u00ed ne\u017e p\u0159i sou\u010dasn\u00e9 sn\u00ed\u017een\u00e9 \u00farovni p\u00e1ky na 1.5x.\u00a0<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee je toto velmi pozoruhodn\u00e9 zji\u0161t\u011bn\u00ed, mohu si sv\u016fj test vylep\u0161it tak, \u017ee se budu sna\u017eit odstranit ze sv\u00fdch ne\u00fasp\u011b\u0161n\u00fdch obchod\u016f ty, kter\u00e9 zp\u016fsobuj\u00ed propady na m\u00e9 k\u0159ivce celkov\u00e9 hodnoty obchod\u016f. Nejjednodu\u0161\u0161\u00edm zp\u016fsobem bude testovat vstupov\u00e1n\u00ed do stejn\u00fdch obchod\u016f se stejnou expirac\u00ed (t\u0159\u00ed a\u017e \u0161estim\u011bs\u00ed\u010dn\u00ed) na vzd\u00e1len\u011bj\u0161\u00edch strike<\/strong> s p\u0159edpokladem, \u017ee p\u0159\u00edpadn\u00fd pohyb vzh\u016fru na titulu UVXY s v\u011bt\u0161\u00ed o\u010dek\u00e1vanou pravd\u011bpodobnost\u00ed nezas\u00e1hne m\u016fj vypsan\u00fd strike. Sv\u016fj test jsem krom\u011b mo\u017enosti m\u011bnit vzd\u00e1lenost vypisovan\u00e9ho strike Short Call vybavil modelov\u00e1n\u00ed v\u00fd\u0161e p\u0159ijat\u00e9ho Pr\u00e9mia a mo\u017en\u00e9 hranice maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty, proto\u017ee je pochopiteln\u00e9, \u017ee p\u0159i v\u00fdpisu ve v\u011bt\u0161\u00ed vzd\u00e1lenosti (vy\u0161\u0161\u00edm strike) nemohu z\u00edskat stejn\u00e9 Pr\u00e9mium jako p\u0159i v\u00fdpisu na ni\u017e\u0161\u00edch strike a tak\u00e9 se zvy\u0161uje pravd\u011bpodobnost, \u017ee m\u00e1 ztr\u00e1ta by nemusela b\u00fdt tak vysok\u00e1, jakou jsem si stanovil p\u0159i v\u00fdpisu na ni\u017e\u0161\u00edm strike. Na obr\u00e1zku n\u00ed\u017ee je pak grafick\u00fd v\u00fdsledek namodelovan\u00fdch situac\u00ed.<\/span><\/p>\n

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

\u00a0\u00a0 Vypad\u00e1 to nep\u0159ehledn\u011b, ale je z obr\u00e1zku patrn\u00e9, \u017ee p\u0159esto\u017ee posouv\u00e1m vzd\u00e1lenost a\u017e na zna\u010dn\u00fdch 50% \u201eod pen\u011bz\u201c, nezabr\u00e1nilo to ztr\u00e1t\u011b vyprodukovan\u00e9 na investici do op\u010dn\u00edch kontrakt\u016f na nejr\u016fzn\u011bj\u0161\u00edch strike s expirac\u00ed v prosinci 2018 (21.12.2018) ozna\u010den\u00e9m \u010dervenou \u0161ipkou. Na grafu n\u00ed\u017ee je pro p\u0159ipomenut\u00ed zn\u00e1zorn\u011bno chov\u00e1n\u00ed trh\u016f p\u0159ed v\u00e1nocemi 2018 m\u011b\u0159en\u00e9 titulem SP 500 (SPX).<\/span><\/p>\n

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\u00a0\u00a0 Obdob\u00ed ztr\u00e1ty m\u00e9 strategie pro jakoukoliv vzd\u00e1lenost vyzna\u010duje op\u011bt \u010derven\u00e1 \u0161ipka v grafu SPX. Proto\u017ee je graf s v\u00fdsledkem jednoduch\u00e9 a modelov\u00e9 anal\u00fdzy v\u00fd\u0161e mo\u017en\u00e1 nep\u0159ehledn\u00fd, shrnul jsem jeho v\u00fdsledky do tabulky<\/span><\/p>\n

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\u00a0\u00a0 Z p\u0159ehledu vypl\u00fdv\u00e1 celkem jednoduch\u00e1 z\u00e1vislost. \u00dasp\u011b\u0161nost obchod\u016f je vysok\u00e1 a zvy\u0161uje se s nar\u016fstaj\u00edc\u00ed vzd\u00e1lenost\u00ed vypisovan\u00fdch strike od aktu\u00e1ln\u00ed ceny, od hranice vzd\u00e1lenosti 40% se ale ji\u017e nezvy\u0161uje a je stejn\u00e1 na \u00farovni 97.07%. Znamen\u00e1 to, \u017ee ani nejvzd\u00e1len\u011bj\u0161\u00ed 50% vzd\u00e1lenost vypisovan\u00ed by m\u011b neuchr\u00e1nila p\u0159ed ztr\u00e1tov\u00fdm obdob\u00edm p\u0159edev\u0161\u00edm z roku 2018. Nejvy\u0161\u0161\u00ed v\u00fdkonnost<\/strong> (+47.250 USD) bych dos\u00e1hl p\u0159i mechanick\u00e9m vypisov\u00e1n\u00ed na \u00farovni 35%<\/strong> vzd\u00e1lenosti od aktu\u00e1ln\u00ed ceny (\u010derven\u00e1 \u0161ipka). Vzd\u00e1lenost 40%, 45% a 50% pak vykazuje ji\u017e zm\u00edn\u011bnou stejnou \u00fasp\u011b\u0161nost obchod\u016f, ale celkov\u011b vytvo\u0159en\u00fd profit za testovan\u00e9 obdob\u00ed kles\u00e1 (modr\u00e1 \u0161ipka v tabulce) a je to jednozna\u010dn\u011b zp\u016fsobeno skute\u010dnost\u00ed, \u017ee jednodu\u0161e p\u0159i stejn\u00e9 \u00fasp\u011b\u0161nosti<\/strong> z\u00edsk\u00e1v\u00e1m m\u00e9n\u011b Pr\u00e9mia<\/strong> za v\u00fdpisy na vzd\u00e1len\u011bj\u0161\u00edch strike.<\/span><\/p>\n

\u00a0\u00a0 Mohl bych nyn\u00ed posunout m\u00e9 velmi zjednodu\u0161en\u00e9 testov\u00e1n\u00ed o kr\u016f\u010dek d\u00e1l a zab\u00fdvat se my\u0161lenkou, co by mohlo vylep\u0161it vypisov\u00e1n\u00ed Short Call ve vzd\u00e1lenosti 35% OTM od aktu\u00e1ln\u00ed ceny na t\u0159\u00ed a\u017e \u0161estim\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch expirac\u00edch, kdy\u017e takov\u00e9 vypisov\u00e1n\u00ed p\u0159ineslo sice nejlep\u0161\u00ed v\u00fdsledek, ale nezabr\u00e1nilo dosti podstatn\u00e9mu \u201ez\u00e1\u0159ezu\u201c do equity k\u0159ivky v prosinci 2018. Nebudu nyn\u00ed vym\u00fd\u0161let z\u00e1zra\u010dn\u00e1 vylep\u0161en\u00ed, ale vyp\u016fj\u010d\u00edm si nastaven\u00ed vstupov\u00e1n\u00ed do ka\u017edopond\u011bln\u00edho vypisov\u00e1n\u00ed o n\u011bjak\u00fd logick\u00fd \u201efiltr\u201c z minul\u00e9ho \u010dl\u00e1nku. Podroben\u00ed zkoum\u00e1n\u00ed, zda vstupovat do t\u00e9to strategie \u201eza ka\u017ed\u00e9ho po\u010das\u00ed\u201c nebo na n\u011bjak\u00e9m stupni rozbou\u0159enosti m\u00e1 ur\u010dit\u011b smysl, proto\u017ee p\u0159in\u00e1\u0161\u00ed velmi praktick\u00e9 vylep\u0161en\u00ed. Pokud zavl\u00e1dne na trz\u00edch nejistota, za\u010dne se m\u011bnit \u010dasov\u00e1 struktura VX futures a tyto na nejistotu reaguj\u00ed. Z ji\u017e n\u011bkolikr\u00e1t popsan\u00fdch vzor\u016f chov\u00e1n\u00ed t\u011bchto VX futures pak p\u0159i zvy\u0161uj\u00edc\u00ed se nejistot\u011b za\u010d\u00edn\u00e1 nar\u016fstat hodnota podkladov\u00e9ho Indexu SPVXSTR a v jeho odrazu pak roste hodnota odvozen\u00fdch deriv\u00e1t\u016f, v m\u00e9m p\u0159\u00edpad\u011b dokonce s 1.5x p\u00e1kov\u00fdm efektem. Je pak tak\u00e9 logicky smyslupln\u00e9 na aktu\u00e1ln\u011b vy\u0161\u0161\u00edch cen\u00e1ch vypisovat op\u010dn\u00ed kontrakty nad aktu\u00e1ln\u00ed cenou ne\u017e v obdob\u00edch klidu, kdy ceny podkladov\u00e9ho UVXY klesaj\u00ed a jejich cena by mohla p\u0159i n\u00e1sledn\u00fdch zav\u00e1h\u00e1n\u00edch trh\u016f explodovat. Mohu zvolit z mno\u017estv\u00ed se nab\u00edzej\u00edc\u00ed \u201ebarometr\u016f\u201c, kter\u00e9 mi mohou takovou m\u00edru neklidu zaznamen\u00e1vat (\u00farove\u0148 SPX, Contango na n\u011bkter\u00e9 s kombinac\u00ed VX futures, pom\u011br ceny VIX Indexu a prvn\u00edho VX futures, \u00farove\u0148 VVIX<\/strong><\/a><\/span> \u2013 Volatility samotn\u00e9 Volatility \u00a0atd\u2026.), pro m\u00e9 zjednodu\u0161en\u00e9 pot\u0159eby s\u00e1hnu op\u011bt k nejjednodu\u0161\u0161\u00edmu z nich \u2013 aktu\u00e1ln\u00ed hodnot\u011b VIX Indexu<\/strong>. Stejn\u011b jako v\u00a0minul\u00e9m \u010dl\u00e1nku budu cht\u00edt od sv\u00e9 anal\u00fdzy vypisov\u00e1n\u00ed Short Call nad aktu\u00e1ln\u00ed cenou vysledovat, jak se m\u016f\u017ee odrazit o\u010dek\u00e1van\u00e1 volatilita do m\u00e9ho rozhodnut\u00ed vstupovat \u010di nevstupovat do zam\u00fd\u0161len\u00fdch obchod\u016f. Na obr\u00e1zku n\u00ed\u017ee je takov\u00e9 filtrov\u00e1n\u00ed vstup\u016f zachyceno v\u00a0grafick\u00e9 podob\u011b. \u00a0 \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Siln\u00e1 \u010derven\u00e1 k\u0159ivka<\/strong> zn\u00e1zor\u0148uje \u201enejlep\u0161\u00ed\u201c v\u00fdsledek z\u00a0odstavce v\u00fd\u0161e, tedy vstup do v\u00fdpisu Short Call<\/strong> ve vzd\u00e1lenosti 35%<\/strong>, a to ka\u017ed\u00e9 pond\u011bl\u00ed, bez ohledu na stavy trh\u016f, tedy jak\u00fdsi vytvo\u0159en\u00fd benchmark p\u0159edchoz\u00ed anal\u00fdzy. Zbyl\u00e9 k\u0159ivky pak p\u0159edstavuj\u00ed filtrovan\u00e9 vstupy do obchod\u016f na nejr\u016fzn\u011bj\u0161\u00edch \u00farovn\u00edch VIX Indexu. P\u0159esto\u017ee je v\u00fdsledek patrn\u00fd, shrnul jsem jednotliv\u00e9 \u00farovn\u011b vstup\u016f definovan\u00e9 aktu\u00e1ln\u00ed hladinou VIX Indexu do n\u00e1zorn\u011bj\u0161\u00edho histogramu.<\/span><\/p>\n

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\u00a0\u00a0 Z pr\u016fb\u011bhu jednotliv\u00fdch k\u0159ivek vypl\u00fdv\u00e1, \u017ee ji\u017e zapojen\u00ed filtrov\u00e1n\u00ed nad \u00farovn\u00ed VIX Indexu<\/strong> ve v\u00fd\u0161i 15%<\/strong> z pr\u016fb\u011bhu testovan\u00e9ho mechanick\u00e9ho obchodu vyhladilo ne\u0161\u0165astn\u00fd pokles z prosince 2018 (\u010dern\u00e1 tenk\u00e1 k\u0159ivka v grafu ozna\u010den\u00e1 \u010dernou \u0161ipkou), zapojen\u00ed vy\u0161\u0161\u00ed filtrovac\u00ed \u00farovn\u011b VIX Indexu na hodnot\u00e1ch 18% a 20% pak m\u00e1 na tvar k\u0159ivky podobn\u00fd vliv (te\u010dkovan\u00e9 k\u0159ivky v grafu ozna\u010den\u00e9 \u010derven\u00fdmi \u0161ipkami). Zapojen\u00ed filtru m\u00e1 pochopiteln\u011b vliv na po\u010det obchod\u016f, kter\u00e9 jsem testoval, tak\u017ee je celkov\u00e1 v\u00fdkonnost u vy\u0161\u0161\u00edch hodnot VIX Indexu ni\u017e\u0161\u00ed z praktick\u00e9ho d\u016fvodu \u2013 nasb\u00edral jsem postupn\u00fdmi, ale m\u00e9n\u011b frekventovan\u00fdmi v\u00fdpisy adekv\u00e1tn\u011b m\u00e9n\u011b Pr\u00e9mi\u00ed. \u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 Jak si takovou jednoduchou anal\u00fdzu vysv\u011btlit? S velkou rezervou. Nejsem p\u0159\u00edznivcem naked vypisov\u00e1n\u00ed a v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b jej nemohu doporu\u010dit, pokud opravdu nem\u00e1m zku\u0161enosti a nev\u00edm p\u0159esn\u011b co d\u011blat, a toto memento se t\u00fdk\u00e1 jak\u00fdchkoliv trh\u016f, nikoliv jen trh\u016f s deriv\u00e1ty volatility. P\u0159esto\u017ee jsou rizika velmi jasn\u00e1, jsou tyto trhy p\u0159ekvapiv\u011b dob\u0159e likvidn\u00ed a nepochybuji, \u017ee se jich \u00fa\u010dastn\u00ed opravdu zna\u010dn\u00e9 mno\u017estv\u00ed trader\u016f, kte\u0159\u00ed spekuluj\u00ed mo\u017en\u00e1 formou t\u011bchto naked v\u00fdpis\u016f. Je to samoz\u0159ejm\u011b ka\u017ed\u00e9ho v\u011bc a plat\u00ed ok\u0159\u00eddlen\u00e9 \u201ekde nen\u00ed riziko, nen\u00ed profit\u201c. Pokud chci do n\u011bjak\u00e9ho obchodu vstoupit, mus\u00edm poznat jeho z\u00e1kladn\u00ed vzory chov\u00e1n\u00ed a m\u00edt alespo\u0148 z\u00e1kladn\u00ed pov\u011bdom\u00ed, jak dan\u00fd investi\u010dn\u00ed n\u00e1stroj funguje. Uveden\u00e1 anal\u00fdza m\u011bla jedin\u00fd d\u016fvod, uk\u00e1zat, \u017ee z\u00e1kladn\u00ed pohled na t\u00e9m\u011b\u0159 setrvale klesaj\u00edc\u00ed titul by mohlo b\u00fdt mo\u017en\u011b p\u0159etavit do \u201en\u011bjak\u00fdch obchod\u016f\u201c, analyzovan\u00e9 obchody jsou sice krajn\u011b rizikov\u00e9, ale vypov\u00eddaj\u00ed o jejich z\u00e1kladn\u00edm potenci\u00e1lu. Nen\u00ed nic jednodu\u0161\u0161\u00edho si takov\u00fd jednoduch\u00fd excelovsk\u00fd test sestrojit a modelovat si na n\u011bm vlastn\u00ed obchodn\u00ed p\u0159edstavy. Pou\u017eit\u00ed split-adjusted historick\u00fdch dat, zm\u011bna hodnoty p\u00e1ky, aktu\u00e1ln\u00ed \u00farove\u0148 volatility projevuj\u00edc\u00ed se do v\u00fd\u0161e mo\u017en\u00fdch z\u00edskan\u00fdch Pr\u00e9mi\u00ed, dostupnost vzd\u00e1len\u00fdch strike, Ask\/Bid nab\u00edzen\u00fdch pln\u011bn\u00ed, komise, zm\u011bna marginov\u00fdch po\u017eadavk\u016f v obdob\u00ed turbulenc\u00ed, absolutn\u00ed hodnota mo\u017en\u00e9 ztr\u00e1ty\u2026toto jsou v\u0161echno prom\u011bnn\u00e9, kter\u00e9 mohou hr\u00e1t v praktick\u00e9m obchodn\u00edm \u017eivot\u011b d\u016fle\u017eitou a v\u00fdznamnou roli na rozd\u00edl od \u201elaboratorn\u00edch podm\u00ednek\u201c t\u00e9to z\u00e1kladn\u00ed historick\u00e9 anal\u00fdzy. Nebylo tak jej\u00edm smyslem uk\u00e1zat, co a kdy m\u00e1m ud\u011blat a jak to asi dopadne, ale poskytnout z\u00e1kladn\u00ed zamy\u0161len\u00ed nad takov\u00fdmi obchody a fungov\u00e1n\u00edm samotn\u00e9ho titulu, kter\u00fd je jejich p\u0159edm\u011btem :c)<\/span><\/p>\n

\u00a0 \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\u00a0 Proniknut\u00ed do problematiky deriv\u00e1t\u016f odvozen\u00fdch od volatility nut\u00ed zv\u00eddav\u00e9 du\u0161e k hled\u00e1n\u00ed dal\u0161\u00edch n\u00e1stroj\u016f, kter\u00e9 by mohly m\u00edt souvisej\u00edc\u00ed vlastnosti jako Volatility ETN popisovan\u00e9 v p\u0159edchoz\u00edch dvou \u010dl\u00e1nc\u00edch. Nemus\u00edm b\u00fdt p\u0159i hled\u00e1n\u00ed n\u011bjak zvl\u00e1\u0161\u0165 urputn\u00fd, abych si nev\u0161imnul, \u017ee takov\u00fdch \u201eodvozenin\u201c je celkem slu\u0161n\u00e1 f\u016fra. Popisoval jsem, \u017ee d\u00edky Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":4146,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[37],"tags":[39,40],"class_list":["post-4123","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index","tag-vx-futures"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2020\/02\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-14v","jetpack-related-posts":[{"id":595,"url":"https:\/\/dobretrejdy.com\/?p=595","url_meta":{"origin":4123,"position":0},"title":"Volatilita a op\u010dn\u00ed obchodov\u00e1n\u00ed","author":"dobretrejdy :c)","date":"12.7.2017","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed opc\u00ed je p\u0159edev\u0161\u00edm o obchodov\u00e1n\u00ed volatility. 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P\u0159i pohledu do zp\u011btn\u00e9ho zrc\u00e1tka m\u00e9ho obchodov\u00e1n\u00ed opc\u00ed bych tak mohl pozorovat, p\u0159i n\u011bjak\u00e9m historicky chronologick\u00e9m zobecn\u011bn\u00ed, jednotliv\u00e9 f\u00e1ze m\u00e9ho tradersk\u00e9ho v\u00fdvoje, kter\u00e9 byly charakterizov\u00e1ny t\u00edm, \u010demu jsem p\u0159ikl\u00e1dal v\u00a0tu danou dobu\u2026","rel":"","context":"V \u201eVolatilita\u201c","block_context":{"text":"Volatilita","link":"https:\/\/dobretrejdy.com\/?cat=35"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":4022,"url":"https:\/\/dobretrejdy.com\/?p=4022","url_meta":{"origin":4123,"position":1},"title":"VXX – Volatility ETN – I.","author":"dobretrejdy :c)","date":"4.1.2020","format":false,"excerpt":"\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\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\/01\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4086,"url":"https:\/\/dobretrejdy.com\/?p=4086","url_meta":{"origin":4123,"position":2},"title":"VXZ – Volatility ETN – II.","author":"dobretrejdy :c)","date":"25.1.2020","format":false,"excerpt":"\u00a0 \u00a0V minul\u00e9m \u010dl\u00e1nku jsem \u00a0jsem popisoval, jak je mo\u017en\u00e9 b\u00fdt pomoc\u00ed tickeru VXX exponov\u00e1n v prvn\u00edch dvou VX futures kontraktech. Tento ticker toti\u017e kop\u00edruje index S&P 500 VIX Short-Term Futures Index Total Return (SPVIXSTR), kdy\u017e tento Index je odrazem v\u00fdkonnosti t\u011bchto nejbli\u017e\u0161\u00edch dvou VX futures kontrakt\u016f. Tv\u016frci Indexu vytvo\u0159ili\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\/01\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1435,"url":"https:\/\/dobretrejdy.com\/?p=1435","url_meta":{"origin":4123,"position":3},"title":"VX Futures – Volatility Spread \u2013 IV.","author":"dobretrejdy :c)","date":"5.2.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch o obchodn\u00edch p\u0159\u00edle\u017eitostech a spreadov\u00fdch mo\u017enostech na b\u00e1zi VX futures, tedy s\u00a0deriv\u00e1ty volatility odvozen\u00fdmi od VIX Indexu, jsem na z\u00e1klad\u011b sledov\u00e1n\u00ed \u010dasov\u00e9 struktury t\u011bchto jednotliv\u00fdch VX futures kontrakt\u016f popsal ur\u010dit\u00e9 \u201evzorce chov\u00e1n\u00ed\u201c t\u011bchto kontrakt\u016f, abych vypozorovan\u00e9 n\u00e1sledn\u011b mohl vyhodnotit jako p\u0159\u00edpadn\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti. Existence listovan\u00fdch dev\u00edti m\u011bs\u00ed\u010dn\u00edch\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.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":733,"url":"https:\/\/dobretrejdy.com\/?p=733","url_meta":{"origin":4123,"position":4},"title":"Earnings – V. 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