{"id":5223,"date":"2021-01-24T11:07:33","date_gmt":"2021-01-24T09:07:33","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=5223"},"modified":"2024-08-18T08:42:03","modified_gmt":"2024-08-18T06:42:03","slug":"kreditni-strategie-iv","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=5223","title":{"rendered":"Kreditn\u00ed strategie \u2013 IV."},"content":{"rendered":"

\u00a0 \u00a0V p\u0159edch\u00e1zej\u00edc\u00edm \u010dl\u00e1nku Kreditn\u00ed strategie \u2013 III.<\/strong><\/span><\/a> jsem pouk\u00e1zal na vztah pom\u011bru rizika a ztr\u00e1ty (RRR) k pot\u0159eb\u011b vysok\u00e9ho n\u00e1roku na po\u010det v\u00edt\u011bzn\u00fdch obchod\u016f (%Win), aby m\u011blo obchodov\u00e1n\u00ed popisovan\u00fdch kreditn\u00edch op\u010dn\u00edch kombinac\u00ed n\u011bjak\u00fd z\u00e1kladn\u00ed smysl. Nosnou my\u0161lenkou bylo uk\u00e1zat, \u017ee obchody s nep\u0159\u00edzniv\u00fdm RRR vy\u017eaduj\u00ed velmi vysok\u00fd po\u010det profitabiln\u00edch obchod\u016f a tak\u00e9, \u017ee by mohlo b\u00fdt obchodn\u011b nekomfortn\u00ed hledat v takov\u00fdch obchodn\u00edch p\u0159\u00edstupech n\u011bjak\u00fd v\u00fdznamn\u00fd potenci\u00e1l. V\u016fbec jsem se nezab\u00fdval naked vypisov\u00e1n\u00edm a celou problematiku jsem popsal na z\u00e1kladn\u00edch kreditn\u00edch kombinac\u00edch \u2013 op\u010dn\u00edch spreadov\u00fdch pozic\u00edch<\/strong> umis\u0165ovan\u00fdch \u201emimo pen\u00edze\u201c<\/strong>. \u010cl\u00e1nek spo\u010d\u00edval v uk\u00e1zk\u00e1ch kreditn\u00edch obchod\u016f, kde mo\u017enost maxim\u00e1ln\u00edho prod\u011blku byla n\u00e1sobn\u011b vy\u0161\u0161\u00ed ne\u017e mo\u017enost na takov\u00e9m spreadov\u00e9m obchod\u011b vyd\u011blat, tyto kreditn\u00ed postupy jsem pak n\u00e1sledn\u011b srovnal s obchodov\u00e1n\u00edm debetn\u00edch strategii, tedy jak\u00e9hosi \u201ezrcadlov\u011b obr\u00e1cen\u00e9ho\u201c p\u0159\u00edstupu, kde obchody vykazovaly nesrovnateln\u011b men\u0161\u00ed po\u017eadavek na po\u010det \u00fasp\u011b\u0161n\u00fdch obchod\u016f s mo\u017enost\u00ed vyd\u011blat na jednotliv\u00e9m obchodu daleko v\u00edce, ne\u017e byla velkost maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty.<\/span><\/p>\n

\u00a0 \u00a0„…Neposuzuj sv\u011bt jenom podle sv\u00e9ho forhendu…“ (Roger Federer) je pozn\u00e1mkou tenisov\u00e9ho tit\u00e1na o hloup\u00e9 zahled\u011bnosti do sebe sama a sv\u00fdch my\u0161lenek, ve smyslu t\u00e9to proklamace pak mohu konstatovat, \u017ee mo\u017enosti kombinac\u00ed op\u010dn\u00edch obchod\u016f je opravdu velmi zna\u010dn\u00e9 mno\u017estv\u00ed a m\u016f\u017eou nab\u00eddnout velmi r\u016fznorod\u00e9 profily zisku a ztr\u00e1ty, nemohu tak svou \u00favahu o kreditn\u00edch kombinac\u00edch z minul\u00e9ho \u010dl\u00e1nku jednodu\u0161e uzav\u0159\u00edt konstatov\u00e1n\u00edm, \u017ee vypisov\u00e1n\u00ed (nebo p\u0159esn\u011bji po\u0159izov\u00e1n\u00ed kreditn\u00edch op\u010dn\u00edch kombinac\u00ed) pouze p\u0159in\u00e1\u0161\u00ed zna\u010dn\u011b nev\u00fdhodn\u00e9 pom\u011bry mo\u017enost\u00ed prod\u011blku a profitu. Existuj\u00ed samoz\u0159ejm\u011b tak\u00e9 kreditn\u00ed kombinace, kdy mohu z\u00edskat zna\u010dn\u00e9 velik\u00fd profit za mo\u017enosti utrp\u011bt pom\u011brn\u011b malou ztr\u00e1tu, a k t\u011bmto kombinac\u00edm bych cht\u011bl n\u011bco poznamenat v tomto \u010dl\u00e1nku.<\/span><\/p>\n

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Credit Spready „v pen\u011bz\u00edch“ <\/strong>\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/h1>\n

\u00a0\u00a0 Vyps\u00e1n\u00ed Call opce nad sou\u010dasnou cenou podkladov\u00e9ho aktiva a n\u00e1kup Long Call opce na vy\u0161\u0161\u00edm strike ve stejn\u00e9 expiraci v\u017edy vede k p\u0159\u00edjmu pen\u011bz na m\u016fj \u00fa\u010det, ceny opc\u00ed bl\u00ed\u017ee aktu\u00e1ln\u00ed cen\u011b jsou v\u017edy vy\u0161\u0161\u00ed ne\u017e ceny opc\u00ed vzd\u00e1len\u011bj\u0161\u00edch od aktu\u00e1ln\u00ed ceny. Celkov\u00e1 hodnota p\u0159ijat\u00e9ho Pr\u00e9mia je m\u016fj maxim\u00e1ln\u00ed mo\u017en\u00fd profit, dolarov\u00e9 vyj\u00e1d\u0159en\u00ed rozd\u00edlu strike sn\u00ed\u017een\u00e9 o p\u0159ijat\u00e9 Pr\u00e9mium je pak maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta, kterou mohu utrp\u011bt. V p\u0159\u00edpad\u011b, \u017ee se jedn\u00e1 o strike um\u00edst\u011bn\u00e9 \u201emimo pen\u00edze\u201c, je pom\u011br zisku a ztr\u00e1ty \u010d\u00edseln\u011b vyj\u00e1d\u0159en \u010d\u00edslem v\u011bt\u0161\u00edm ne\u017e jedna, RRR o velkosti 4:1 m\u016f\u017ee b\u00fdt nap\u0159\u00edklad jedn\u00edm z reprezentant\u016f. Pro tento Call Credit spread pak bude zejm\u00e9na v\u00fdhodn\u00e9, kdy\u017e cena podkladu do expirace bude klesat, stagnovat nebo m\u00edrn\u011b r\u016fst, ale pouze do hodnoty BreakEven bodu. Mohu ale svou obchodn\u00ed p\u0159edstavivost m\u00edrn\u011b rozvinout a rozhodnout se nikoliv pro strike \u201emimo pen\u00edze\u201c a cht\u00edt ze sv\u00e9ho obchodu z\u00edskat v\u00edce Pr\u00e9mia, proto mohu svou op\u010dn\u00ed kombinaci \u201epono\u0159it do pen\u011bz\u201c a pozorovat, jak\u00e9 „obchodn\u00ed“ vlastnosti z takov\u00e9ho po\u010dinu vyplynou. Pro n\u00e1zornost mohu toto prezentovat na op\u010dn\u00edm \u0159et\u011bzci s expirac\u00ed za m\u011bs\u00edc na akcii JNJ, kter\u00e1 se obchoduje za 164,30 USD. Op\u010dn\u00ed \u0159et\u011bzec na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 Za t\u011bchto cenov\u00fdch parametr\u016f podkladov\u00e9 akcie na \u00farovni 164,30 USD mohu vypozorovat, \u017ee bych mohl vytvo\u0159it p\u011btistrikov\u00fd Call Credit Spread -150\/+155<\/strong>\u00a0pod aktu\u00e1ln\u00ed cenou podkladu, v\u00fdpisem Short Call 150 bych z\u00edskal +1.440 USD a n\u00e1kupem Long Call 155 bych vydal -1.110 USD, celkov\u011b bych p\u0159ijal +330 USD Pr\u00e9mia<\/strong>. Profil zisku a ztr\u00e1ty je na obr\u00e1zku n\u00ed\u017ee.\u00a0<\/span><\/p>\n

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

\u00a0\u00a0 V\u00edm, \u017ee rozsah spreadu ve sv\u00e9m dolarov\u00e9m vyj\u00e1d\u0159en\u00ed (150-155 = -5*100 = -500 USD) sn\u00ed\u017een\u00fd o p\u0159ijat\u00e9 Pr\u00e9mium (+330 USD) znamen\u00e1 maxim\u00e1ln\u00ed mo\u017enou ztr\u00e1tu<\/strong>, tato by tak \u010dinila maxim\u00e1ln\u011b (-500 USD +330 USD) \u010d\u00e1stku -170 USD<\/strong>. Mo\u017en\u00fdm maxim\u00e1ln\u00edm profitem<\/strong> je pak p\u0159ijat\u00e9 Pr\u00e9mium ve v\u00fd\u0161i +330 USD<\/strong>. K tomu, abych utr\u017eil maxim\u00e1ln\u00ed mo\u017en\u00fd profit pot\u0159ebuji, aby cena akcie JNJ do expirace jednozna\u010dn\u011b klesla, a to tak, aby oba strike Call Credit Spreadu -150\/+155 byly \u201emimo pen\u00edze\u201c, tedy pod cenou 150 USD. Likvidace Call Credit Spreadu -150\/+155 nejm\u00e9n\u011b \u201eza nula\u201c by bylo p\u0159i situaci poklesu na hodnotu (150 + 3.30 USD) na \u00farovni 153.30 USD, kdy na likvidaci Short Call 150 spot\u0159ebuji cel\u00e9 z\u00edskan\u00e9 Pr\u00e9mium. Pono\u0159en\u00edm Call Credit Spreadu \u201edo pen\u011bz\u201c<\/strong> tedy po\u0159izuji jednozna\u010dn\u011b sm\u011brovou strategii<\/strong>, kter\u00e1 pro svou profitabilitu pot\u0159ebuje pohyb v po\u017eadovan\u00e9m sm\u011bru, tedy downtrend podkladu, \u017e\u00e1dn\u00e9 jin\u00e9 cenov\u00e9 pohyby pak k profit\u016fm nevedou. Z RiskGrafu a finan\u010dn\u00edho rozboru pozice je ale patrn\u00e9, \u017ee p\u0159i mo\u017enosti z\u00edskat +330 USD riskuji -170 USD, m\u00e9 RRR je tedy velmi p\u0159ijateln\u00e9 na \u00farovni 1:2 a vypad\u00e1 to, \u017ee by to mohla b\u00fdt skv\u011bl\u00e1 statistick\u00e1 v\u00fdhoda. Nen\u00ed zapot\u0159eb\u00ed n\u011bjak\u00e9 v\u00fdrazn\u00e9 obchodn\u00ed p\u0159edstavivosti, abych bez n\u011bjak\u00e9ho nam\u00e1hav\u00e9ho analyzov\u00e1n\u00ed mohl vyhodnotit, \u017ee pravd\u011bpodobnost, \u017ee bude cena akcie permanentn\u011b m\u011bs\u00ed\u010dn\u011b ztr\u00e1cet deset dolar\u016f je velmi n\u00edzk\u00e1, pokud bych cht\u011bl pov\u00fd\u0161it sv\u016fj zp\u016fsob obchodov\u00e1n\u00ed na mechanickou z\u00e1le\u017eitost.<\/span><\/p>\n

\u00a0\u00a0 Mohu pak ve stejn\u00e9m duchu uva\u017eovat tak\u00e9 o vypisov\u00e1n\u00ed op\u010dn\u00edch kombinac\u00ed na Put stran\u011b op\u010dn\u00edho \u0159et\u011bzce a sledovat, co by mi takov\u00e9 \u201evypisov\u00e1n\u00ed v pen\u011bz\u00edch\u201c mohlo p\u0159in\u00e9st. Pokud ji\u017e nyn\u00ed v\u00edm, \u017ee na Call stran\u011b jsem v p\u0159\u00edpad\u011b po\u0159\u00edzen\u00ed kreditn\u00edho spreadu \u201ev pen\u011bz\u00edch\u201c jednozna\u010dn\u011b pot\u0159eboval pro jeho \u00fasp\u011b\u0161nost \u201evyno\u0159ov\u00e1n\u00ed z pen\u011bz\u201c, tedy pokles ceny podkladu, bude asi logick\u00e9 p\u0159edpokl\u00e1dat, \u017ee p\u0159i stejn\u00e9 aplikaci na Put stran\u011b bude zapot\u0159eb\u00ed opa\u010dn\u00fd pohyb podkladu do expirace po\u0159\u00edzen\u00fdch opc\u00ed, tedy r\u016fst ceny podkladov\u00e9ho aktiva. Na obr\u00e1zku n\u00ed\u017ee je op\u010dn\u00ed \u0159et\u011bzec SPY s vyzna\u010denou mo\u017enost\u00ed um\u00edst\u011bn\u00ed Put Credit Spreadu, p\u0159i aktu\u00e1ln\u00ed cen\u011b podkladu 383,59 USD.<\/span><\/p>\n

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\u00a0\u00a0 Za ITM Put Credit Spread -395\/+390<\/strong> bych mohl, p\u0159i p\u0159\u00edjmu Pr\u00e9mia za v\u00fdpis Short Put ve v\u00fd\u0161i +1296 USD a za v\u00fddaje na n\u00e1kup Long Put 390 ve v\u00fd\u0161i -970 USD, celkov\u011b z\u00edskat +326 USD<\/strong>. P\u0159i rozsahu spreadu ve v\u00fd\u0161i p\u011bti strike by tak m\u00e1 maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta<\/strong> byla (+326 \u2013 500 USD) -174 USD<\/strong>. Pom\u011br p\u0159ijat\u00e9ho Pr\u00e9mia, tedy maxim\u00e1ln\u00ed mo\u017en\u00fd profit ve v\u00fd\u0161i +326 USD a maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta -174 USD op\u011bt evokuj\u00ed velmi p\u016fsobivou statistickou v\u00fdhodu vypl\u00fdvaj\u00edc\u00ed z RRR ve v\u00fd\u0161i zhruba 1:2. \u00a0<\/span><\/p>\n

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\u00a0\u00a0 D\u00e9lka modr\u00fdch te\u010dkovan\u00fdch \u0161ipek reprezentuje nazna\u010den\u00e9 RRR 1:2 a p\u0159i aktu\u00e1ln\u00edch cen\u00e1ch opc\u00ed a podkladu nazna\u010duje, \u017ee p\u0159i p\u0159ijat\u00e9m Pr\u00e9miu +326 USD budu pot\u0159ebovat v p\u0159\u00edpad\u011b, \u017ee budu cht\u00edt, aby mi z\u016fstalo cel\u00e9 p\u0159ijat\u00e9 Pr\u00e9mium na m\u00e9m \u00fa\u010dtu, jednozna\u010dn\u00fd uptrend podkladu do expirace opc\u00ed tak, aby byly oba strike \u201emimo pen\u00edze“, tedy vystoup\u00e1n\u00ed ceny SPY ze sou\u010dasn\u00e9 ceny 383.59 USD nad hodnotu 395 USD. K vystoupen\u00ed z obchodu alespo\u0148 \u201eza nula\u201c pak bude zapot\u0159eb\u00ed uptrend alespo\u0148 na hodnotu, kdy budu moci likvidovat vypsanou Short Put 395 za hodnotu p\u0159ijat\u00e9ho Pr\u00e9mia, tedy na (395 \u2013 3.26 USD) \u00farove\u0148 391.74 USD, co\u017e je BreakEven t\u00e9to pozice. Jednozna\u010dn\u011b tak ke sv\u00e9mu \u00fasp\u011bchu pot\u0159ebuji trefit budouc\u00ed sm\u011br pohybu<\/strong>, z v\u00fdpisu kreditn\u00ed kombinace \u201ev pen\u011bz\u00edch\u201c se tak op\u011bt stala typick\u00e1 sm\u011brov\u00e1 kombinace<\/strong>. \u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Jak s t\u00edm vlastn\u011b nalo\u017eit? Mohu si prov\u00e9st anal\u00fdzu n\u011bkter\u00e9ho z p\u0159\u00edstup\u016f a pokusit se vyhodnotit, jak\u00fd maj\u00ed tyto obchody smysl a potenci\u00e1l. Proto\u017ee jsem v minul\u00e9m \u010dl\u00e1nku popisoval chov\u00e1n\u00ed strategi\u00ed na podkladu SPY, mohu p\u0159ipraven\u00fdch dat v m\u00e9m testovac\u00edm n\u00e1stroji vyu\u017e\u00edt tak\u00e9 k prov\u011b\u0159en\u00ed t\u011bchto mo\u017enost\u00ed obchod\u016f s p\u0159ijat\u00fdm p\u0159ebytkem Pr\u00e9mia na m\u016fj \u00fa\u010det a s p\u0159\u00edv\u011btiv\u011bj\u0161\u00edm pom\u011brem RRR. Pou\u017eil jsem v\u00fd\u0161e v \u010dl\u00e1nku popis kreditn\u00edho spreadu s rozsahem p\u011bti strike, pokus\u00edm se tedy zachovat kontinuita a analyzovat tuto kombinaci. Titul SPY disponuje dlouhodob\u011bj\u0161\u00ed orientac\u00ed sv\u00e9ho pohybu sm\u011brem Long, mohu tedy z podstaty tohoto trhu p\u0159edpokl\u00e1dat, \u017ee vypisov\u00e1n\u00ed kreditn\u00edch spread\u016f pono\u0159en\u00fdch vypsanou opc\u00ed \u201edo pen\u011bz\u201c bude pravd\u011bpodobn\u011b v\u00edce d\u00e1vat smysl na Put stran\u011b (s p\u0159edpokladem r\u016fstu ceny podkladu) ne\u017e na stran\u011b Call, kter\u00e1 bude ke sv\u00fdm \u00fasp\u011bch\u016fm pot\u0159ebovat poklesy ceny podkladu do expirace po\u0159\u00edzen\u00fdch op\u010dn\u00edch kontrakt\u016f. Mohu si takovou obchodn\u00ed tezi ov\u011b\u0159it na jednoduch\u00e9m p\u0159\u00edkladu, kdy budu cht\u00edt vyhodnotit mechanick\u00e9 vypisov\u00e1n\u00ed ATM Short Call nebo ATM Short Put op\u010dn\u00edch kontrakt\u016f s m\u011bs\u00ed\u010dn\u00ed expirac\u00ed za obdob\u00ed deseti let a sledovat v\u00fdkonnost takov\u00fdch v\u00fdpis\u016f. Anal\u00fdza je provedena na desetilet\u00fdch datech s teoreticky vypo\u010d\u00edtan\u00fdmi cenami opc\u00ed podle Black-Scholesova modelu, s absenc\u00ed Ask\/Bid rozp\u011bt\u00ed, se vstupem v pond\u011bl\u00ed na Open a v\u00fdstupem jednu minutu p\u0159ed Close za \u010dty\u0159i t\u00fddny v p\u00e1tek.<\/span><\/p>\n

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\u00a0\u00a0 Vypisov\u00e1n\u00ed opc\u00ed Call nebo Put na aktu\u00e1ln\u00ed cen\u011b jednozna\u010dn\u011b hovo\u0159\u00ed ve prosp\u011bch Put opc\u00ed (modr\u00e1 k\u0159ivka) a signalizuje tak dramaticky vy\u0161\u0161\u00ed v\u00fdkonnost p\u0159i spol\u00e9h\u00e1n\u00ed se na uptrend ne\u017e na pokles podkladov\u00e9ho aktiva. V tomto smyslu se tak\u00e9 zam\u011b\u0159\u00edm na analyzov\u00e1n\u00ed strategi\u00ed sestaven\u00fdch s Put opc\u00ed nam\u00edsto s Call opc\u00ed. Bude m\u011b proto zaj\u00edmat, jak by si mohly v\u00e9st Put Bull Spready<\/strong> s vypsanou opc\u00ed um\u00edst\u011bnou nad sou\u010dasnou cenou podkladu<\/strong>. Na m\u00e9m desetilet\u00e9m vzorku dat s akci\u00ed SPY tak budu pozorovat chov\u00e1n\u00ed Put Bull Spreadu s vypsanou opc\u00ed ve \u010dty\u0159ech anal\u00fdz\u00e1ch. Nejd\u0159\u00edve um\u00edst\u00edm vypsanou opci t\u0159i strike nad aktu\u00e1ln\u00ed cenu, tak\u017ee nap\u0159\u00edklad p\u0159i cen\u011b SPY 342.13 USD budu sledovat vyhodnocen\u00ed obchodu pro aktu\u00e1ln\u00ed Put Bull Spread -345\/+340, po t\u00e9to anal\u00fdze n\u00e1sledn\u011b budu za stejn\u00e9 desetilet\u00e9 obdob\u00ed vyhodnocovat stejn\u00fd p\u011btistrikov\u00fd Put Bull Spread s vypsanou opc\u00ed \u010dty\u0159i strike v\u00fd\u0161e, ne\u017e je aktu\u00e1ln\u00ed cena atd\u2026.<\/span><\/p>\n

\u00a0\u00a0 Provedenou anal\u00fdzou mohu vyhodnotit sv\u00e9 vyhl\u00eddky \u00fasp\u011bchu pomoc\u00ed statistick\u00e9ho n\u00e1hledu na mo\u017enosti vypl\u00fdvaj\u00edc\u00ed z potenci\u00e1lu maxim\u00e1ln\u00edho profitu k maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1t\u011b. Na obr\u00e1zku n\u00ed\u017ee jsou \u010dty\u0159i anal\u00fdzy pr\u016fm\u011brn\u011b z\u00edskan\u00e9ho Pr\u00e9mia za desetilet\u00e9 obdob\u00ed pro testovan\u00e9 ITM Put Bull Spready s r\u016fzn\u011b um\u00edst\u011bnou vypsanou Put opc\u00ed.\u00a0 \u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 P\u0159esto\u017ee se cena SPY za desetilet\u00e9 obdob\u00ed ztrojn\u00e1sobila (ze zhruba 112 USD na p\u0159ibli\u017en\u011b 360 USD) p\u0159ijat\u00e1 pr\u016fm\u011brn\u00e1 Pr\u00e9mia ve v\u00fd\u0161i 265 USD \u2013 345 USD reprezentuj\u00edc\u00ed maxim\u00e1ln\u00ed mo\u017en\u00fd profit k mo\u017enosti maxim\u00e1ln\u00ed ztr\u00e1ty jsou shrnuta v diagramu n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 Vzhledem k tomu, \u017ee mohu ztratit na ka\u017ed\u00fd obchod \u010d\u00e1stku -500 USD, kterou mi nepokr\u00fdv\u00e1 p\u0159ijat\u00e9 Pr\u00e9mium, je z obr\u00e1zku patrn\u00e9, \u017ee v ka\u017ed\u00e9m z analyzovan\u00e9m p\u0159\u00edstup\u016f, li\u0161\u00edc\u00edm se pouze vzd\u00e1lenost\u00ed pono\u0159en\u00ed vypsan\u00e9 opce nad aktu\u00e1ln\u00ed cenu, je mo\u017enost vyd\u011blat v\u017edy vy\u0161\u0161\u00ed, ne\u017e mo\u017enost maxim\u00e1ln\u00edho prod\u011blku. Ka\u017ed\u00fd z t\u011bchto obchod\u016f pak disponuje pom\u011brem ztr\u00e1tu k profitu (RRR) men\u0161\u00edm ne\u017e jedna, nap\u0159\u00edklad v p\u0159\u00edpad\u011b vypsan\u00e9 opce ve vzd\u00e1lenosti m\u00ednus 6 strike od ATM (posledn\u00ed dva prav\u00e9 sloupce) mohu z\u00edskat pr\u016fm\u011brn\u00e9 Pr\u00e9mium +345 USD, mo\u017enost maxim\u00e1ln\u00ed ztr\u00e1ty je pak pr\u016fm\u011brn\u011b -155 USD, pracuji tak s RRR 1:2,30. Z poznatk\u016f na\u010derpan\u00fdch v minul\u00e9m \u010dl\u00e1nku pak ji\u017e bude pro profitabilitu sta\u010dit, kdy\u017e budou m\u00edt mechanicky umis\u0165ovan\u00e9 obchody odpov\u00eddaj\u00edc\u00ed procento \u00fasp\u011b\u0161n\u00fdch obchod\u016f, tuto skute\u010dnost tak budu muset ov\u011b\u0159it podrobn\u011bj\u0161\u00edm zkoum\u00e1n\u00edm backtestovan\u00fdch \u00fadaj\u016f.\u00a0 \u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Pro dan\u00fd test Put Bull Spreadu o rozsahu p\u011bti strike s vypsanou opc\u00ed \u0161est strike nad aktu\u00e1ln\u00ed cenou a pr\u016fm\u011brn\u011b p\u0159ijat\u00fdm Pr\u00e9miem +345 USD budu muset disponovat alespo\u0148 30% \u00fasp\u011b\u0161nost\u00ed, abych na takto strukturovan\u00e9m obchodu neprod\u011blal. Mohu si tak dovolit na jeden \u00fasp\u011b\u0161n\u00fd obchod m\u00edt dva ztr\u00e1tov\u00e9, a to podle takto zpracovan\u00e9 orienta\u010dn\u00ed tabulky, kter\u00e1 op\u011bt vyhodnocuje pouze bin\u00e1rn\u00ed stav v\u00fdsledku obchodu, tedy pokud je obchod \u00fasp\u011b\u0161n\u00fd, znamen\u00e1 maxim\u00e1ln\u00ed profit, v opa\u010dn\u00e9m p\u0159\u00edpad\u011b nast\u00e1v\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta.<\/span><\/p>\n

\u00a0\u00a0 Proveden\u00e1 anal\u00fdza \u010dty\u0159ech mo\u017enost\u00ed hloubky pono\u0159en\u00ed vypsan\u00e9 Short Put \u201edo pen\u011bz\u201c pro Put Bull Credit Spread o rozsahu p\u011bti strike za desetilet\u00e9 obdob\u00ed pomoc\u00ed teoretick\u00fdch op\u010dn\u00edch cen m\u00e1 tento grafick\u00fd v\u00fdstup.<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdkonnost k\u0159ivek equity nen\u00ed v\u016fbec k\u00a0zahozen\u00ed a vykazuje velmi p\u011bkn\u00e9 pr\u016fb\u011bhy. Je zejm\u00e9na patrn\u00e9, \u017ee pono\u0159ov\u00e1n\u00ed hloub\u011bji \u201edo pen\u011bz\u201c znamen\u00e1 zhor\u0161uj\u00edc\u00ed se v\u00fdkonnost. Je to logick\u00e9, pro \u00fasp\u011bchy jednotliv\u00fdch obchod\u016f je zapot\u0159eb\u00ed v\u011bt\u0161\u00ed uptrend podkladu do expirace, kter\u00fd se dostav\u00ed pravd\u011bpodobn\u011bji u m\u00e9n\u011b pono\u0159en\u00fdch strike (ATM-3 jako nejv\u00fdkonn\u011bj\u0161\u00ed modr\u00e1 k\u0159ivka) ne\u017e u nejhloub\u011bji ITM vypisovan\u00fdch Short Put (ATM-6 jako nejh\u016f\u0159e v\u00fdkonn\u00e1 \u010derven\u00e1 strategie). Shrnut\u00ed v\u00fdsledk\u016f jednotliv\u00fdch anal\u00fdz pak mohu pozorovat na obr\u00e1zku n\u00ed\u017ee. \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Mohu se tak zam\u011b\u0159it na nejh\u016f\u0159e v\u00fdd\u011ble\u010dnou strategii se strike ve vzd\u00e1lenosti \u0161esti strike od aktu\u00e1ln\u00ed ceny s pr\u016fm\u011brn\u011b p\u0159ijat\u00fdm Pr\u00e9miem +345 USD a tedy s nejlep\u0161\u00edm pom\u011brem RRR (1:2.30). Nazna\u010dil jsem, \u017ee k \u00fasp\u011bchu by mohla v\u00e9st \u00fasp\u011b\u0161nost obchod\u016f vy\u0161\u0161\u00ed ne\u017e t\u0159etinov\u00e1, z diagramu jednotliv\u00fdch v\u00fdsledk\u016f vypl\u00fdv\u00e1, \u017ee p\u0159i celkov\u00e9m profitu +34.649 USD by byla celkov\u00e1 \u00fasp\u011b\u0161nost 51.86%, tedy v\u00edce ne\u017e pot\u0159ebn\u00e1 alespo\u0148 jedna t\u0159etina. P\u0159esto\u017ee jsou do zobrazen\u00e9ho %Win zapo\u010dteny v\u0161echny v\u00fdsledky, tedy nikoliv pouze maxim\u00e1ln\u00ed profity a maxim\u00e1ln\u00ed ztr\u00e1ty, jsou \u010d\u00edsla ur\u010dit\u011b velmi zaj\u00edmav\u00e1. V\u00fdkonnost ostatn\u00edch Put Bull Spread\u016f s m\u00e9n\u011b pono\u0159enou vypsanou Short Put se p\u0159esv\u011bd\u010dte sami na v\u00fd\u0161e uveden\u00fdch obr\u00e1zc\u00edch.<\/span><\/p>\n

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Je to p\u0159ekvapiv\u00e9 zji\u0161t\u011bn\u00ed?<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Ano i ne. Co mohu prozat\u00edm z tohoto textu v porovn\u00e1n\u00ed s minul\u00fdm \u010dl\u00e1nkem konstatovat? Vypisov\u00e1n\u00ed OTM kreditn\u00edch spread\u016f (p\u0159edev\u0161\u00edm Put Bull Credit Spread), kter\u00fdmi jsem se zab\u00fdval v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> vypl\u00fdv\u00e1 z\u00e1sadn\u00ed po\u017eadavek na pr\u016fb\u011bh obchodu, a to, \u017ee vypisov\u00e1n\u00ed op\u010dn\u00edch spread\u016f \u201emimo pen\u00edze\u201c<\/strong> s p\u0159ijat\u00fdm kreditem<\/strong> na m\u016fj \u00fa\u010det vy\u017eaduje pohyb podkladu sm\u011brem opa\u010dn\u00fdm od m\u00e9ho vypsan\u00e9ho strike, jeho stagnaci nebo m\u00edrn\u00fd pohyb sm\u011brem k m\u00e9mu vypsan\u00e9mu strike, ale nikoliv jeho prora\u017een\u00ed, mohu tedy spol\u00e9hat na tuto trojjedinost pohybu<\/strong>, kter\u00fd m\u016f\u017ee p\u0159iv\u00e9st m\u016fj obchod k ziskov\u00e9mu c\u00edli. Tato v\u00fdhoda je ale kompenzov\u00e1na velmi nep\u0159\u00edzniv\u00fdm pom\u011brem rizika k mo\u017en\u00e9mu profitu<\/strong> za sou\u010dasn\u00e9ho po\u017eadavku na vysok\u00fd po\u010det<\/strong> celkov\u011b profitabiln\u00edch obchod\u016f<\/strong> k t\u011bm ztr\u00e1tov\u00fdm, co\u017e m\u016f\u017ee p\u0159i nep\u0159\u00edzniv\u00e9 konstelaci pohyb\u016f v\u00e9st k dramatick\u00fdm dopad\u016fm na m\u00e9 obchody. Tento p\u0159\u00edstup s mechanick\u00fdm vypisov\u00e1n\u00edm OTM kreditn\u00edch spread\u016f jsem pak srovnal s nakupov\u00e1n\u00edm \u201ezrcadlov\u011b obr\u00e1cen\u00fdch\u201c kombinac\u00ed. Na p\u0159\u00edkladu Call Bull Spreadu, tedy debetn\u00ed op\u010dn\u00ed kombinace<\/strong> s nakupov\u00e1n\u00edm opce na ni\u017e\u0161\u00edm strike ne\u017e je vypsan\u00e1 opce jsem uk\u00e1zal, \u017ee sice nez\u00edsk\u00e1m<\/strong> na sv\u016fj \u00fa\u010det Pr\u00e9mium<\/strong> (p\u0159esn\u00fd opak kreditn\u00edch kombinac\u00ed), k \u00fasp\u011bchu v obchodu pot\u0159ebuji jednozna\u010dn\u011b trefit sm\u011br<\/strong> pohybu podkladu (nam\u00edsto t\u0159ech mo\u017enost\u00ed pohybu u kreditn\u00edch kombinac\u00ed), ale m\u00e1m velmi p\u0159\u00edzniv\u00fd pom\u011br rizika k profitu<\/strong> (p\u0159esn\u00fd opak kreditn\u00edch kombinac\u00ed) a nepot\u0159ebuji<\/strong> z toho vypl\u00fdvaj\u00edc\u00ed z\u00e1vratnou \u00fasp\u011b\u0161nost ziskov\u00fdch obchod\u016f<\/strong> z celkov\u00e9ho po\u010dtu proveden\u00fdch (nam\u00edsto nutnosti u kreditn\u00edch kombinac\u00ed).<\/span><\/p>\n

\u00a0\u00a0 Co mohu konstatovat nyn\u00ed? Zab\u00fdv\u00e1m se kreditn\u00edmi kombinacemi<\/strong> (op\u010dn\u00edmi spready) s\u00a0vypsanou opc\u00ed pono\u0159enou \u201edo pen\u011bz\u201c<\/strong> a jak\u00e9 jsem odhalil dosavadn\u00ed parametry takov\u00fdch op\u010dn\u00edch obchod\u016f? K\u00a0\u00fasp\u011bchu k\u00a0obchodu pot\u0159ebuji jednozna\u010dn\u011b trefit sm\u011br pohybu<\/strong> podkladu sm\u011brem od vypsan\u00e9ho strike tak, aby se tento \u201evyno\u0159oval z\u00a0pen\u011bz\u201c (stejn\u011b jako u debetn\u00edho spreadu v\u00a0odstavci v\u00fd\u0161e), v\u00fdpisem obdr\u017e\u00edm<\/strong> natolik slu\u0161n\u00e9 Pr\u00e9mium<\/strong> na sv\u016fj \u00fa\u010det, \u017ee mohu v\u00edce na ka\u017ed\u00e9m obchodu vyd\u011blat v\u00edce ne\u017e maxim\u00e1ln\u011b ztratit<\/strong> (stejn\u011b jako u debetn\u00edho spreadu v\u00a0odstavci v\u00fd\u0161e), m\u00e1m tedy pom\u011br ztr\u00e1ty a zisku<\/strong> statisticky na sv\u00e9 stran\u011b<\/strong> (stejn\u011b jako u debetn\u00edho spreadu v\u00a0odstavci v\u00fd\u0161e) a nepot\u0159ebuji<\/strong> tak z\u00e1vratn\u011b vysok\u00e9 procento \u00fasp\u011b\u0161n\u00fdch obchod\u016f<\/strong> (stejn\u011b jako u debetn\u00edho spreadu v odstavci v\u00fd\u0161e) nam\u00edsto t\u00e9to pot\u0159eby u vypisov\u00e1n\u00ed stejn\u00fdch kreditn\u00edch spread\u016f, jejich strike jsou \u201emimo pen\u00edze\u201c. M\u00e9 obchodov\u00e1n\u00ed s kreditn\u00edmi kombinacemi tak m\u00e1 velmi podobn\u00e9 vlastnosti, jako obchod s debetn\u00edmi kombinacemi v minul\u00e9m \u010dl\u00e1nku, mohu tak nyn\u00ed podpo\u0159it \u00favahu z \u00favodu \u010dl\u00e1nku, \u017ee nen\u00ed mo\u017en\u00e9 v\u0161echny kreditn\u00ed kombinace ihned zatracovat. Pokud tedy plat\u00ed, \u017ee tyto ITM kreditn\u00ed spreadov\u00e9 kombinace se chovaj\u00ed jako debetn\u00ed strategie z minul\u00e9ho \u010dl\u00e1nku, bude zaj\u00edmav\u00e9 sledovat, jak se nyn\u00ed budou chovat \u201ezrcadlov\u011b obr\u00e1cen\u00e9\u201c debetn\u00ed kombinace k t\u011bmto kreditn\u00edm strategi\u00edm, tedy op\u010dn\u00ed kombinace s nakoupen\u00fdmi opcemi na strike bli\u017e\u0161\u00edm k cen\u011b podkladu ne\u017e strike vypsan\u00e9 opce, tyto strike budou pak um\u00edst\u011bn\u00e9 \u201ev pen\u011bz\u00edch\u201c.<\/span><\/p>\n

Call Bull Spread „v pen\u011bz\u00edch“<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Vypsat Put Bull Spread \u201ev pen\u011bz\u00edch\u201c a z\u00edskat velk\u00e9 mno\u017estv\u00ed Pr\u00e9mia, p\u0159ijateln\u00e9 RRR a pot\u0159ebu pohybu podkladu ve sm\u011bru vzh\u016fru a nijak jinak, bylo p\u0159edm\u011btem textu v\u00fd\u0161e. Vsadit na podklad, kter\u00fd m\u00e1 tendenci se dlouhodob\u011b pohybovat v po\u017eadovan\u00e9m sm\u011bru m\u016f\u017ee m\u00edt sv\u016fj potenci\u00e1l, kter\u00fd jsem schopen podpo\u0159it t\u011bmito v\u00fdhodami. Mohu ale tak\u00e9 sv\u016fj pohled zam\u011b\u0159it na Call stranu op\u010dn\u00edho \u0159et\u011bzce a prov\u00e9st stejnou \u00favahu, ov\u0161em zalo\u017eenou na opa\u010dn\u00e9m p\u0159\u00edstupu konstrukce sv\u00e9ho obchodu. Na obr\u00e1zku n\u00ed\u017ee je op\u010dn\u00ed \u0159et\u011bzec s m\u011bs\u00ed\u010dn\u00ed expirac\u00ed op\u011bt na podklad SPY s vyzna\u010denou debetn\u00ed op\u010dn\u00ed kombinac\u00ed „v pen\u011bz\u00edch“<\/span><\/p>\n

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\u00a0\u00a0 Konstrukce debetn\u00edho spreadu, konkr\u00e9tn\u011b Call Bull Spreadu +370\/-375<\/strong> o rozsahu strike p\u011bt bod\u016f p\u0159i aktu\u00e1ln\u00ed cen\u011b SPY<\/strong> na \u00farovni 382,74 USD<\/strong> p\u0159in\u00e1\u0161\u00ed op\u010dn\u00ed ceny, kter\u00e9 znamenaj\u00ed n\u00e1klad na n\u00e1kup Long Call 370 ve v\u00fd\u0161i -1.762 USD a p\u0159\u00edjem za v\u00fdpis Short Call ve v\u00fd\u0161i +1.345 USD. Celkov\u011b bych za tento Call Bull Spread +370\/-375 vydal -417 USD<\/strong>. Mo\u017en\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta<\/strong>, kterou mohu utrp\u011bt je celkov\u00e1 investice do t\u00e9to op\u010dn\u00ed kombinace, tedy -417 USD<\/strong>, mo\u017en\u00fdm maxim\u00e1ln\u00edm profitem<\/strong> je dolarov\u00e9 vyj\u00e1d\u0159en\u00ed rozp\u011bt\u00ed strike Call Bull Spreadu, tedy +500 USD, sn\u00ed\u017een\u00fdm o n\u00e1klady na jeho po\u0159\u00edzen\u00ed, m\u016fj maxim\u00e1ln\u00ed zisk z tohoto obchodu je tak (+500 -417 USD) na \u00farovni +83 USD<\/strong>. Tento maxim\u00e1ln\u00ed profit dos\u00e1hnu jedin\u011b za p\u0159edpokladu<\/strong>, \u017ee ob\u011b opce z\u016fstanou p\u0159i expiraci \u201ev pen\u011bz\u00edch\u201c<\/strong>, \u017e\u00e1dn\u00fd jin\u00fd zp\u016fsob k maxim\u00e1ln\u00edmu mo\u017en\u00e9mu profitu nevede, uplatn\u011bn\u00ed Long Call 370 a p\u0159i\u0159azen\u00ed Short Call 375 zp\u016fsob\u00ed n\u00e1kup a prodej akci\u00ed s profitem +500 USD. Profil risku a profitu je na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0V porovn\u00e1n\u00ed s obr\u00e1zkem profilu zisku a ztr\u00e1ty Put Bull Spreadu po\u0159\u00edzen\u00e9ho \u201ev pen\u011bz\u00edch\u201c v \u010dl\u00e1nku v\u00fd\u0161e mohu vypozorovat, \u017ee jeho tvar je velmi podobn\u00fd, pouze se zm\u011bnily d\u00e9lky te\u010dkovan\u00fdch modr\u00fdch \u0161ipek, kter\u00e9 zn\u00e1zor\u0148uj\u00ed potenci\u00e1l profitu a ztr\u00e1ty, v dan\u00e9m p\u0159\u00edpad\u011b velmi plasticky. Je na prvn\u00ed pohled z\u0159ejm\u00e9, \u017ee mohu ztratit daleko v\u00edce ne\u017e mohu z\u00edskat, \u0161ipka v \u201eprofitz\u00f3n\u011b\u201c je v\u00fdrazn\u011b krat\u0161\u00ed, ne\u017e stejn\u00e1 \u0161ipka v oblasti ztr\u00e1ty. Je to pochopiteln\u00e9, p\u0159i investici -417 USD mohu vyd\u011blat pouze +83 USD. M\u016fj RRR<\/strong>, pom\u011br maxim\u00e1ln\u00ed ztr\u00e1ty k maxim\u00e1ln\u00edmu profitu je 417:83, tedy 5:1<\/strong>, a to je velmi nemil\u00e9 zji\u0161t\u011bn\u00ed. Mohu ale vypozorovat, \u017ee p\u0159esto\u017ee m\u00e1m takto nev\u00fdhodn\u00e9 statistick\u00e9 p\u0159edpoklady, mohu sv\u00fdm obchod\u016fm s touto kombinac\u00ed s ob\u011bma opcemi \u201ev pen\u011bz\u00edch\u201c p\u0159isoudit profit v p\u0159\u00edpad\u011b<\/strong>, \u017ee se cena podkladu bude pohybovat v jak\u00e9mkoliv ze t\u0159\u00ed sm\u011br\u016f<\/strong>. Proto\u017ee je zapot\u0159eb\u00ed, aby cel\u00fd obchod zakon\u010dil u expirace \u201ev pen\u011bz\u00edch\u201c pro maxim\u00e1ln\u00ed profit, tak toto v\u00edt\u011bzstv\u00ed nastane p\u0159i pohybu ceny SPY vzh\u016fru, p\u0159i jeho stagnaci nebo dokonce poklesu, nikoliv v\u0161ak pod strike 375. Mohu tak op\u011bt \u010derpat z mo\u017enosti jak\u00e9hokoliv pohybu a je\u0161t\u011b z\u016fstat profitabiln\u00ed. BreakEven bod cel\u00e9 pozice je na \u00farovni, kdy budu schopen u expirace prodat nakoupenou Long Call opci alespo\u0148 za cenu n\u00e1klad\u016f na tuto op\u010dn\u00ed kombinaci, tedy (370 + 4.17) na hodnot\u011b ceny podkladu 374.17 USD, cena podkladu tak m\u016f\u017ee klesnout na tuto hodnotu a st\u00e1le bych na Call Bull Spreadu neprod\u011blal. Existence nep\u0159\u00edv\u011btiv\u00e9ho RRR (5:1) pak zp\u016fsobuje pochopiteln\u011b zna\u010dn\u00fd n\u00e1rok<\/strong> na procentn\u00ed \u00fasp\u011b\u0161nost obchod\u016f<\/strong>, tato mus\u00ed b\u00fdt zna\u010dn\u011b vysok\u00e1, ka\u017ed\u00e1 p\u0159\u00edpadn\u00e1 ztr\u00e1ta zp\u016fsob\u00ed zna\u010dn\u00fd z\u00e1\u0159ez do m\u00e9ho \u00fa\u010dtu (-417 USD), kter\u00fd bude muset kompenzovat n\u011bkolik \u00fasp\u011b\u0161n\u00fdch obchod\u016f v \u0159ad\u011b (s profitem +83), abych byl celkov\u011b neprod\u011bl\u00e1vaj\u00edc\u00ed. N\u00ed\u017ee tabulka s po\u017eadavky na \u00fasp\u011b\u0161nost obchod\u016f.\u00a0 \u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 K tabulce net\u0159eba v\u00fdznamn\u00fd koment\u00e1\u0159, 80% a v\u00edce v\u00edt\u011bzn\u00fdch obchod\u016f je dost n\u00e1ro\u010dn\u00fd po\u017eadavek ke spln\u011bn\u00ed a bude pravd\u011bpodobn\u011b vy\u017eadovat ocelov\u00e9 nervy p\u0159i aplikaci t\u00e9to strategie. Na obr\u00e1zku n\u00ed\u017ee je pak v\u00fdsledek anal\u00fdzy Call Bull Spreadu o rozsahu p\u011bti strike s nakoupen\u00fdmi opcemi \u201ev pen\u011bz\u00edch\u201c, jejich umis\u0165ov\u00e1n\u00ed je pak zvoleno stejn\u011b daleko od aktu\u00e1ln\u00ed ceny podkladu, jako v p\u0159\u00edpad\u011b anal\u00fdzy Put Bull Spreadu s vypsan\u00fdmi Short Put \u201ev pen\u011bz\u00edch\u201c<\/span><\/p>\n

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

\u00a0\u00a0 Vyu\u017eit\u00ed fenom\u00e9nu setrv\u00e1vat Long podkladov\u00e9ho aktiva SPY generuje stejn\u011b zaj\u00edmav\u00e9 v\u00fdsledky, jako v p\u0159\u00edpad\u011b Put Bull Spreadu s opcemi \u201ev pen\u011bz\u00edch\u201c, p\u0159esto\u017ee jsou k napln\u011bn\u00ed profitu po\u017eadov\u00e1ny jin\u00e9 parametry pohybu a jin\u00e9 statistick\u00e9 p\u0159edpoklady ne\u017e u v\u00fd\u0161e popisovan\u00e9 kreditn\u00ed kombinace na Put stran\u011b op\u010dn\u00edho \u0159et\u011bzce. Nejv\u00fdkonn\u011bj\u0161\u00ed strategie (modr\u00e1 k\u0159ivka) p\u0159edstavuje Call Bull Spread s nakoupenou Long Call opc\u00ed \u201enejm\u00e9n\u011b v pen\u011bz\u00edch\u201c v porovn\u00e1n\u00ed s ostatn\u00edmi k\u0159ivkami, kter\u00e9 ochabuj\u00ed postupn\u011b s posouv\u00e1n\u00edm cel\u00e9ho Call Bull Spreadu pod aktu\u00e1ln\u00ed cenu podkladu.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159ehled pr\u016fm\u011brn\u011b vynalo\u017een\u00fdch n\u00e1klad\u016f<\/strong> na jednotliv\u00e9 postupn\u00e9 anal\u00fdzy vyzna\u010den\u00e9 v\u00a0diagramu v\u00fd\u0161e zn\u00e1zor\u0148uj\u00ed cenu Call Bull Spread\u016f s\u00a0rozsahem p\u011bti strike tak, jak postupn\u011b byly posouv\u00e1ny pod aktu\u00e1ln\u00ed cenu. Rozd\u00edl mezi t\u011bmito pr\u016fm\u011brn\u00fdmi n\u00e1klady a dolarov\u00fdm vyj\u00e1d\u0159en\u00edm rozsahu strike (+500 USD) pak vyjad\u0159uje celkov\u00e9 RRR ka\u017ed\u00e9 z\u00a0anal\u00fdz.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Ve v\u0161ech p\u0159\u00edpadech je mo\u017enost pr\u016fm\u011brn\u011b prod\u011blat vy\u0161\u0161\u00ed ne\u017e potenci\u00e1ln\u00ed pr\u016fm\u011brn\u00fd profit, takto nep\u0159\u00edzniv\u00e9 RRR v\u00a0ka\u017ed\u00e9 z\u00a0t\u011bchto anal\u00fdz generuje po\u017eadavek na vysok\u00e9 procento \u00fasp\u011b\u0161nosti. Shrnut\u00ed celkov\u00e9 equity s\u00a0\u00fasp\u011b\u0161nost\u00ed jednotliv\u00fdch d\u00edl\u010d\u00edch test\u016f je na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Pokud se op\u011bt se zam\u011b\u0159\u00edm na nejhor\u0161\u00ed kombinaci, tedy Call Bull Spread s nakoupenou Long Call ve vzd\u00e1lenosti -6 strike od aktu\u00e1ln\u00ed ceny, tak tento ITM Call Bull Spread vy\u017eadoval pr\u016fm\u011brn\u00e9 n\u00e1klady -344 USD a p\u0159i potenci\u00e1lu maxim\u00e1ln\u00edho profitu (+500 USD -344 USD) ve v\u00fd\u0161i +156 USD byla pot\u0159eba \u00fasp\u011b\u0161nosti zhruba takov\u00e1, jako v tabulce n\u00ed\u017ee.<\/span><\/p>\n

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

\u00a0\u00a0 Mohu pozorovat, \u017ee po\u017eadavek na \u00fasp\u011b\u0161nost vy\u0161\u0161\u00ed ne\u017e 65% byl v anal\u00fdze napln\u011bn a podle obr\u00e1zku s equity a %Win v\u00fd\u0161e (\u010derven\u00e1 \u0161ipka) byla nakonec \u00fasp\u011b\u0161nost na \u00farovni 76,28%.<\/span><\/p>\n

\n

\u00a0\u00a0 Co jsem t\u00edm cht\u011bl vlastn\u011b \u0159\u00edci?. P\u0159esto\u017ee jsem pou\u017eil op\u010dn\u00ed debetn\u00ed strategii (Call Bull Spread) a pono\u0159il ji \u201edo pen\u011bz\u201c stejn\u011b jako kreditn\u00ed strategii ITM Put Bull Spread, vykazovala tato debetn\u00ed strategie chov\u00e1n\u00ed, kter\u00e9m bych o\u010dek\u00e1val u kreditn\u00edho spreadu. Profitabilita p\u0159i t\u0159ech mo\u017enostech pohybu, v\u011bt\u0161\u00ed potenci\u00e1l ztratit ne\u017e vyd\u011blat, nep\u0159\u00edzniv\u00e9 RRR a pot\u0159eba zna\u010dn\u011b vysok\u00e9 \u00fasp\u011b\u0161nosti obchod\u016f jsou vlastnosti sp\u00ed\u0161e pro kreditn\u00ed op\u010dn\u00ed spready ne\u017e pro jej\u00ed opa\u010dn\u011b konstruovan\u00e9 debetn\u00ed op\u010dn\u00ed spreadov\u00e9 kombinace. Pokud jsem se tedy v minul\u00e9m \u010dl\u00e1nku zab\u00fdval vypisov\u00e1n\u00edm kreditn\u00edch spread\u016f, kter\u00e9 maj\u00ed sv\u00e9 op\u010dn\u00ed kontrakty \u201emimo pen\u00edze\u201c, potom je pravd\u011bpodobn\u011b komfortn\u011bj\u0161\u00ed takov\u00e9 situace zobchodovat pomoc\u00ed debetn\u00edch spread\u016f. V p\u0159\u00edpad\u011b, \u017ee m\u00e1m podkladov\u00e9 aktivum, od kter\u00e9ho o\u010dek\u00e1v\u00e1m alespo\u0148 pr\u016fm\u011brn\u011b n\u011bjak\u00fd cenov\u00fd pohyb v dlouhodob\u00e9m horizontu, jsem-li nap\u0159\u00edklad p\u0159esv\u011bd\u010den, \u017ee mnou obchodovan\u00fd titul bude sp\u00ed\u0161e r\u016fst ne\u017e klesat, proto\u017ee je tak nap\u0159\u00edklad konstruk\u010dn\u011b nastaven a j\u00e1 budu cht\u00edt na tomto titulu profitovat pomoc\u00ed kreditn\u00edch Put Bull Spread\u016f \u201emimo pen\u00edze\u201c, je patrn\u011b vhodn\u011bj\u0161\u00ed tuto obchodn\u00ed p\u0159edstavu obchodovat pomoc\u00ed debetn\u00edch Call Bull Spread\u016f \u201emimo pen\u00edze\u201c (minul\u00fd \u010dl\u00e1nek). Pokud bych byl rozhodnut stejn\u00e9 podkladov\u00e9 aktivum obchodovat pomoc\u00ed debetn\u00edch Call Bull Spread\u016f \u201ev pen\u011bz\u00edch\u201c, bude patrn\u011b vhodn\u011bj\u0161\u00ed toto o\u0161et\u0159it kreditn\u00edmi Put Bull Spready \u201ev pen\u011bz\u00edch\u201c. Ve stejn\u00e9m smyslu (v opa\u010dn\u00e9 logice) pak mohu postupovat v p\u0159\u00edpad\u011b obchodov\u00e1n\u00ed podklad\u016f, kter\u00e9 jsou nap\u0159\u00edklad dlouhodob\u011b nastaveny sp\u00ed\u0161e na pokles ne\u017e na r\u016fst (nap\u0159\u00edklad Volatility ETF a ETN). Pokud nejsem jednozna\u010dn\u011b p\u0159esv\u011bd\u010den o budouc\u00edm pohybu obchodovan\u00e9ho podkladov\u00e9ho aktiva, vypad\u00e1 smyslupln\u011bji po\u017e\u00edt takovou op\u010dn\u00ed kombinaci, kter\u00e1 disponuje p\u0159\u00edzniv\u011bj\u0161\u00edm RRR a z toho vypl\u00fdvaj\u00edc\u00ed men\u0161\u00edmi po\u017eadavky na nutnost b\u00fdt v ka\u017ed\u00e9m z obchod\u016f profitabiln\u00ed\u00a0 \u00a0:c) \u00a0<\/span><\/p>\n

\u00a0 Koment\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> nebo do obecn\u011bj\u0161\u00ed diskuze Opce a jejich kombinace<\/a><\/strong> <\/span>:c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0V p\u0159edch\u00e1zej\u00edc\u00edm \u010dl\u00e1nku Kreditn\u00ed strategie \u2013 III. jsem pouk\u00e1zal na vztah pom\u011bru rizika a ztr\u00e1ty (RRR) k pot\u0159eb\u011b vysok\u00e9ho n\u00e1roku na po\u010det v\u00edt\u011bzn\u00fdch obchod\u016f (%Win), aby m\u011blo obchodov\u00e1n\u00ed popisovan\u00fdch kreditn\u00edch op\u010dn\u00edch kombinac\u00ed n\u011bjak\u00fd z\u00e1kladn\u00ed smysl. Nosnou my\u0161lenkou bylo uk\u00e1zat, \u017ee obchody s nep\u0159\u00edzniv\u00fdm RRR vy\u017eaduj\u00ed velmi vysok\u00fd po\u010det profitabiln\u00edch Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":5243,"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":[4],"tags":[8,44],"class_list":["post-5223","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-kombinace","tag-short-call","tag-short-put"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2021\/01\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1mf","jetpack-related-posts":[{"id":5155,"url":"https:\/\/dobretrejdy.com\/?p=5155","url_meta":{"origin":5223,"position":0},"title":"Kreditn\u00ed strategie – III.","author":"dobretrejdy :c)","date":"19.12.2020","format":false,"excerpt":"\u00a0 \u00a0Zadejte do vyhled\u00e1va\u010de \u201estrategy+options+income\u201c a budete se divit, kolik odkaz\u016f nab\u00edz\u00ed a doslova slibuje sd\u011blen\u00ed zaru\u010den\u00fdch strategi\u00ed a p\u0159\u00edstup\u016f, kter\u00e9 generuj\u00ed pravideln\u00fd p\u0159\u00edjem. V drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f se jedn\u00e1 o nejr\u016fzn\u011bj\u0161\u00ed techniky vypisov\u00e1n\u00ed opc\u00ed v nejrozmanit\u011bj\u0161\u00edch kombinac\u00edch, od vylo\u017een\u00e9ho nekryt\u00e9ho vypisov\u00e1n\u00ed a\u017e po sofistikovan\u00e9 spletence nejr\u016fzn\u011bj\u0161\u00edch op\u010dn\u00edch strategi\u00ed, ve\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/12\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4985,"url":"https:\/\/dobretrejdy.com\/?p=4985","url_meta":{"origin":5223,"position":1},"title":"Kreditn\u00ed strategie \u2013 I.","author":"dobretrejdy :c)","date":"6.10.2020","format":false,"excerpt":"\u00a0\u00a0 Nebudu zast\u00edrat, \u017ee jsem t\u00e9ma kreditn\u00edch strategi\u00ed z\u00e1m\u011brn\u011b odsouval. M\u00e1m k tomu dostate\u010dn\u00e9 d\u016fvody, kdy\u017e nejp\u00e1dn\u011bj\u0161\u00ed z nich vych\u00e1z\u00ed z jejich podstaty, tedy nejjednodu\u0161eji \u0159e\u010deno z jejich profil\u016f zisk\u016f a ztr\u00e1ty. Mohl bych pak nav\u00edc k tomuto konstatovat, \u017ee tak, jak n\u011bkte\u0159\u00ed u\u010ditel\u00e9 op\u010dn\u00edho tradingu kreditn\u00edmi strategiemi za\u010d\u00ednaj\u00ed, j\u00e1\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/10\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":5640,"url":"https:\/\/dobretrejdy.com\/?p=5640","url_meta":{"origin":5223,"position":2},"title":"Fondov\u00e1n\u00ed \u2013 I.","author":"dobretrejdy :c)","date":"28.12.2021","format":false,"excerpt":"\u00a0\u00a0 Nebyl to dobr\u00fd rok. Toto mohu zcela jednozna\u010dn\u011b prohl\u00e1sit p\u0159i bilancov\u00e1n\u00ed p\u0159ed z\u00e1v\u011brem leto\u0161n\u00edho roku a nem\u00e1 to \u017e\u00e1dnou souvislost s\u00a0obchodov\u00e1n\u00edm, ale s\u00a0m\u00fdm osobn\u00edm \u017eivotem. 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Proto\u017ee ale obchodov\u00e1n\u00ed nen\u00ed poh\u00e1dka o Sn\u011bhurce, musel jsem p\u0159esv\u011bd\u010den\u00ed o poutavosti t\u00e9to op\u010dn\u00ed kombinace pravd\u011bpodobn\u011b n\u011bkde z\u00edskat. Kr\u00e1sa a u\u017eite\u010dnost toti\u017e nemus\u00ed j\u00edt ruku v\u00a0ruce, ba naopak,\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/10\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":6493,"url":"https:\/\/dobretrejdy.com\/?p=6493","url_meta":{"origin":5223,"position":4},"title":"Fondov\u00e1n\u00ed \u2013 VII.","author":"dobretrejdy :c)","date":"6.7.2023","format":false,"excerpt":"\u00a0\u00a0 Filozofov\u00e1n\u00ed a trading jsou discipl\u00edny, kter\u00e9 nemaj\u00ed mnoho spole\u010dn\u00e9ho. Zam\u00fd\u0161let se nad d\u00e1vkou kosmick\u00e9ho z\u00e1\u0159en\u00ed, kter\u00e9mu jsem se vystavil p\u0159i p\u016fldenn\u00edm v\u00fdletu na Prad\u011bd bez pokr\u00fdvky hlavy m\u016f\u017ee b\u00fdt pro n\u011bkter\u00e9 \u010dten\u00e1\u0159e poutav\u00e9, mnoho konkr\u00e9tn\u00edho u\u017eitku z n\u011bj ale asi nevyplyne. Prakti\u010dt\u011bji zam\u011b\u0159en\u00fd \u010dten\u00e1\u0159 pravd\u011bpodobn\u011b v\u00edce uv\u00edt\u00e1 informace, kolik\u2026","rel":"","context":"V \u201eInvesti\u010dn\u00ed fond\u201c","block_context":{"text":"Investi\u010dn\u00ed fond","link":"https:\/\/dobretrejdy.com\/?cat=62"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/07\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/07\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/07\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":3948,"url":"https:\/\/dobretrejdy.com\/?p=3948","url_meta":{"origin":5223,"position":5},"title":"Obchodn\u00ed den\u00edk a Tradingov\u00fd v\u00fdkon","author":"dobretrejdy :c)","date":"2.12.2019","format":false,"excerpt":"\u00a0\u00a0 Je pozoruhodn\u00e9, jak ur\u010dit\u00e1 t\u00e9mata spolehliv\u011b vypl\u0148uj\u00ed nejr\u016fzn\u011bj\u0161\u00ed n\u00e1zorov\u00e1 a tradingov\u00e1 f\u00f3ra v nekone\u010dn\u00fdch vl\u00e1knech a v nejr\u016fzn\u011bj\u0161\u00edm p\u0159em\u00edt\u00e1n\u00ed. 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