{"id":5545,"date":"2021-08-14T15:38:23","date_gmt":"2021-08-14T13:38:23","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=5545"},"modified":"2024-08-18T09:36:11","modified_gmt":"2024-08-18T07:36:11","slug":"delta-neutral-xiv","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=5545","title":{"rendered":"Delta Neutral \u2013 XIV."},"content":{"rendered":"

\u00a0\u00a0 Aplikovat principy Delta Neutrality lze v mnoha obchodn\u00edch situac\u00edch, m\u016f\u017ee b\u00fdt zaj\u00edmav\u00e9 je v\u00edce prozkoumat a porovnat, jak by se tento obchodn\u00ed p\u0159\u00edstup mohl nap\u0159\u00edklad zapojit do obchodov\u00e1n\u00ed n\u011bjak\u00e9 klasick\u00e9 a zaveden\u00e9 op\u010dn\u00ed strategie. Abych mohl tento princip prozkoumat s n\u011bjakou \u010dasovou efektivitou a alespo\u0148 na orienta\u010dn\u00ed b\u00e1zi mo\u017en\u00e9ho obchodn\u00edho potenci\u00e1lu, mus\u00edm se vr\u00e1tit k s\u00e9rii sv\u00fdch \u010dl\u00e1nk\u016f o tvorb\u011b excelovsk\u00e9 aplikace pomoc\u00ed jednoduch\u00e9ho VBA skriptu. Nep\u016fjde nyn\u00ed ji\u017e ale o n\u011bjak\u00e9 popisy skriptu a slo\u017eit\u011bj\u0161\u00ed rozvoj t\u00e9to testovac\u00ed aplikace, ale jen o vyu\u017eit\u00ed st\u00e1vaj\u00edc\u00edch a popsan\u00fdch znalost\u00ed a dovednost\u00ed se zapojen\u00edm velmi jednoduch\u00fdch vylep\u0161en\u00ed. Pro\u010d takov\u00fd postup? Z d\u016fvodu, \u017ee nen\u00ed patrn\u011b nijak n\u00e1ro\u010dn\u00e9 vytvo\u0159it n\u011bjakou vlastn\u00ed obchodn\u00ed my\u0161lenku, je ale slo\u017eit\u011bj\u0161\u00ed ji nakonec otestovat na n\u011bjak\u00e9m p\u0159ijateln\u00e9m vzorku dat, zejm\u00e9na proto, \u017ee se jedn\u00e1 o op\u010dn\u00ed obchody, kde z\u00edskat op\u010dn\u00ed data sice nen\u00ed nic nemo\u017en\u00e9ho, je to ale pro z\u00e1kladn\u00ed pr\u00e1ci s daty dost n\u00e1kladn\u00e1 z\u00e1le\u017eitost. \u00a0<\/span><\/p>\n

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\u00a0\u00a0 Po\u0159izovat m\u011bs\u00ed\u010dn\u00ed Long Put op\u010dn\u00ed kontrakt \u201ena pen\u011bz\u00edch\u201c ka\u017ed\u00e9 pond\u011bl\u00ed p\u0159i Open trh\u016f pro titul SPY nebude patrn\u011b ta neproz\u00edrav\u011bj\u0161\u00ed obchodn\u00ed strategie. Spol\u00e9hat se na propady trh\u016f v\u00a0m\u011bs\u00ed\u010dn\u00edm horizontu nen\u00ed sice nic nerozumn\u00e9ho, benefity z t\u00e9to neot\u0159el\u00e9 obchodn\u00ed my\u0161lenky v\u0161ak v\u00a0praktick\u00e9m obchodov\u00e1n\u00ed spolykaj\u00ed n\u00e1klady na takov\u00e9 n\u00e1kupy, pokud budu takovou obchodn\u00ed strategii provozovat na mechanick\u00e9 b\u00e1zi. Na obr\u00e1zku n\u00ed\u017ee je v\u00fdsledek takov\u00e9ho po\u010d\u00edn\u00e1n\u00ed za obdob\u00ed 1\/2010 \u2013 5\/2021, tedy za v\u00edce ne\u017e desetilet\u00e9 obdob\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Ztr\u00e1ta -60.209 USD je natolik v\u00fdrazn\u00e1, \u017ee nen\u00ed nic obt\u00ed\u017en\u00e9ho se s takovou obchodn\u00ed strategi\u00ed rozlou\u010dit. Za pozornost pak stoj\u00ed pouze v\u00fdznamn\u00e9 zotaven\u00ed celkov\u00e9 equity k\u0159ivky v obdob\u00ed propadu akciov\u00fdch trh\u016f v souvislosti s prvn\u00ed vlnou covidov\u00e9 krize na ja\u0159e roku 2020. Spol\u00e9hat se proto na takov\u00e9 v\u00fdznamn\u00e9 propady m\u016f\u017ee b\u00fdt velmi o\u0161idn\u00e9 a z pohledu desetilet\u00e9 anal\u00fdzy jako nefunk\u010dn\u00ed obchodn\u00ed z\u00e1le\u017eitost. Mohu v\u0161ak k takov\u00e9 obchodn\u00ed my\u0161lence p\u0159istoupit rafinovan\u011bji a pokusit se vyu\u017e\u00edt podstaty fungov\u00e1n\u00ed op\u010dn\u00edho kontraktu a jeho z\u00e1kladn\u00edch vlastnost\u00ed, popisovan\u00fdch nap\u0159\u00edklad v tomto \u010dl\u00e1nku<\/strong><\/span>.<\/a><\/span><\/p>\n

\u00a0\u00a0 Nakoupit Long Put<\/strong> op\u010dn\u00ed kontrakt a podle jeho aktu\u00e1ln\u00ed Delta<\/strong> (z\u00e1porn\u00e9) nakoupit pot\u0159ebn\u00e9 mno\u017estv\u00ed Long akci\u00ed<\/strong> je z\u00e1kladn\u00ed Delta Neutral pozice, kterou jsem v\u00a0\u010dl\u00e1nc\u00edch na tomto webu n\u011bkolikr\u00e1t popisoval. Nakoupit Long Call<\/strong> op\u010dn\u00ed kontrakt a podle jeho sou\u010dasn\u00e9 Delta<\/strong> (kladn\u00e9) shortovat<\/strong> adekv\u00e1tn\u00ed mno\u017estv\u00ed akci\u00ed je op\u011bt Delta Neutr\u00e1ln\u00ed pozice a ob\u011b tyto neutr\u00e1ln\u00ed strategie nab\u00edzej\u00ed neomezenou mo\u017enost profitu za p\u0159esn\u011b stanoven\u00e9 v\u00fd\u0161e maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty. Tyto mo\u017enosti v\u00fdznamn\u00e9ho profitu a jasn\u011b dan\u00e9 ztr\u00e1ty zp\u016fsobuje mo\u017enost podstatn\u011bj\u0161\u00edho pohybu podkladu a je p\u0159itom jedno, kter\u00fdm sm\u011brem to bude. Budu se nyn\u00ed v\u011bnovat pouze kombinaci Long Put op\u010dn\u00edho kontraktu a n\u00e1kupu Long podkladov\u00fdch aktiv, v\u00a0p\u0159\u00edpad\u011b Long Call op\u010dn\u00edho kontraktu a shortov\u00e1n\u00ed podkladov\u00e9ho aktiva v\u0161ak principy funguj\u00ed se stejnou logikou.<\/span><\/p>\n

\u00a0\u00a0 Z\u00e1kladn\u00ed vlastnost\u00ed \u0159eck\u00e9ho p\u00edsmene Delta<\/a><\/strong><\/span> je popsat, nakolik se zm\u011bn\u00ed cena op\u010dn\u00edho kontraktu p\u0159i zm\u011bn\u011b ceny podkladu o jeden dolar (\u2026nebo jeden bod u futures kontrakt\u016f), v odvozen\u00e9 \u00favaze pak Delta zobrazuje, jak\u00fd po\u010det podkladov\u00fdch aktiv<\/strong> op\u010dn\u00ed kontrakt simuluje<\/strong>. Pokud m\u00e1 Long Put op\u010dn\u00ed kontrakt hodnotu Delta -45, znamen\u00e1 to, \u017ee pohyb podkladu o +1 USD znamen\u00e1 sn\u00ed\u017een\u00ed hodnoty t\u00e9to Long Pout opce o hodnotu -45 USD. Stejnou ztr\u00e1tu by pak p\u0159i r\u016fstu ceny podkladov\u00e9 akcie o +1 USD vygenerovalo dr\u017een\u00ed -45x Short akci\u00ed. Pokud tedy nakoup\u00edm k po\u0159izovan\u00e9mu Long Put op\u010dn\u00edmu kontraktu s Delta -45 sou\u010dasn\u011b +45x Long akci\u00ed, pohyb o +1 USD tak pro m\u011b nebude \u017e\u00e1dnou ztr\u00e1tou ani profitem, proto\u017ee ztr\u00e1tu na Long Put op\u010dn\u00edm kontraktu pokryje profit na Long akci\u00edch. Vytvo\u0159en\u00ed takov\u00e9 Delta Neutral pozice pak navozuje situaci, kdy jsem schopen odebrat takto sestaven\u00e9 pozici risk spojen\u00fd s pohybem podkladu. Mohu se pak zab\u00fdvat my\u0161lenkou, \u017ee se pokus\u00edm m\u00e9 desetilet\u00e9 mechanick\u00e9 (a zna\u010dn\u011b ztr\u00e1tov\u00e9) nakupov\u00e1n\u00ed ATM Long Put SPY<\/strong> s m\u011bs\u00ed\u010dn\u00ed expirac\u00ed vybavit pot\u0159ebn\u00fdm po\u010dtem podkladov\u00fdch Long akci\u00ed SPY<\/strong> a do obchod\u016f tak vstupovat v Delta Neutr\u00e1ln\u00ed<\/strong> konstelaci. Proto\u017ee nakupuji ATM Long Put op\u010dn\u00ed kontrakt, bude se m\u00e1 Delta pohybovat kolem hodnoty -50 a bude tedy vy\u017eadovat n\u00e1kupy zhruba p\u016flstovky podkladov\u00fdch akci\u00ed. Podstatn\u00e9 je tak\u00e9 konstatov\u00e1n\u00ed, \u017ee do pozice sice vstupuji jako Delta Neutr\u00e1ln\u00ed, tato slo\u017een\u00e1 pozice v\u0161ak svou neutralitu bezpochyby d\u0159\u00edve \u010di pozd\u011bji v m\u011bs\u00ed\u010dn\u00edm horizontu ztrat\u00ed, proto\u017ee cena podkladov\u00e9 akcie SPY zcela jist\u011b nez\u016fstane okolo m\u00e9ho nakoupen\u00e9ho strike. Budu tedy cht\u00edt prozkoumat, jak by se vedlo takto vylep\u0161en\u00e9 Delta Neutr\u00e1ln\u00ed pozici slo\u017een\u00e9 p\u0159i vstupu z Long Put opce a Long akci\u00ed nakoupen\u00fdch v po\u010dtu podle Delta. K prozkoum\u00e1n\u00ed tohoto p\u0159\u00edstupu a zji\u0161t\u011bn\u00ed, jestli odebr\u00e1n\u00ed rizika vypl\u00fdvaj\u00edc\u00edho z pohybu podkladu alespo\u0148 takto jednoduchou cestou funguje alespo\u0148 v n\u011bjak\u00e9m obecn\u00e9m n\u00e1znaku, mus\u00edm prov\u00e9st vylep\u0161en\u00ed m\u00e9ho excelovsk\u00e9ho n\u00e1stroje, kter\u00fd jsem popisoval v s\u00e9rii \u010dl\u00e1nk\u016f Backtestov\u00e1n\u00ed v Excelu (VBA)<\/a><\/strong><\/span>.<\/span><\/p>\n

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\u2026a zase ten Excel<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Nev\u00edm, do jak\u00e9 m\u00edry se mi poda\u0159ilo zaujmout \u010dten\u00e1\u0159e s\u00e9ri\u00ed \u010dl\u00e1nk\u016f Backtestov\u00e1n\u00ed v Excelu (VBA)<\/a><\/strong><\/span>, ve kter\u00fdch jsem se cht\u011bl pokusit popsat, jak pomoc\u00ed jednoduch\u00e9ho skriptu v prost\u0159ed\u00ed VBA, tedy programovateln\u00e9 \u010d\u00e1sti Excelu, mohu na z\u00edskan\u00fdch voln\u011b dostupn\u00fdch datech otestovat jednoduch\u00e9 op\u010dn\u00ed strategie. P\u0159i v\u011bdom\u00ed, \u017ee z\u00edskat op\u010dn\u00ed historick\u00e1 data nen\u00ed nic levn\u00e9ho, jsem se pokusil vytvo\u0159it n\u00e1stroj, kter\u00fd za vyu\u017eit\u00ed Black-Scholesova oce\u0148ovac\u00edho modelu, z\u00edskan\u00fdch historick\u00fdch cen podkladov\u00e9ho aktiva (nap\u0159\u00edklad z finance.yahoo.com) a historick\u00fdch hodnot Implied Volatility (od m\u00e9ho brokera Interactive Brokers) umo\u017e\u0148uje vypo\u010d\u00edtat historickou teoretickou cenu op\u010dn\u00edho kontraktu v ur\u010dit\u00e9m historick\u00e9m okam\u017eiku v minulosti na jak\u00e9mkoliv strike a v jak\u00e9koliv expiraci. Tak\u00e9 v p\u0159\u00edpad\u011b, \u017ee bych si historick\u00e1 data takto slo\u017eit\u011bji nepo\u010d\u00edtal, ale po\u0159\u00eddil bych si je z n\u011bjak\u00e9ho placen\u00e9ho zdroje, musel bych si stejn\u011b vytvo\u0159it n\u011bjak\u00e9 softwarov\u00e9 \u0159e\u0161en\u00ed, jak tato data zpracovat pro m\u00e9 pot\u0159eby historick\u00fdch anal\u00fdz, nap\u0159\u00edklad pomoci nyn\u00ed velmi obl\u00edben\u00e9ho Pythonu nebo jin\u00e9ho programovac\u00edho jazyka. Mou volbou bylo VBA a skript, jeho\u017e z\u00e1klady jsem popsal v \u010dl\u00e1nc\u00edch, pak vedl k tvorb\u011b excelovsk\u00e9ho se\u0161itu, kter\u00fd je schopen historick\u00e1 data zpracovat a vyhodnotit v jednoduch\u00fdch v\u00fdstupech.<\/span><\/p>\n

\u00a0\u00a0 Excelovsk\u00fd testovac\u00ed n\u00e1stroj tak vych\u00e1z\u00ed z\u00a0teoreticky vypo\u010d\u00edtan\u00fdch historick\u00fdch cen op\u010dn\u00edch kontrakt\u016f pomoc\u00ed VBA funkc\u00ed, kter\u00e9 je mo\u017en\u00e9 kop\u00edrovat (jejich skript) z\u00a0tohoto excelovsk\u00e9ho se\u0161itu<\/a><\/strong><\/span> (p\u0159i otev\u0159en\u00ed nutno povolit makra). Excelovsk\u00fd se\u0161it ov\u0161em tak\u00e9 obsahuje naprogramovan\u00e9 funkce pro v\u00fdpo\u010det v\u0161ech \u0159eck\u00fdch p\u00edsmen, kter\u00e9 s op\u010dn\u00edm kontraktem souvis\u00ed. Mohu tak pro jak\u00fdkoliv okam\u017eik v historii stanovit nejenom teoretickou cenu op\u010dn\u00edho kontraktu, ale tak\u00e9 hodnotu v\u0161ech nejpou\u017e\u00edvan\u011bj\u0161\u00edch \u0159eck\u00fdch p\u00edsmen. Tyto naprogramovan\u00e9 funkce pak zabezpe\u010duj\u00ed pro m\u016fj excelovsk\u00fd n\u00e1stroj v\u00fdpo\u010dty nejenom samotn\u00fdch cen, ale tak\u00e9 p\u0159\u00edslu\u0161n\u00fdch \u0159eck\u00fdch p\u00edsmen v dan\u00e9m historick\u00e9m okam\u017eiku. Zevrubn\u00fd pohled na tento n\u00e1stroj na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0\u010d\u00e1sti vlevo (1)<\/strong><\/span> jsou vypo\u010d\u00edt\u00e1v\u00e1ny ceny opc\u00ed na jednotliv\u00fdch strike pro dan\u00fd okam\u017eik v\u00a0historii, tedy jednoduch\u00fd mnou definovan\u00fd op\u010dn\u00ed \u0159et\u011bzec o po\u017eadovan\u00e9m rozsahu strike. V\u00a0prav\u00e9 \u010d\u00e1sti (2)<\/span><\/strong> jsou pak zachyceny hodnoty \u0159eck\u00fdch p\u00edsmen pro jednotliv\u00e9 strike Call i Put op\u010dn\u00edho \u0159et\u011bzce z\u00a0lev\u00e9 \u010d\u00e1sti obr\u00e1zku. Proto\u017ee m\u011b zaj\u00edm\u00e1 zejm\u00e9na hodnota Delta, pro stanoven\u00ed Delta Neutrality nap\u0159\u00edklad, m\u00e1m v\u00a0testeru malou sekci, kter\u00e1 mo\u017enost testov\u00e1n\u00ed takov\u00e9 vstupn\u00ed Delta Neutrality umo\u017e\u0148uje (3)<\/span><\/strong>. Ve v\u00fd\u0159ezu obr\u00e1zku je nast\u00edn\u011bno, jak\u00fdm zp\u016fsobem je vytvo\u0159ena hodnota Delta.<\/span><\/p>\n

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\u00a0\u00a0 Delta<\/strong> Long Call<\/strong> na strike 415<\/strong>, kter\u00fd je v\u00a0danou chv\u00edli p\u0159i cen\u011b SPY na \u00farovni 416.26 USD prvn\u00ed \u201ev pen\u011bz\u00edch\u201c, \u010din\u00ed 54.69<\/strong> (0.5469). Jeho hodnota je vypo\u010dtena z\u00a0naprogramovan\u00e9 funkce =DeltaCall<\/em>, jej\u00edmi\u017e argumenty jsou Aktu\u00e1ln\u00ed cena podkladu, Strike, Doba do expirace, \u00darokov\u00e1 m\u00edra, Implied Volatilita, Dividenda. Tato funkce (jej\u00ed skript) pro v\u00fdpo\u010det Delta (…a dal\u0161\u00edch \u0159eck\u00fdch p\u00edsmen) je pak k dispozici ke kop\u00edrov\u00e1n\u00ed pr\u00e1v\u011b v excelovsk\u00e9m se\u0161itu ke sta\u017een\u00ed v odkazu v\u00fd\u0161e. M\u011b ale nyn\u00ed zaj\u00edm\u00e1, jak\u00e1 je hodnota Delta pro mnou testovanou strategii s n\u00e1kupem Long Put \u201ena pen\u011bz\u00edch\u201c, p\u0159i cen\u011b SPY na hodnot\u011b 416.26.\u00a0 Touto hledanou Delta bude hodnota Delta na strike 416.<\/span><\/p>\n

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\u00a0\u00a0 Funkce =DeltaPut<\/em> v\u00a0bu\u0148ce u strike 416 v\u00a0Put \u010d\u00e1sti op\u010dn\u00edho \u0159et\u011bzce ukazuje, \u017ee Delta Long Put<\/strong> na strike 416<\/strong> je na teoretick\u00e9 hodnot\u011b -0,4818, po zaokrouhlen\u00ed tak \u010din\u00ed -48<\/strong>. Ve sloupc\u00edch Entry a Exit m\u00e1m nyn\u00ed vypo\u010d\u00edt\u00e1ny hodnoty akciov\u00e9 pozice podle t\u00e9to Delta, tak jak odpov\u00eddaj\u00ed cen\u00e1m akcie SPY ve chv\u00edli, kdy do obchodu vstupuji a kdy z\u00a0n\u011bj vystupuji. Entry cena<\/strong> (-48*416.26 USD) \u010din\u00ed -19.980,48 USD<\/strong> a p\u0159edstavuje investici do Long akci\u00ed podle po\u010dtu stanoven\u00e9m Delta v\u00a0pond\u011bl\u00ed p\u0159i Open trh\u016f, kdy sou\u010dasn\u011b vstupuji do Long Put 416. Exit cena<\/strong> (+48*416.58 USD) \u010din\u00ed +19.995,84 USD<\/strong> a p\u0159edstavuje tr\u017ebu za +48x Long akci\u00ed v\u00a0p\u00e1tek za m\u011bs\u00edc p\u0159i Close trh\u016f, kdy sou\u010dasn\u011b vystupuji z Long Put 416. Mohu tak konstatovat, \u017ee akciov\u00e1 pozice<\/strong> vytvo\u0159ila (-19.980.48 USD + 19.995.84 USD) mal\u00fd profit +15.36 USD<\/span><\/strong>. Tento profit je pak sou\u010d\u00e1st\u00ed v\u00fdsledku obchodu slo\u017een\u00e9ho z\u00a0Long Put 416 a +48x Long akci\u00ed SPY dr\u017een\u00e9ho jeden m\u011bs\u00edc.<\/span><\/p>\n

\u00a0\u00a0 Z\u00a0takto sestaven\u00e9ho excelovsk\u00e9ho n\u00e1stroje je patrn\u00e9, \u017ee mohu otestovat nejenom \u010dist\u011b op\u010dn\u00ed kombinace na datech, kter\u00e1 jsem z\u00edskal a n\u00e1sledn\u011b zpracoval, ale mohu k\u00a0nim tak\u00e9 p\u0159id\u00e1vat takto kombinovan\u00e9 obchody s\u00a0podklady. Tuto funkci se zapo\u010d\u00edt\u00e1v\u00e1n\u00edm operac\u00ed s\u00a0podklady m\u00e1m v\u00a0excelu o\u0161et\u0159enou prvkem \u201eRadio Button<\/strong>\u201c, kter\u00fd tuto funkcionalitu zap\u00edn\u00e1\/vyp\u00edn\u00e1.<\/span><\/p>\n

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\u00a0\u00a0 Proto\u017ee se mi hodnota vstup\u016f a v\u00fdstup\u016f do akciov\u00e9 pozice podle Delta u op\u010dn\u00edch strategi\u00ed v m\u00e9m Excelu po\u010d\u00edt\u00e1 v\u017edy, mus\u00edm si jednodu\u0161e nastavit, kdy budu cht\u00edt hodnotu transakc\u00ed s podklady k op\u010dn\u00ed pozici p\u0159ipo\u010d\u00edtat a kdy nikoliv. Z obr\u00e1zku v\u00fd\u0161e je tak\u00e9 patrn\u00e9, \u017ee mohu nastavit i jin\u00e9 \u201ehodnoty Delta Neutrality\u201c, tedy zkoumat, co by se stalo, kdybych pozice neutralizoval nap\u0159\u00edklad jen 60% po\u010dtem podklad\u016f podle hodnoty Delta nebo t\u0159eba na \u00farovni 120% Delta. Nastaven\u00edm procentn\u00ed hodnoty pak upravuji zam\u00fd\u0161len\u00e9 mno\u017estv\u00ed vypo\u010d\u00edtan\u00e9 Delta, pokud jej chci prozkoumat jin\u00e9, ne\u017e p\u0159edstavuj\u00edc\u00ed Delta Neutralitu. Prvek Radio Button najdu a um\u00edst\u00edm do sv\u00e9ho excelovsk\u00e9ho se\u0161itu z p\u00e1su n\u00e1stroj\u016f po kliknut\u00ed na \u201eV\u00fdvoj\u00e1\u0159<\/strong>\u201c.<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdb\u011brem \u201eVlo\u017eit<\/strong>\u201c vyberu z\u00a0nab\u00eddky mo\u017enost \u201eRadio Buton<\/strong>\u201c. Po tomto v\u00fdb\u011bru se ukazov\u00e1tko my\u0161i zm\u011bn\u00ed na k\u0159\u00ed\u017eek a ta\u017een\u00edm my\u0161i p\u0159i p\u0159idr\u017een\u00e9m lev\u00e9m tla\u010d\u00edtku vykresl\u00edm velikost tla\u010d\u00edtka, kterou pot\u0159ebuji \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Tla\u010d\u00edtko si vhodn\u011b p\u0159ejmenuji (\u201eDelta Neutral ANO<\/em>\u201c v\u00a0m\u00e9m p\u0159\u00edpad\u011b) a n\u00e1sledn\u011b pro dal\u0161\u00ed volby kliknu prav\u00fdm tla\u010d\u00edtkem na jeho plochu pro zobrazen\u00ed dal\u0161\u00edch mo\u017enost\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Volbou \u201eForm\u00e1t ovl\u00e1dac\u00edho prvku\u2026<\/strong>\u201c rozbal\u00edm nab\u00eddku, kterou uprav\u00edm sm\u011brov\u00e1n\u00ed instrukce do bu\u0148ky m\u00e9ho Excelu.<\/span><\/p>\n

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\u00a0\u00a0 Vol\u00edm \u201eZa\u0161krtnuto<\/strong>\u201c a zad\u00e1v\u00e1m propojenou bu\u0148ku, v\u00a0m\u00e9m p\u0159\u00edpad\u011b vol\u00edm List1 a bu\u0148ku C1. Touto volbou zabezpe\u010d\u00edm, \u017ee p\u0159i za\u0161krtnut\u00e9m\/stisknut\u00e9m tla\u010d\u00edtku Radio Buttom se v\u00a0m\u00e9 bu\u0148ce C1<\/strong> na Listu1<\/strong> objev\u00ed hodnota 1<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Stejn\u00fdm zp\u016fsobem pak um\u00edst\u00edm do m\u00e9ho excelu druh\u00e9 tla\u010d\u00edtko Radio Button s\u00a0n\u00e1zvem \u201eDelta Neutral NE<\/em>\u201c, kter\u00e9 bude sm\u011brov\u00e1n\u00edm do stejn\u00e9 bu\u0148ky stejn\u00e9ho listu generovat po stisknut\u00ed hodnotu 2 a kter\u00fdm budu tuto funkcionalitu vyp\u00ednat. Cel\u00fd princip Radio Buttonu toti\u017e spo\u010d\u00edv\u00e1 v\u00a0tom, \u017ee mohu vytvo\u0159it jednoduchou excelovskou logickou funkci =KDY\u017d<\/em>, kter\u00e1 po spln\u011bn\u00ed podm\u00ednky existence jedni\u010dky v\u00a0bu\u0148ce C1 na Listu1 za\u010dne k\u00a0testovan\u00e9 op\u010dn\u00ed strategii p\u0159ipo\u010d\u00edt\u00e1vat tak\u00e9 hodnoty transakce s\u00a0podklady podle zvolen\u00e9 Delta. Na obr\u00e1zku n\u00ed\u017ee je to zn\u00e1zorn\u011bno prakticky.<\/span><\/p>\n

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\u00a0\u00a0 Pokud m\u00e1m za\u0161krtnuto, \u017ee nechci uva\u017eovat o Delta Neutral obchodech za\u0161krtnut\u00edm tla\u010d\u00edtka \u201eDelta Neutral NE<\/em>\u201c, vyhodnot\u00ed mi tester zadan\u00fd obchod n\u00e1kupu m\u011bs\u00ed\u010dn\u00ed ATM Long Put na strike 416 jako v\u00fddaj -535,04 USD<\/strong>, co\u017e je jeho po\u0159izovac\u00ed teoretick\u00e1 cena (1)<\/strong><\/span>. Proto\u017ee p\u0159i expiraci zakon\u010dil podklad SPY na cen\u011b 416.58 USD, tato Long Put 416 vypr\u0161ela jako bezcenn\u00e1 a jej\u00ed hodnota je nula (2)<\/strong><\/span>, mohu pak ve v\u00fdsledku vid\u011bt ztr\u00e1tu na t\u00e9to op\u010dn\u00ed pozici ve v\u00fd\u0161i investice do Long Put 416, kter\u00e1 \u010dinila -535.04 USD (5)<\/span><\/strong>.<\/span> Pokud v\u0161ak budu uva\u017eovat o Delta Neutralit\u011b, zatr\u017een\u00edm tla\u010d\u00edtka \u201eDelta Neutral ANO<\/em>\u201c mohu pozorovat, \u017ee se mi k\u00a0n\u00e1kupn\u00ed cen\u011b Long Put 416 je\u0161t\u011b p\u0159ipo\u010detla hodnota n\u00e1kupu +48x Long akci\u00ed za -19.980,48 USD, celkem jsou tedy m\u00e9 vstupn\u00ed n\u00e1klady ve v\u00fd\u0161i -20.515,52 USD (3)<\/span><\/strong>. P\u0159i v\u00fdstupu z pozice mohu k nulov\u00e9 hodnot\u011b za Long Put 416 vypozorovat p\u0159ipo\u010d\u00edtanou hodnotu za prodej +48x Long akci\u00ed za aktu\u00e1ln\u00ed cenu p\u0159i tomto Close, tedy celkovou tr\u017ebu + 19.995.84 USD (4)<\/span><\/strong>. Moje ztr\u00e1ta tak nen\u00ed cel\u00e1 investice do Long Put 416, ale je sn\u00ed\u017eena o profit na akci\u00edch ve v\u00fd\u0161i +15.36 USD a \u010din\u00ed tak -519.68 USD (5)<\/span><\/strong>. V tomto p\u0159\u00edpad\u011b pak Delta Neutral p\u0159\u00edstup vylep\u0161il ztr\u00e1tu na op\u010dn\u00edm kontraktu velmi m\u00edrn\u011b, zejm\u00e9na proto, \u017ee cena podkladu SPY se p\u0159i vstupu a v\u00fdstupu z obchodu p\u0159\u00edli\u0161 neli\u0161ila. Na obr\u00e1zku jsou pak patrn\u00e9 \u010derven\u011b vyzna\u010deny logick\u00e9 funkce =KDY\u017d<\/em>, kter\u00e9 po spln\u011bn\u00ed podm\u00ednky na hodnotu 1 v bu\u0148ce C1 na Listu1 spou\u0161t\u011bj\u00ed p\u0159ipo\u010d\u00edt\u00e1v\u00e1n\u00ed hodnot podkladov\u00fdch aktiv v okam\u017eiku vstupu i v\u00fdstupu, hodnotu jedni\u010dky pak ovl\u00e1d\u00e1m pr\u00e1v\u011b popisovan\u00fdmi tla\u010d\u00edtky Radio Button.<\/span><\/p>\n

\u00a0 \u00a0Mo\u017en\u00e1 je to absurdn\u00ed detail, ale p\u0159i\u0161lo mi vhodn\u00e9 upozornit na existenci takov\u00e9ho tla\u010d\u00edtka, kter\u00fdm m\u016f\u017eu pohodln\u011b zap\u00ednat\/vyp\u00ednat \u010d\u00e1st v\u00fdpo\u010dt\u016f v m\u00e9m excelovsk\u00e9m se\u0161itu pomoc\u00ed t\u00e9to jednoduch\u00e9 vestav\u011bn\u00e9 grafick\u00e9 vychyt\u00e1vce.<\/p>\n

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\u00a0\u00a0 Mohu si nyn\u00ed, po roz\u0161\u00ed\u0159en\u00ed m\u00e9ho testovac\u00edho n\u00e1stroje o \u0159eck\u00e1 p\u00edsmena, vyzkou\u0161et s\u00edlu konceptu Delta Neutrality na mnou uva\u017eovan\u00e9m n\u00e1kupu ATM Long Put m\u011bs\u00ed\u010dn\u00edm op\u010dn\u00edm kontraktu, a to tak, \u017ee k\u00a0takov\u00e9mu n\u00e1kupu je\u0161t\u011b po\u0159\u00edd\u00edm p\u0159esn\u00fd po\u010det Long akci\u00ed SPY vypo\u010d\u00edtan\u00fd podle Delta nakupovan\u00e9 Long Put opce.<\/span><\/p>\n

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\u00a0\u00a0 Nakupov\u00e1n\u00ed Long akci\u00ed<\/strong> p\u0159esn\u011b podle Delta<\/strong> nakupovan\u00e9 Long Put opce<\/strong> by m\u011blo p\u0159in\u00e9st odejmut\u00ed risku cel\u00e9 t\u00e9to jednoduch\u00e9 pozice vypl\u00fdvaj\u00edc\u00edmu z pohybu podkladu. Znamen\u00e1 to, \u017ee nakoupen\u00e9 Long akcie by m\u011bly \u201ezas\u00e1hnout\u201c tam, kde to bude pro Long Put opci nep\u0159\u00edjemn\u00e9, a to jsou r\u016fsty ceny podklad\u016f. P\u0159i nich cena Long Put samoz\u0159ejm\u011b kles\u00e1 nam\u00edsto ceny Long podkladu, jeho\u017e cena se zvy\u0161uje. P\u0159esto\u017ee jsem p\u0159edeslal, \u017ee jsem Delta Neutr\u00e1ln\u00ed pouze p\u0159i vstupu do pozice a s p\u0159ib\u00fdvaj\u00edc\u00edmi pohyby se neutralita poru\u0161uje, desetilet\u00e9 mechanick\u00e9 ka\u017edot\u00fddenn\u00ed opakov\u00e1n\u00ed takov\u00e9ho jednoduch\u00e9ho obchodu by p\u0159ineslo ztr\u00e1tu pouh\u00fdch -2.270,77 USD <\/strong>(hn\u011bd\u00e1 k\u0159ivka v obr\u00e1zku). To je v\u00fdrazn\u011b jin\u00fd v\u00fdsledek ne\u017e ztr\u00e1ta -60.209 USD v\u00a0p\u0159\u00edpad\u011b absence vyu\u017eit\u00ed Delta Neutr\u00e1ln\u00edch n\u00e1kup\u016f podklad\u016f alespo\u0148 p\u0159i vstupu do op\u010dn\u00ed pozice. P\u0159esto\u017ee vych\u00e1z\u00edm z\u00a0teoretick\u00fdch op\u010dn\u00edch cen, nezapo\u010d\u00edt\u00e1v\u00e1m Ask\/Bid spread na opc\u00edch i akci\u00edch a neuva\u017euji o komis\u00edch, je patrn\u00e9, \u017ee takto pou\u017eit\u00e1 Delta Neutralita um\u00ed opravdu sanovat zna\u010dnou \u010d\u00e1st rizika vypl\u00fdvaj\u00edc\u00edho z pohybu podkladu, kter\u00fd je pro m\u016fj nakupovan\u00fd op\u010dn\u00ed Long Put kontrakt \u0161kodliv\u00fd. Mohu rovn\u011b\u017e vyzkou\u0161et, jak by se chovalo vylep\u0161en\u00ed m\u00e9ho jednoduch\u00e9ho p\u0159\u00edstupu, kdybych cht\u011bl k\u00a0n\u00e1kupu Long Put p\u0159istoupit opatrn\u011bji a nakupovat na prvn\u00edm nebo na druh\u00e9m strike \u201emimo pen\u00edze\u201c, tedy pod aktu\u00e1ln\u00ed cenou podkladu, tyto opce by byly levn\u011bj\u0161\u00ed a m\u011bly by tak\u00e9 m\u00e9n\u011b z\u00e1pornou Delta, do stavu Delta Neutrality bych pot\u0159eboval tedy m\u00e9n\u011b Long akci\u00ed. Na obr\u00e1zku n\u00ed\u017ee je grafick\u00e9 vyhodnocen\u00ed takov\u00e9ho po\u010d\u00edn\u00e1n\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Ztr\u00e1ta -49.996 USD (modr\u00e1 k\u0159ivka) respektive -40.834 USD (\u010derven\u00e1 k\u0159ivka) p\u0159i desetilet\u00e9m mechanick\u00e9m pond\u011bln\u00edm opakov\u00e1n\u00ed investice pouze do m\u011bs\u00ed\u010dn\u00ed Long Put<\/strong> na prvn\u00edm<\/strong> resp. druh\u00e9m<\/strong> strike \u201emimo pen\u00edze\u201c a m\u00edrn\u00fd profit +3.245 USD (modr\u00e1 k\u0159ivka) nebo +7.588 USD (\u010derven\u00e1 k\u0159ivka) p\u0159i stejn\u00e9m postupu pouze vylep\u0161en\u00e9m o n\u00e1kup Long akci\u00ed podle aktu\u00e1ln\u00ed Delta budi\u017e d\u016fkazem, \u017ee zaji\u0161\u0165ovat n\u00e1kup Long opc\u00ed podle pravidla spo\u010d\u00edvaj\u00edc\u00ed v\u00a0Delta Neutralit\u011b nemus\u00ed b\u00fdt v\u016fbec k\u00a0zahozen\u00ed. Z\u00a0obr\u00e1zk\u016f s\u00a0k\u0159ivkami tak\u00e9 vypl\u00fdv\u00e1, \u017ee neb\u00fdt covidov\u00e9 krize (v\u00fdst\u0159ely v\u0161ech k\u0159ivek na prav\u00e9 stran\u011b obr\u00e1zk\u016f), byly by celkov\u00e9 desetilet\u00e9 ztr\u00e1ty z dr\u017een\u00ed pouh\u00e9 Long Put na jak\u00e9mkoliv zkou\u0161en\u00e9m strike v\u00fdrazn\u011b hlub\u0161\u00ed a celkov\u00e9 v\u00fdsledky desetilet\u00fdch Delta Neutral pozic by se v\u00edce bl\u00ed\u017eily nule. S\u00a0nads\u00e1zkou pak mohu konstatovat, \u017ee na takov\u00e9m desetilet\u00e9m po\u010d\u00edn\u00e1n\u00ed s\u00a0Delta Neutral pozicemi tvo\u0159en\u00fdmi Long Put + Long akciemi podle Delta bych nevyd\u011blal, ale ani neprod\u011blal, co\u017e nen\u00ed \u0161patn\u00fd v\u00fdchoz\u00ed bod m\u00e9 dal\u0161\u00ed obchodn\u00ed \u00favahy. Ta by mohla b\u00fdt zalo\u017eena na zji\u0161t\u011bn\u00ed, \u017ee pokud budu takto nakupovat Long Put a k\u00a0n\u00ed podkladov\u00e1 aktiva podle Delta, mohu po\u010d\u00edtat s t\u00edm, \u017ee takov\u00fd Long Put op\u010dn\u00ed kontrakt budu m\u00edt za testovan\u00e9 obdob\u00ed t\u00e9m\u011b\u0159 zadarmo<\/strong>, sta\u010d\u00ed pak vymyslet vylep\u0161ov\u00e1n\u00ed, kter\u00e9 by mohlo p\u0159in\u00e9st do pozice dal\u0161\u00ed bezrizikov\u00e9 pen\u00edze.<\/span><\/p>\n

P\u0159id\u00e1v\u00e1n\u00ed Pr\u00e9mia<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Pokud nakupuji Long<\/strong> op\u010dn\u00ed kontrakty, nemohu se ubr\u00e1nit my\u0161lenk\u00e1m na pokryt\u00ed \u010d\u00e1sti n\u00e1klad\u016f na tuto investici vypisov\u00e1n\u00edm<\/strong> odpov\u00eddaj\u00edc\u00edch op\u010dn\u00edch kontrakt\u016f<\/strong>, kter\u00e9 mi p\u0159inesou n\u011bjak\u00e9 pen\u00edze zp\u011bt. Mohu si vyb\u00edrat nejr\u016fzn\u011bj\u0161\u00ed varianty z\u00a0mo\u017enost\u00ed Call i Put, kter\u00e9 se mi nab\u00edzej\u00ed, strike a expirac\u00ed je zna\u010dn\u00e9 mno\u017estv\u00ed, zb\u00fdv\u00e1 tedy doprovodit my\u0161lenku na vypisov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f starostlivost\u00ed o m\u00edru rizika, kter\u00e9 mi takov\u00e9 vypisov\u00e1n\u00ed m\u016f\u017ee p\u0159in\u00e9st. Pokud tedy uva\u017euji o n\u00e1kupu Long Put op\u010dn\u00edho kontraktu a jsem odhodl\u00e1n sou\u010dasn\u011b nakoupit tak\u00e9 podkladov\u00e9 aktivum, m\u016f\u017ee b\u00fdt m\u00e1 volba jasn\u00e1 \u2013 v\u00fdpis Short Call<\/strong> na vy\u0161\u0161\u00edm strike<\/strong> ne\u017e je strike Long Put<\/strong> ve stejn\u00e9 expiraci nemus\u00ed b\u00fdt nic \u0161patn\u00e9ho, zvl\u00e1\u0161t\u011b v\u00a0p\u0159\u00edpad\u011b, \u017ee se nebudu zab\u00fdvat my\u0161lenkou Delta Neutrality, ale budu pouze vyhodnocovat, \u017ee op\u010dn\u00ed kontrakt reprezentuje 100 kus\u016f akci\u00ed. N\u00e1kup Long Put<\/strong>, n\u00e1kup +100x Long akci\u00ed<\/strong> a v\u00fdpis Short Call<\/strong> na vy\u0161\u0161\u00edm strike<\/strong> je tzv. Collar<\/a><\/strong><\/span> a v\u00a0takov\u00e9m p\u0159\u00edpad\u011b je v\u00fdpis Short Call opravdu vhodn\u00fdm obchodn\u00edm \u00fakonem, kter\u00fd p\u0159in\u00e1\u0161\u00ed do pozice pen\u00edze. Mohu si takov\u00fd Collar namodelovat z\u00a0pohledu profilu zisku a ztr\u00e1ty a k\u00a0tomu vyu\u017e\u00edt m\u016fj testovac\u00ed n\u00e1stroj nebo jednodu\u0161e jak\u00fdkoliv op\u010dn\u00ed analytick\u00fd software. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 P\u0159i cen\u011b podkladu SPY<\/strong> na \u00farovni 416.00 USD<\/strong> a Implied Volatilit\u011b<\/strong> na hladin\u011b 16.35%<\/strong> by mohla m\u00edt ATM Long Put 416<\/strong> zaokrouhlenou cenu -700 USD<\/strong> a za v\u00fdpis Short Call 421<\/strong> (o p\u011bt bod\u016f vy\u0161\u0161\u00ed strike) bych mohl z\u00edskat zaokrouhlen\u011b +500 USD<\/strong>, v\u0161e s expirac\u00ed za m\u011bs\u00edc. Pokud sou\u010dasn\u011b s po\u0159\u00edzen\u00edm pozice nakoup\u00edm +100x Long akci\u00ed za cenu 416 USD\/kus, bude m\u016fj v\u00fddaj na op\u010dn\u00ed kontrakty (-700 USD + 500 USD) ve v\u00fd\u0161i -200 USD d\u00e1le zv\u00fd\u0161en o -41.600 USD a bude celkov\u011b \u010dinit pro tento vstup do obchodu -41.800 USD<\/strong>, toto budou m\u00e9 celkov\u00e9 n\u00e1klady. Jak\u00fd bude RiskProfile t\u00e9to pozice?<\/span><\/p>\n

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\u00a0\u00a0 D\u00edky strike Long Put 416 budu m\u00edt zaru\u010deno, \u017ee p\u0159i jak\u00e9mkoliv poklesu pod cenu 416 USD<\/strong> bude p\u0159i expiraci tato Long Put 416 uplatn\u011bna a j\u00e1 budu muset dodat sv\u00e9 100x Long akcie vypisovateli t\u00e9to opce za cenu strike a obdr\u017e\u00edm tak +41.600 USD<\/strong>, m\u00e1 ztr\u00e1ta bude tedy (-41.800 USD n\u00e1klady + 41.600 USD tr\u017eba p\u0159i expiraci) = -200 USD<\/strong>, v\u00edce v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b nemohu ztratit a toto je m\u00e1 maxim\u00e1ln\u00ed mo\u017en\u00ed ztr\u00e1ta<\/strong>. Proto\u017ee jsem na celou pozici Collar vydal -41.800 USD, tak tato \u010d\u00e1stka se mi p\u0159i expiraci vr\u00e1t\u00ed za p\u0159edpokladu, \u017ee cena podkladu bude alespo\u0148 418.00 USD<\/strong> a j\u00e1 sv\u00fdch 100x Long akci\u00ed prod\u00e1m p\u0159esn\u011b za tuto cenu, dostanu pak zp\u011bt +41.800 USD a m\u016fj profit\/ztr\u00e1ta bude rovna nule. Cena 418 USD je tak jedin\u00fd BreakEven<\/strong> tohoto Collaru. V p\u0159\u00edpad\u011b, \u017ee cena podkladu bude vy\u0161\u0161\u00ed ne\u017e 421.00 USD<\/strong>, co\u017e je strike vypsan\u00e9 Short Call 421, bude tato vypsan\u00e1 opce p\u0159i\u0159azena a budu muset op\u011bt dodat m\u00e9 100x Long akcie za cenu strike dr\u017eiteli t\u00e9to opce, za tento prodej pot\u00e9 inkasuji +42.100 USD. Potom (-41.800 USD n\u00e1klady + 42.100 USD tr\u017eba p\u0159i expiraci) = +300 USD<\/strong> a tato \u010d\u00e1stka je m\u016fj maxim\u00e1ln\u00ed profit<\/strong> z tohoto Collaru, vy\u0161\u0161\u00ed zisk z t\u00e9to kombinovan\u00e9 pozice nemohu z\u00edskat. V \u00fapln\u011b obecn\u00e9m pohledu na profil zisku a ztr\u00e1ty mohu konstatovat, \u017ee p\u0159i cen\u00e1ch vy\u0161\u0161\u00edch ne\u017e 418 USD budu v\u017edy profitovat (maxim\u00e1ln\u011b ale pouze +300 USD, p\u0159i cen\u00e1ch ni\u017e\u0161\u00edch ne\u017e 418 USD budu v\u017edy ztr\u00e1cet (maxim\u00e1ln\u011b ale jen-200 USD).<\/span><\/p>\n

\u00a0\u00a0 Vyd\u011blat +300 USD s maxim\u00e1ln\u00ed mo\u017enou ztr\u00e1tou -200 USD p\u0159edstavuje obchody, kdy mohu vyd\u011blat v\u00edce, ne\u017e mohu maxim\u00e1ln\u011b ztratit. Tento p\u011btistrikov\u00fd Collar m\u00e1 tyto z\u00e1kladn\u00ed parametry a jenom pro tyto se m\u00e1 cenu se j\u00edm zab\u00fdvat. Pokud bych p\u0159i stejn\u00e9 v\u00fdchoz\u00ed cen\u011b 416.00 USD podkladu SPY a n\u00e1klad\u016f na nakupovanou Long Put 416 ve v\u00fd\u0161i -700 USD cht\u011bl prozkoumat varianty s vy\u0161\u0161\u00edm p\u0159\u00edjmem Pr\u00e9mia, tedy s v\u00fdpisem Short Call v men\u0161\u00ed vzd\u00e1lenosti, tak mohu uva\u017eovat nap\u0159\u00edklad o v\u00fdpisu ve vzd\u00e1lenosti t\u0159i strike, kde bych mohl podle obr\u00e1zku v\u00fd\u0161e za v\u00fdpis Short Call 419 inkasovat +580 USD. Maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta by \u010dinila (-700 USD + 580 USD) \u010d\u00e1stku -120 USD, maxim\u00e1ln\u00ed profit by pak \u010dinil (-41.720 USD + 41.900 USD) \u010d\u00e1stku +180 USD. Maxim\u00e1ln\u00ed prod\u011blek -120 USD by pak byl zalo\u017een na \u0161anci sou\u010dasn\u011b vyd\u011blat +180 USD. \u010cty\u0159strikov\u00fd Collar s vypsanou Short Call na strike 420 by pak p\u0159edstavoval p\u0159\u00edjem Pr\u00e9mia +540 USD a maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta t\u00e9to kombinace ve v\u00fd\u0161i -160 USD by byla podpo\u0159ena mo\u017enost\u00ed maxim\u00e1ln\u011b vyd\u011blat +240 USD. Ve v\u0161ech p\u0159\u00edpadech pak pracuji s p\u0159\u00edv\u011btiv\u00fdm Risk\/Reward pom\u011brem -200\/+300, -120\/+180 nebo -160\/+240. To zejm\u00e9na znamen\u00e1, \u017ee pro \u00fasp\u011b\u0161nost mechanick\u00e9ho obchodov\u00e1n\u00ed nebudu pot\u0159ebovat v\u00fdraznou \u00fasp\u011b\u0161nost opakovan\u00fdch obchod\u016f, mohu pak tuto skute\u010dnost ov\u011b\u0159it na anal\u00fdze takov\u00fdch obchod\u016f v m\u00e9m excelovsk\u00e9m n\u00e1stroji na teoretick\u00fdch cen\u00e1ch op\u010dn\u00edch kontrakt\u016f.<\/span><\/p>\n

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\u00a0\u00a0 Symetricky pilovit\u00e9, nicm\u00e9n\u011b sympaticky stoupaj\u00edc\u00ed k\u0159ivky definuj\u00ed anal\u00fdzu desetilet\u00e9ho mechanick\u00e9ho obchodov\u00e1n\u00ed Collaru s\u00a0Long Put SPY \u201ena pen\u011bz\u00edch\u201c a s\u00a0vypsan\u00fdmi Short Call na strike ve vzd\u00e1lenosti +3, +4 a +5 strike, v\u0161e ka\u017ed\u00e9 pond\u011bl\u00ed p\u0159i Open s\u00a0m\u011bs\u00ed\u010dn\u00ed expirac\u00ed. K\u00a0prozkoum\u00e1n\u00ed stoj\u00ed tak\u00e9 \u00fasp\u011b\u0161nost obchod\u016f, kterou jsem po\u017eadoval nikoliv p\u0159ehnan\u011b vysokou d\u00edky p\u0159\u00edzniv\u00e9mu profilu zisku a ztr\u00e1ty. Na obr\u00e1zku n\u00ed\u017ee je jej\u00ed grafick\u00e9 zobrazen\u00ed. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Zvy\u0161uj\u00edc\u00ed se celkov\u00e1 equity podle sloupc\u016f zleva doprava je doprov\u00e1zena sni\u017euj\u00edc\u00ed se procentn\u00ed \u00fasp\u011b\u0161nost\u00ed obchod\u016f, nicm\u00e9n\u011b d\u00edky vlastnosti, kdy m\u00e1m RRR men\u0161\u00ed ne\u017e jedna mi i takto n\u00edzk\u00e9 %Win zp\u016fsobuje kladn\u00fd celkov\u00fd v\u00fdsledek m\u00e9ho testu.<\/span><\/p>\n

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\u00a0 \u00a0K \u00favaze o Delta Neutralit\u011b a schopnosti neutr\u00e1ln\u00ed pozice kompenzovat n\u00e1klady na Long Put opci bych mohl p\u0159ipojit v\u00fd\u0161e uveden\u00e9 poznatky o Collaru a propojit tyto pozorov\u00e1n\u00ed do jednoho celku. Zd\u00e1 se mi nyn\u00ed nev\u00fdhodn\u00e9, \u017ee k tomu, abych pomoc\u00ed Collaru vyd\u011blal, mus\u00ed se cena podkladu pohnout vzh\u016fru, v p\u0159\u00edpad\u011b pokles\u016f ceny se jedn\u00e1 o jist\u00fd prod\u011blek, v pohledu na cenov\u00fd v\u00fdvoj tak mohu zaznamenat, \u017ee u takto mechanicky prov\u00e1d\u011bn\u00e9 strategie mohou p\u0159ij\u00edt del\u0161\u00ed obdob\u00ed, kdy se nebude podkladu da\u0159it a bude bu\u010f klesat nebo alespo\u0148 stagnovat (to jsou ty \u201ezuby\u201c na equity k\u0159ivk\u00e1ch), co\u017e nen\u00ed pro tyto kombinace zrovna nejkomfortn\u011bj\u0161\u00ed v\u00fdvoj. V p\u0159\u00edpad\u011b Long Put s nakoupen\u00fdmi podklady podle Delta jsem vypozoroval, \u017ee tato Delta Neutral pozice m\u016f\u017ee vyd\u011blat i v p\u0159\u00edpad\u011b, \u017ee cena podkladu kles\u00e1, co\u017e nen\u00ed tak \u00fapln\u011b \u0161patn\u00e9, proto\u017ee to v celkov\u00e9m v\u00fdsledku alespo\u0148 zhruba zp\u016fsobovalo, \u017ee byly i t\u011bmito profity z pokles\u016f v\u00edcem\u00e9n\u011b zaplaceny n\u00e1klady na dr\u017een\u00ed Long Put. Mohl bych tak vypozorovan\u00e9 vlastnosti Collar a Long Put s podklady nakoupen\u00fdmi podle Delta spojit a prozkoumat, jak se bude takov\u00e9 my\u0161lence da\u0159it.<\/span><\/p>\n

\u00a0 \u201eDelta Neutral Collar\u201c<\/strong><\/span><\/h1>\n

\u00a0\u00a0 N\u00e1kup m\u011bs\u00ed\u010dn\u00ed ATM Long Put 416<\/strong> p\u0159i cen\u011b podkladu SPY na \u00farovni 416.00 USD bude znamenat pravd\u011bpodobn\u011b n\u00e1kup +50x Long akci\u00ed SPY<\/strong>, proto\u017ee Delta<\/strong> ATM Long Put bude -50<\/strong>. Za n\u00e1kup takov\u00e9 Long Put utr\u00e1c\u00edm op\u011bt -700 USD a za n\u00e1kup 50x Long akci\u00ed SPY za cenu 416 USD\/kus vyd\u00e1v\u00e1m -20.800 USD. Pokud si vylep\u0161\u00edm tuto pozici v\u00fdpisem m\u011bs\u00ed\u010dn\u00ed Short Call<\/strong> na strike vzd\u00e1len\u00e9m p\u011bt bod\u016f na \u00farovni 421, utr\u017e\u00edm +500 USD Pr\u00e9mia a mohu vypozorovat, \u017ee jej\u00ed Delta<\/strong> by mohla b\u00fdt -35<\/strong>, k tomuto v\u00fdpisu pak pro neutralizaci nakupuji +35x Long akci\u00ed SPY<\/strong> za 416 USD\/kus a utr\u00e1c\u00edm dal\u0161\u00edch -14.560 USD. M\u00e1m tedy nedokonal\u00fd Collar, proto\u017ee jsem nepo\u0159\u00eddil +100x Long akci\u00ed, ale pouze +85x Long akci\u00ed SPY. Celkov\u011b jsem vydal (-700 USD \u2013 20.800 USD +500 USD \u2013 14.560 USD) \u010d\u00e1stku -35.560 USD. Co mohu od takov\u00e9 pozice o\u010dek\u00e1vat? Zv\u00fd\u0161en\u00ed rizika<\/strong> vypl\u00fdvaj\u00edc\u00edho ze skute\u010dnosti, \u017ee p\u0159i r\u016fstu ceny nad strike<\/strong> vypsan\u00e9 Short Call 421<\/strong> nebudu m\u00edt tento v\u00fdpis kryt\u00fd nakoupen\u00fdmi 100x Long akciemi, ale pouze +85x Long akciemi, 15x Long akci\u00ed mi tak bude chyb\u011bt pro pln\u00e9 kryt\u00ed m\u00e9ho v\u00fdpisu. Zv\u00fd\u0161en\u00ed mo\u017enosti profitu<\/strong> p\u0159i propadu ceny<\/strong>, proto\u017ee p\u0159i poklesu ceny SPY pod strike Long Put 416 bude sice prod\u011bl\u00e1vat m\u00fdch 85x Long akci\u00ed, ale Long Put 416 bude nab\u00fdvat na cen\u011b a tento profit bude ale vy\u0161\u0161\u00ed ne\u017e ztr\u00e1ta na Long akci\u00edch, proto\u017ee Long Put op\u010dn\u00ed kontrakt simuluje pohyb 100 kus\u016f akciov\u00e9ho podkladu. Na obr\u00e1zku n\u00ed\u017ee je RiskProfile t\u00e9to pozice, kterou pracovn\u011b ozna\u010duji za \u201eDelta Neutral Collar\u201c \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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

\u00a0\u00a0 Proto\u017ee jsem nakoupil Long Put 416<\/strong> a utratil -700 USD a sou\u010dasn\u011b vypsal Short Call 421<\/strong> za kterou jsem utr\u017eil +500 USD, je m\u00e1 ztr\u00e1ta na op\u010dn\u00ed pozici -200 USD<\/strong>. Sou\u010dasn\u011b jsem ale tak\u00e9 nakoupil +85x Long akci\u00ed SPY<\/strong> za cenu 416 USD\/kus, tak\u017ee abych byl s celou touto slo\u017eenou pozic\u00ed \u201ena nule\u201c, mus\u00ed m\u00e9 +85x Long akcie vyd\u011blat na ztr\u00e1tu -200 USD, a toto se stane v p\u0159\u00edpad\u011b, \u017ee tyto pos\u00edl\u00ed o (200\/85) hodnotu +2.35 USD<\/strong>. Cena podkladu SPY (416 USD + 2.35 USD) na \u00farovni 418.35 USD<\/strong> je tak prvn\u00ed BreakEven<\/strong> m\u00e9 kombinace (1)<\/strong><\/span>. Ve srovn\u00e1n\u00ed s p\u0159\u00edpadem plnohodnotn\u00e9ho Collaru se 100x Long akciemi v textu v\u00fd\u0161e (s BreakEven 418.00 USD) pak mohu vypozorovat, \u017ee tento BreakEven je nepatrn\u011b v\u00fd\u0161e o pouh\u00fdch +0.35 USD. Podstatn\u011bj\u0161\u00ed ale je, \u017ee u klasick\u00e9ho Collaru ji\u017e jak\u00e1koliv vy\u0161\u0161\u00ed cena ne\u017e BreakEven bod nem\u011bn\u00ed dosa\u017een\u00fd maxim\u00e1ln\u00ed profit, u tohoto Delta Neutral Collaru tomu tak nen\u00ed, mohu pozorovat, \u017ee pokud cena d\u00e1le poroste, tak a\u017e do hodnoty 436 USD mohu dos\u00e1hnout na profit, kter\u00fd se ov\u0161em bude s r\u016fstem ceny sni\u017eovat. SPY tak m\u016f\u017ee pos\u00edlit o cel\u00fdch +20 USD<\/strong> a st\u00e1le profituji, proto\u017ee p\u0159esn\u011b na t\u00e9to cen\u011b bude m\u00e1 vypsan\u00e1 Short Call 421 p\u0159edstavovat hodnotu -1.500 USD. M\u00e9 +85x Long akcie SPY nakoupen\u00e9 za 416 USD\/kus pak budou p\u0159edstavovat profit (85* +20.00 USD) ve v\u00fd\u0161i +1.700 USD, spole\u010dn\u011b se zapo\u010d\u00edtanou ztr\u00e1tou -200 USD p\u0159i vstupu do obchodu tak bude hodnota m\u00e9 kombinace (-1.500 USD +1.700 USD -200 USD) p\u0159edstavovat nulu, cena podkladu na rovni 436.00 USD<\/strong> tak p\u0159edstavuje horn\u00ed BreakEven<\/strong> m\u00e9 kombinace (2)<\/strong><\/span>, v p\u0159\u00edpad\u011b dal\u0161\u00edho r\u016fstu ceny podkladu ji\u017e m\u016f\u017eu o\u010dek\u00e1vat pouze ztr\u00e1tu<\/strong>. P\u016fsobiv\u00e1 je pak situace, kdy cena podkladu po po\u0159\u00edzen\u00ed t\u00e9to kombinace kles\u00e1<\/strong>. U klasick\u00e9ho Collaru ze 100x Long akciemi je jak\u00fdkoliv pokles pod hodnotu BreakEven bodu v\u017edy ztr\u00e1tou (a\u017e maxim\u00e1ln\u00ed mo\u017enou) a tato se ji\u017e \u017e\u00e1dn\u00fdm zp\u016fsobem s poklesem ceny podkladu nem\u016f\u017ee d\u00e1le vyv\u00edjet. Delta Neutral Collar v\u0161ak d\u00edky men\u0161\u00edmu po\u010dtu nakoupen\u00fdch Long akci\u00ed ne\u017e 100 kus\u016f\/jeden op\u010dn\u00ed kontrakt umo\u017e\u0148uje, aby p\u0159i poklesu ceny pod strike Long Put tato opce vyd\u011bl\u00e1vala, kdy\u017e tento v\u00fdd\u011blek bude ukusovat ze ztr\u00e1ty na nakoupen\u00fdch Long akci\u00edch. Pokud by se p\u0159i expiraci cena nenach\u00e1zela p\u0159esn\u011b na \u00farovni strike Long Put 416, ale byla ni\u017e\u0161\u00ed, v\u017edy prod\u011bl\u00e1m m\u00e9n\u011b<\/strong>, ne\u017e u klasick\u00e9ho Collaru<\/strong> a tato pravd\u011bpodobnost nen\u00ed v p\u0159\u00edpad\u011b pokles\u016f mal\u00e1. A to nen\u00ed v\u0161e, pokud cena podkladu klesne siln\u011b a\u017e na \u00farove\u0148 402.67 USD, mohu z obchodu vyj\u00edt dokonce bez jak\u00e9koliv ztr\u00e1ty. V tomto cenov\u00e9m okam\u017eiku toti\u017e bude m\u00edt m\u00e1 Long Put 416 opce (416 USD \u2013 402,67 USD)*100 cenu +1.333 USD. M\u00fdch +85x Long akci\u00ed, nakoupen\u00fdch za 416 USD bude vykazovat ztr\u00e1tu (402,67 USD \u2013 416 USD)*85 ve v\u00fd\u0161i -1.133.05 USD. Se zapo\u010d\u00edt\u00e1n\u00edm ztr\u00e1ty p\u0159i vstupu do obchody z po\u0159\u00edzen\u00ed op\u010dn\u00edch kontrakt\u016f ve v\u00fd\u0161i -200 USD pak mohu vypo\u010d\u00edtat, \u017ee p\u0159i t\u00e9to cen\u011b SPY na \u00farovni 402.67 USD je m\u00e1 pozice (+1.333 USD – 1.133 USD – 200 USD) na hodnot\u011b nula, cena 402.67 USD<\/strong> je tak m\u016fj spodn\u00ed BreakEven<\/strong> t\u00e9to kombinace. Jak\u00fdkoliv dal\u0161\u00ed pokles pod hodnotu BreakEven bodu pak bude jen ve znamen\u00ed profitu. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Co mohu tedy konstatovat? Pohledem na BreakEven body a ve srovn\u00e1n\u00ed s klasick\u00fdm Collarem je patrn\u00e9, \u017ee jsem si vyrobil riziko<\/strong> plynouc\u00ed ze zna\u010dn\u00e9ho uptrendu<\/strong> podkladu, ale z\u00edskal v\u00fdhodu mo\u017enosti men\u0161\u00ed maxim\u00e1ln\u00ed ztr\u00e1ty<\/strong>, kter\u00e1 za ur\u010dit\u00fdch okolnost\u00ed m\u016f\u017ee b\u00fdt tak\u00e9 profitem<\/strong>. Abych na uptrendu profitoval, co\u017e je podm\u00ednkou klasick\u00e9ho Collaru, sta\u010d\u00ed mi dos\u00e1hnout velmi podobn\u00fd BreakEven<\/strong> bod (418.00 USD vers. 418.35 USD), pokud v\u0161ak tento BreakEven p\u0159ekon\u00e1m a cena se bude d\u00e1le zvy\u0161ovat, mus\u00edm u Delta Neutral pozice sledovat, abych nep\u0159ekonal vzd\u00e1len\u00fd horn\u00ed BreakEven. U klasick\u00e9ho Colaru je zdol\u00e1n\u00ed hodnoty BreakEven bodu bez dal\u0161\u00edho rizika, \u017e\u00e1dn\u00fd dal\u0161\u00ed \u201ehorn\u00ed BreakEven\u201c pro n\u011bj neexistuje. V p\u0159\u00edpad\u011b, \u017ee se podkladu da\u0159it nebude, budu pozorovat, jak hluboko se cena propadne, proto\u017ee u Delta Neutral Colaru m\u016f\u017ee propad ceny podkladu nakonec znamenat tak\u00e9 profit, kde\u017eto u klasick\u00e9ho Collaru znamen\u00e1 v\u017edy jen ztr\u00e1tu.<\/span><\/p>\n

\u00a0\u00a0 Jak by si tedy vedla takto Delta neutr\u00e1ln\u00ed konstrukce Collaru s\u00a0nakoupen\u00fdmi podklady nikoliv po stovk\u00e1ch kus\u016f podle po\u010dtu op\u010dn\u00edch kontrakt\u016f, ale podle Delta p\u0159i vstupu do op\u010dn\u00edch pozic? Mohu si takovou situaci namodelovat na obdobn\u00e9m p\u0159\u00edkladu, jako u klasick\u00e9ho Collaru v\u00fd\u0161e, tedy zkoum\u00e1m m\u011bs\u00ed\u010dn\u00ed dr\u017een\u00ed op\u010dn\u00ed pozice otev\u00edran\u00e9 ka\u017ed\u00e9 pond\u011bl\u00ed na Open trh\u016f s\u00a0v\u00fdstupem za m\u011bs\u00edc p\u0159i expiraci op\u010dn\u00edch kontrakt\u016f, po\u010det Long akciov\u00fdch pozic je pak odvozen od vypo\u010d\u00edtan\u00e9 celkov\u00e9 Delta obou op\u010dn\u00edch pozic \u2013 nakoupen\u00e9 ATM Long Put a Short Call vypisovan\u00e9 na vy\u0161\u0161\u00edm strike. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span>\"\"<\/p>\n

\u00a0\u00a0 Anal\u00fdza na historick\u00fdch datech za obdob\u00ed deset let za pomoc\u00ed teoretick\u00fdch cen op\u010dn\u00edch kontrakt\u016f podle Black-Scholesova oce\u0148ovac\u00edho modelu pro \u201eDelta Neutral Collar\u201c se strike vypsan\u00e9 Short Call ve vzd\u00e1lenosti +3, +4 a +5 strike nedopadla v\u016fbec \u0161patn\u011b a m\u016f\u017ee poskytnout tento v\u00fd\u0161e uveden\u00fd obr\u00e1zek. Velmi patrn\u00fd je vyhlazen\u011bj\u0161\u00ed pr\u016fb\u011bh jednotliv\u00fdch v\u00fdnosov\u00fdch k\u0159ivek ne\u017e u klasick\u00e9ho Collaru, celkov\u00fd v\u00fdkon jednotliv\u00fdch typ\u016f podle vzd\u00e1lenosti vypsan\u00fdch strike v\u0161ak za klasick\u00fdm Colarem zaost\u00e1v\u00e1. Z pohledu p\u0159\u00edpadn\u00e9ho drawdownu jsou pak pro m\u011b poutav\u011bj\u0161\u00ed tyto pr\u016fb\u011bhy equity k\u0159ivky. Mohu tak\u00e9 zobrazit patrn\u00fd d\u016fvod, pro\u010d je pr\u016fb\u011bh equity k\u0159ivek tak plynulej\u0161\u00ed, ve v\u00fd\u0161e uveden\u00e9m RiskProfile jsem vyzna\u010dil, \u017ee propady ceny mohou u Delta Neutral obchod\u016f p\u0159in\u00e1\u0161et men\u0161\u00ed ztr\u00e1tu ne\u017e klasick\u00fd Collar nebo dokonce profit na v\u011bt\u0161\u00edch propadech. Na obr\u00e1zku n\u00ed\u017ee je pak zobrazeno procento \u00fasp\u011b\u0161n\u00fdch obchod\u016f z prov\u00e1d\u011bn\u00e9 anal\u00fdzy.<\/span><\/p>\n

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\u00a0\u00a0 61% \u00fasp\u011b\u0161n\u00fdch obchod\u016f u klasick\u00e9ho Collaru (obr\u00e1zek v textu v\u00fd\u0161e) s vypsan\u00fdm strike o t\u0159i body v\u00fd\u0161e proti 67% profituj\u00edc\u00edch obchod\u016f u Delta Neutral Collaru, ve stejn\u00e9 logice 59% vers. 66% u \u010dty\u0159strikov\u00e9ho Collaru a 58% vers. 63% u p\u011btistrikov\u00e9ho Collaru, ka\u017ed\u00e1 kombinace vykazuje vy\u0161\u0161\u00ed \u00fasp\u011b\u0161nost p\u0159i p\u0159\u00edstupu podle principu Delta Neutrality uplatn\u011bn\u00e9ho p\u0159i vstupu do pozice.<\/span><\/p>\n

\u00a0\u00a0 Mohu si ve sv\u011btle t\u011bchto zji\u0161t\u011bn\u00ed nyn\u00ed pohr\u00e1vat s my\u0161lenkou, jestli nen\u00ed \u00farove\u0148 Delta Neutrality p\u0159esn\u011b podle aktu\u00e1ln\u00ed Delta p\u0159i vstupu do pozice zbyte\u010dn\u011b striktn\u00ed a jestli bych se nemohl pokusit jej\u00edm vylep\u0161en\u00edm dos\u00e1hnout lep\u0161\u00edch v\u00fdsledk\u016f. Podrob\u00edm tedy anal\u00fdze my\u0161lenku, \u017ee budu vstupovat do Delta Neutral Collaru za podm\u00ednky 50% Delta Neutrality, tedy nakupovat pouze polovi\u010dn\u00ed mno\u017estv\u00ed Long akci\u00ed podle aktu\u00e1ln\u00ed Delta, ve srovn\u00e1n\u00ed se 100% dodr\u017een\u00edm Delta Neutrality a nakonec s pokusem nav\u00fd\u0161it po\u010det podklad\u016f na 150% hodnoty celkov\u00e9 vstupn\u00ed Delta. \u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Podcen\u011bn\u00ed<\/strong> nebo p\u0159ecen\u011bn\u00ed<\/strong> funkce Delta Neutrality<\/strong> u pozorovan\u00e9 strategie Collar nese sv\u00e9 v\u00fdhody i nev\u00fdhody, kter\u00fdm odpov\u00eddaj\u00ed pr\u016fb\u011bhy jednotliv\u00fdch k\u0159ivek a p\u0159esn\u011b odpov\u00eddaj\u00ed RiskProfile v\u00a0obr\u00e1zku v\u00fd\u0161e. S\u00edla t\u011bchto postup\u016f je pak patrn\u00e1 na obdob\u00ed covidov\u00e9 krize vyzna\u010den\u00e9 v obr\u00e1zku, kdy nedodr\u017een\u00ed 100% Delta Neutrality p\u0159in\u00e1\u0161\u00ed jasn\u00e9 v\u00fdkyvy v\u00a0jejich pr\u016fb\u011bhu.<\/span><\/p>\n

\u00a0\u00a0 A\/<\/strong> 50%<\/strong> \u00farove\u0148 Delta Neutrality<\/strong> (modr\u00e1 k\u0159ivka) znamen\u00e1, \u017ee nakupuji m\u00e9n\u011b Long akci\u00ed ne\u017e bych m\u011bl, vystavuji tak svou strategii vy\u0161\u0161\u00edmu riziku<\/strong> p\u0159i uptrendu<\/strong> podkladu, proto\u017ee vypsan\u00e1 Short Call je kryta polovi\u010dn\u00edm po\u010dtem Long akci\u00ed a horn\u00ed Break Even je mnohem bl\u00ed\u017ee cen\u011b, na kter\u00e9 jsem do takov\u00e9ho Collaru vstoupil, uptrend tak zp\u016fsobuje v\u011bt\u0161\u00ed potenci\u00e1l ztr\u00e1ty. Naopak p\u0159i poklesu \u00a0ceny podkladu je v\u011bt\u0161\u00ed prostor pro v\u00fdd\u011blek na Long Put, proto\u017ee ztr\u00e1ta na Long akci\u00edch nen\u00ed tak vysok\u00e1, jak\u00e1 by byla p\u0159i v\u011bt\u0161\u00edm po\u010dtu t\u011bchto Long podklad\u016f. Propady trh\u016f p\u0159i coronavirov\u00e9 krizi tak vyzna\u010dily na modr\u00e9 equity k\u0159ivce v\u00fdznamn\u00fd r\u016fstov\u00fd pr\u016fb\u011bh, nakupovan\u00e9 Long Put byly zdrojem v\u00fdznamn\u00fdch profit\u016f.<\/span><\/p>\n

\u00a0\u00a0 B\/ 150%<\/strong> \u00farove\u0148 Delta Neutrality<\/strong> (\u010derven\u00e1 k\u0159ivka) znamen\u00e1, \u017ee nakupuji v\u00edce Long akci\u00ed ne\u017e bych m\u011bl, vystavuji tak svou strategii vy\u0161\u0161\u00edmu riziku<\/strong> p\u0159i poklesu<\/strong> ceny podkladu, proto\u017ee nakoupen\u00e1 Long Put nesta\u010d\u00ed vyd\u011blat tolik, kolik ztr\u00e1cej\u00ed m\u00e9 Long podklady, kter\u00fdch je v\u00edce ne\u017e bych m\u011bl ve skute\u010dnosti m\u00edt a spodn\u00ed Break Even je mnohem d\u00e1le od ceny, na kter\u00e9 jsem do takov\u00e9ho Collaru vstoupil, downtrend tak zp\u016fsobuje v\u011bt\u0161\u00ed potenci\u00e1l ztr\u00e1ty. Naopak p\u0159i r\u016fstu ceny podkladu je v\u011bt\u0161\u00ed prostor pro v\u00fdd\u011blek na Long podkladov\u00fdch akci\u00edch, proto\u017ee vypsan\u00e1 Short Call, kter\u00e1 p\u0159i uptrendu bude nab\u00fdvat na cen\u011b bude kryta v\u011bt\u0161\u00edm po\u010dtem Long akci\u00ed ne\u017e bych m\u011bl u striktn\u00ed neutrality m\u00edt. Propady trh\u016f p\u0159i coronavirov\u00e9 krizi tak vyzna\u010dily na \u010derven\u00e9 equity k\u0159ivce v\u00fdznamn\u00fd pokles pr\u016fb\u011bhu, nakupovan\u00e9 Long akcie tak byly zdrojem v\u00fdznamn\u00fdch ztr\u00e1t. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\n

\u2026pou\u017e\u00edvej Syntetiku<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Ne, nen\u00ed to hl\u00e1\u0161ka m\u00edrn\u011b flegmatick\u00e9ho prodava\u010de z na\u0161\u00ed prodejny Barev & Lak\u016f, ale m\u00e1 odpov\u011b\u010f na pravd\u011bpodobn\u011b nejlogi\u010dt\u011bj\u0161\u00ed p\u0159ipom\u00ednku k \u0159\u00e1dk\u016fm v\u00fd\u0161e. Titul SPY jsem si nevybral n\u00e1hodou, disponuje silnou historickou Long tendenc\u00ed, m\u00e1 ohromnou likviditu a \u00fazk\u00fd Ask\/Bid spread. Nicm\u00e9n\u011b je nejen zna\u010dn\u011b drah\u00fd, ale nakonec jej zna\u010dn\u00e1 \u010d\u00e1st evropsk\u00fdch trader\u016f ani nem\u016f\u017ee obchodovat ve form\u011b Long podklad\u016f, proto\u017ee je p\u0159edm\u011btem nesmysln\u00e9 unijn\u00ed restrikce. Op\u010dn\u00edch kontrakt\u016f se to ale net\u00fdk\u00e1, a to je podstatn\u00e9.<\/span><\/p>\n

\u00a0\u00a0 Po\u0159\u00eddit jeden popisovan\u00fd Delta Neutral Collar s +80x Long akciemi SPY p\u0159i aktu\u00e1ln\u00ed cen\u011b 440 USD znamen\u00e1 investici -35.200 USD jenom na podkladovou slo\u017eku t\u00e9to kombinace. P\u0159i marginov\u00e9m po\u017eadavku 50% by toto znamenalo blokov\u00e1n\u00ed -17.600 USD, opakovat toto \u010dty\u0159ikr\u00e1t m\u011bs\u00ed\u010dn\u011b (nap\u0159\u00edklad vstup ka\u017ed\u00e9 pond\u011bl\u00ed jako v textu v\u00fd\u0161e) na opc\u00edch s m\u011bs\u00ed\u010dn\u00ed expirac\u00ed by vy\u017eadovalo v\u00edce ne\u017e sedmdes\u00e1titis\u00edcov\u00fd \u00fa\u010det. To nen\u00ed zrovna dobr\u00e1 zpr\u00e1va pro obchodn\u00edky, kte\u0159\u00ed by si cht\u011bli vyzkou\u0161et takov\u00e9 mechanick\u00e9 obchodov\u00e1n\u00ed a nemaj\u00ed tak vysok\u00fd \u00fa\u010det a sou\u010dasn\u011b neznaj\u00ed v\u00fdhody syntetick\u00fdch op\u010dn\u00edch a podkladov\u00fdch pozic. Pozn\u00e1n\u00edm z\u00e1kladn\u00edch vlastnost\u00ed op\u010dn\u00edch kontrakt\u016f m\u016f\u017ee b\u00fdt toti\u017e p\u0159\u00edjemn\u00e9 zji\u0161t\u011bn\u00ed, \u017ee mohu pomoc\u00ed vhodn\u011b zvolen\u00fdch op\u010dn\u00edch kontrakt\u016f simulovat podkladov\u00e9 pozice a vyjde m\u011b to v drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f levn\u011bji. Z\u00e1kladn\u00ed vlastnost\u00ed Call a Put op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike je schopnost napodobit dr\u017een\u00ed 100 kus\u016f podkladov\u00fdch akci\u00ed nebo jednoho futures kontraktu. Je \u00fapln\u011b jedno, na kter\u00e9m strike si toto za\u0159\u00edd\u00edm, ale Long Call<\/strong> a Short Put<\/strong> na stejn\u00e9m strike<\/strong> dokonale simuluje 100x Long akci\u00ed<\/strong> nebo 1x Long futures a Short Call<\/strong> a Long Put<\/strong> na stejn\u00e9m strike<\/strong> napodobuje<\/strong> pozici 100x Short akci\u00ed<\/strong> nebo 1x Short futures. Pokud je velmi \u00fazk\u00fd op\u010dn\u00ed Ask\/Bid spread, je takov\u00e9 po\u0159\u00edzen\u00ed op\u010dn\u00edch pozic cenov\u011b velmi v\u011brn\u011b odpov\u00eddaj\u00edc\u00ed dr\u017een\u00ed odpov\u00eddaj\u00edc\u00edho typu podkladu. Principy takov\u00e9ho napodobov\u00e1n\u00ed jsou pops\u00e1ny v tomto \u010dl\u00e1nku<\/a><\/strong><\/span>, nebudu je nyn\u00ed ji\u017e rozv\u00e1d\u011bt. \u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Smyslem m\u00e9ho vyu\u017eit\u00ed syntetick\u00fdch vlastnost\u00ed op\u010dn\u00edch kontrakt\u016f tak bude napodobit<\/strong> dr\u017een\u00ed pot\u0159ebn\u00e9ho mno\u017estv\u00ed Long podkladu<\/strong> pomoc\u00ed op\u010dn\u00edch kontrakt\u016f<\/strong>, konkr\u00e9tn\u011b budu cht\u00edt vytvo\u0159it m\u011bs\u00ed\u010dn\u00ed Delta Neutral Collar<\/strong> s\u00a0Long akciemi SPY<\/strong> v\u00a0po\u010dtu podle Delta<\/strong>, kter\u00e9 bude m\u00edt hodnotu -80<\/strong>. Abych mohl dos\u00e1hnout takov\u00e9 situace na m\u00e9m obchodn\u00edm \u00fa\u010dtu, za p\u0159edpokladu, \u017ee Long Call a Short Put na stejn\u00e9m strike simuluje 100x Long akci\u00ed SPY, budu muset vytvo\u0159it p\u011bt<\/strong> op\u010dn\u00edch collarov\u00fdch pozic<\/strong>, kter\u00e9 budou dopln\u011bny \u010dty\u0159mi syntetick\u00fdmi Long akciov\u00fdmi pozicemi<\/strong>, kter\u00e9 budou reprezentovat +400 Long akci\u00ed<\/strong>. Nemohu toti\u017e syntetick\u00e9 napodoben\u00ed Long akci\u00ed pomoc\u00ed op\u010dn\u00edch kontrakt\u016f d\u011blit na hodnoty men\u0161\u00ed ne\u017e stovky kus\u016f, proto pom\u011br Delta 100\/80 = 1.25, kter\u00fd mohu doc\u00edlit pomoc\u00ed n\u00e1kupu fyzick\u00fdch +80x Long akci\u00ed SPY, nahrad\u00edm pom\u011brem Delta syntetick\u00e9ho Collaru 500\/400 = 1.25 a doc\u00edl\u00edm stejn\u00e9ho efektu neutrality. Prakticky pak mohu tuto pozici pozorovat na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 Titul SPY<\/strong> se obchoduje aktu\u00e1ln\u011b za Ask<\/strong> cenu 444.19 USD (1)<\/span><\/strong>. Pro vytvo\u0159en\u00ed syntetick\u00fdch +400x Long akci\u00ed jsem si vybral strike 440 v op\u010dn\u00edm \u0159et\u011bzci za 29 dn\u016f. Mohu vypozorovat, \u017ee jsem za Long Call 440<\/strong> utratil -858 USD a za v\u00fdpis Short Put 440<\/strong> p\u0159ijal +436 USD (2)<\/strong><\/span>. Celkov\u011b jsem na tuto transakci vydal (-858 USD + 436 USD) \u010d\u00e1stku -422 USD. U expirace za m\u011bs\u00edc m\u00e1m jistotu p\u0159i\u0159azen\u00ed nebo uplatn\u011bn\u00ed n\u011bkter\u00e9 z t\u011bchto opc\u00ed (podle toho, kter\u00e1 bude \u201ev pen\u011bz\u00edch\u201c) a dod\u00e1vku 100x Long akci\u00ed SPY za cenu strike 440 USD\/kus s v\u00fddajem -44.000 USD, za kter\u00fd jsem nyn\u00ed zaplatil na op\u010dn\u00edch pozic\u00edch Long Call a Short Put na stejn\u00e9m strike -422 USD, celkov\u011b jsem za tyto akcie SPY vydal (-44.000 USD -422 USD) \u010d\u00e1stku -44.422 USD. Mohu tak konstatovat, \u017ee jsem nyn\u00ed n\u00e1kup 100x Long akci\u00ed SPY realizoval za cenu -444.22 USD\/kus<\/strong>, co\u017e je cena pouze o t\u0159i centy hor\u0161\u00ed ne\u017e n\u00e1kup fyzick\u00fdch akci\u00ed za jejich aktu\u00e1ln\u00ed Ask cenu. D\u00edky efektu Call\/Put parity mohu takovou transakci s po\u0159\u00edzen\u00edm Syntetick\u00fdch Long akci\u00ed realizovat na jak\u00e9mkoliv strike, rozhodnut\u00ed by pak m\u011blo b\u00fdt vedeno dosa\u017een\u00edm co nejv\u011brn\u011bj\u0161\u00ed ceny, kterou vykazuje aktu\u00e1ln\u00ed Ask u fyzick\u00fdch Long akci\u00ed. Sou\u010dasn\u011b s touto +400x Syntetickou Long akciovou pozic\u00ed jsem nakoupil ATM 5x Long Put<\/strong> na strike 444<\/strong> za -554 USD ka\u017edou a vypsal OTM 5x Short Call<\/strong> na strike 450<\/strong> za Pr\u00e9mium +250 USD za ka\u017edou z nich (3)<\/span><\/strong>. Pro\u010d jsem zvolil pr\u00e1v\u011b strike 450 pro v\u00fdpis Short Call vypl\u00fdv\u00e1 ze sou\u010dtu Delta obou op\u010dn\u00edch kontrakt\u016f tvo\u0159\u00edc\u00edch Collar (modr\u00e9 krou\u017eky), mohu vypozorovat, \u017ee Delta Long Put 444 je na \u00farovni -48 Delta a Delta Short Call 450 vykazuje hodnotu -32, celkov\u00e1 Delta<\/strong> je tak -80<\/strong>. Pro p\u011bt t\u011bchto op\u010dn\u00edch kontrakt\u016f Long Put 444 a Short Call 450 je tak celkov\u00e1 Delta (5* -80) na \u00farovn\u00ed -400, tuto m\u00e1m v danou chv\u00edli neutralizov\u00e1nu +400x Syntetick\u00fdmi Long akciemi vytvo\u0159enou pomoc\u00ed opc\u00ed na strike 440. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0 \u00a0Finan\u010dn\u00ed rekapitulace<\/strong> pozice pak ukazuje, \u017ee jsem po\u0159\u00eddil 400x Long akcie<\/strong> za 444.22 USD\/kus<\/strong> a na op\u010dn\u00ed pozice<\/strong> jsem vydal -5*(554 USD-250 USD) \u010d\u00e1stku -1.520 USD<\/strong>. Mohu tak nyn\u00ed konstatovat, \u017ee abych dos\u00e1hl na zaplacen\u00ed n\u00e1klad\u016f na op\u010dn\u00ed pozici, mus\u00ed m\u00fdch +400x Long akci\u00ed vyd\u011blat pr\u00e1v\u011b na n\u00e1klady ve v\u00fd\u0161i -1.520 USD, znamen\u00e1 to, \u017ee (1.520\/400) cena akci\u00ed SPY mus\u00ed pos\u00edlit o +3.80 USD<\/strong> na hodnotu (444.22 USD + 3.80 USD) alespo\u0148 448.02 USD, abych m\u011bl zaplaceny n\u00e1klady na op\u010dn\u00ed pozici, tato cena 448.02 USD<\/strong> je tak prost\u0159edn\u00ed BreakEven<\/strong> m\u00e9 pozice Delta Neutral Collaru. Ke stanoven\u00ed horn\u00edho a doln\u00edho BreakEven vyjdu z obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 Z p\u0159edchoz\u00edho obr\u00e1zku s celkovou pozic\u00ed nyn\u00ed odeberu popisn\u00e9 grafick\u00e9 n\u00e1stroje a vyzna\u010d\u00edm jin\u00fd pohled na aktu\u00e1ln\u00ed situaci na m\u00e9m \u00fa\u010dtu. Pravd\u011bpodobn\u011b by nikoho nenapadlo, \u017ee jsem sestrojil na sv\u00e9m \u00fa\u010dtu Delta Neutral Collar, ale t\u00e9m\u011b\u0159 ka\u017ed\u00fd op\u010dn\u00ed obchodn\u00edk by vypozoroval, \u017ee jsem na Call stran\u011b<\/strong> po\u0159\u00eddil 4:5 Call Ratio Spread +440\/-450<\/strong> a na Put stran\u011b<\/strong> sestavil 5:4 Put Back Spread +444\/-440<\/strong>. Op\u010dn\u00ed pozice Collaru (5*Long Put 444 a 5*Short Call 450) jsem po\u0159\u00eddil za -1.520 USD a op\u010dn\u00ed pozice simuluj\u00edc\u00ed podkladov\u00e9 aktivum \u2013 syntetick\u00fd 400x Long akci\u00ed SPY (4*Long Call 440 a 4*Short Put 440) \u2013 jsem po\u0159\u00eddil za -4*(858 USD-436 USD) v\u00fddaj -1.688 USD. Celkov\u011b jsem vydal na v\u0161echny opce<\/strong> (-1.520 USD \u2013 1.688 USD) \u010d\u00e1stku -3.208 USD<\/strong><\/span><\/span><\/p>\n

\u00a0\u00a0 A\/<\/strong> 4:5 Call Ratio Spread +440\/450<\/strong> m\u00e1 potenci\u00e1l profitu +4.000 USD na \u010dty\u0159ech Call Bull Spreadech +440\/450, kter\u00e9 ho tvo\u0159\u00ed a mo\u017enost neomezen\u00e9 ztr\u00e1ty d\u00edky 1x Naked Short Call 450. Proto\u017ee m\u00e9 dosavadn\u00ed n\u00e1klady na pozici \u010din\u00ed -3.208 USD, je potenci\u00e1l profitu (+4.000 USD \u2013 3.208 USD) ve v\u00fd\u0161i +792 USD a tento bude dosa\u017een, pokud se cena zastav\u00ed p\u0159i expiraci p\u0159esn\u011b na cen\u011b p\u0159edstavuj\u00edc\u00ed strike Short Call 450. Pokud cena d\u00e1le poroste, bude nutn\u00e9 po\u010d\u00edtat s likvidac\u00ed 1x Naked Short Call 450 a na tuto likvidaci m\u00e1m k dispozici pr\u00e1v\u011b profit +792 USD. Tento se mi cel\u00fd zu\u017eitkuje v okam\u017eiku, kdy\u017e cena podkladu SPY bude o +7.92 USD nad cenou tohoto vypsan\u00e9ho strike, tedy (450 + 7.92 USD) na cen\u011b 457,92 USD<\/strong>, toto je hodnota horn\u00edho BreakEven bodu<\/strong>. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 B\/ 5:4 Put Back Spread +444\/-440<\/strong> m\u00e1 t\u00e9m\u011b\u0159 neomezen\u00fd potenci\u00e1l profitu p\u0159i poklesu ceny podkladu (cena m\u016f\u017ee klesnout pouze na nulu, proto „t\u00e9m\u011b\u0159“…) a tvo\u0159\u00ed jej maxim\u00e1ln\u00ed mo\u017en\u00fd profit +1.600 USD ze \u010dty\u0159ech Put Bear Spread\u016f +444\/-440, pokud by cena p\u0159i expiraci z\u016fstala na cen\u011b ni\u017e\u0161\u00ed nebo rovn\u00e9 440 USD, v tomto p\u0159\u00edpad\u011b, po zapo\u010d\u00edt\u00e1n\u00ed vstupn\u00edch n\u00e1klad\u016f na op\u010dn\u00ed pozice -3.208 USD, by ztr\u00e1ta na t\u011bchto Put Bear Spreadech +444\/-440 \u010dinila (+1.600 USD \u2013 3.208 USD) \u010d\u00e1stku -1.608 USD. Tuto ztr\u00e1tu mus\u00ed vyd\u011blat zbyl\u00e1 1x Long Put 444 a toto se p\u0159ihod\u00ed v okam\u017eiku, kdy cena p\u0159i expiraci bude o -16.08 USD pod strike t\u00e9to Long Put 444, cena akcie SPY na hodnot\u011b (444 -16.08 USD) p\u0159edstavuj\u00edc\u00ed 427,92 USD<\/strong> je spodn\u00ed BreakEven bod<\/strong> m\u00e9 aktu\u00e1ln\u00ed obchodn\u00ed pozice \u00a0<\/span><\/p>\n

\u00a0\u00a0 Pro kontrolu nech\u00e1m sv\u00e9 v\u00fdpo\u010dty BreakEven bod\u016f ov\u011b\u0159it v\u00a0analytick\u00e9 platform\u011b thinkorswim.<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee tyto mnou vypo\u010d\u00edtan\u00e9 hodnoty plat\u00ed, BreakEven body zobrazen\u00e9 v\u00a0RiskProfile pomoc\u00ed t\u00e9to platformy jsou toto\u017en\u00e9.<\/span><\/p>\n

\u00a0\u00a0 Pro\u010d takto?\u00a0\u00a0<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Vytvo\u0159en\u00ed Delta Neutral Collaru pomoc\u00ed syntetick\u00fdch op\u010dn\u00edch pozic m\u00e1 nespornou a jedine\u010dnou v\u00fdhodu. Pokud na klasick\u00fd Collar s nakoupen\u00fdmi Long akciemi pot\u0159ebuji m\u00edt vysok\u00fd obchodn\u00ed \u00fa\u010det ve vy\u0161\u0161\u00edch des\u00edtk\u00e1ch tis\u00edc dolar\u016f na jednokontraktn\u00ed mechanick\u00e9 ka\u017edot\u00fddenn\u00ed vstupy do m\u011bs\u00ed\u010dn\u00edho obchodu, v takto \u201esynteticky\u201c strukturovan\u00e9m obchodu je po\u017eadavek na margin drasticky men\u0161\u00ed. V m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b 5:4 Put Back Spread +444\/-440<\/strong> nevy\u017eaduje \u017e\u00e1dn\u00fd margin<\/strong>, proto\u017ee Long opc\u00ed je v\u00edce ne\u017e vypsan\u00fdch na ni\u017e\u0161\u00edm strike. 4:5 Call Ratio Spread +440\/450<\/strong> vy\u017eaduje margin<\/strong> pouze pro 1x Short Call 450<\/strong>, proto\u017ee tato vypsan\u00e1 opce je nekryt\u00e1, v\u00fd\u0161e marginu se pak bude odv\u00edjet od vzd\u00e1lenosti strike t\u00e9to jedin\u00e9 vypsan\u00e9 opce od aktu\u00e1ln\u00ed ceny podkladu, moment\u00e1ln\u011b je tato pozice zat\u00ed\u017eena marginem ve v\u00fd\u0161i cca 4.000 USD u m\u00e9ho brokera – ma\u010farsk\u00e9ho Interactive Brokers, a to m\u00e1m po\u0159\u00edzeno p\u011bt Collar\u016f, kter\u00e9 dopl\u0148uji \u010dty\u0159mi syntetick\u00fdmi pozicemi podle uva\u017eovan\u00e9 Delta na \u00farovni 80, mohu si tak dovolit p\u011btin\u00e1sobn\u011b v\u011bt\u0161\u00ed expozici<\/strong> v trz\u00edch oproti klasick\u00e9mu Collaru p\u0159i drasticky men\u0161\u00edch n\u00e1kladech v \u0159\u00e1dech jednotek tis\u00edc dolar\u016f.<\/span><\/p>\n

\u00a0\u00a0 Mohu nyn\u00ed ve sv\u00e9m vyroben\u00e9m analytick\u00e9m n\u00e1stroji vyzkou\u0161et, pro ov\u011b\u0159en\u00ed smysluplnosti takov\u00e9 Delta Neutral strategie, jak by si takov\u00e9 mechanick\u00e9 po\u010d\u00edn\u00e1n\u00ed vedlo a jak\u00e9 by byly jeho desetilet\u00e9 v\u00fdsledky. Budu tedy op\u011bt analyzovat desetilet\u00e9 ka\u017edot\u00fddenn\u00ed vstupov\u00e1n\u00ed na pond\u011bln\u00edm Open do p\u011bti Collar\u016f s\u00a0vypsan\u00fdm strike ve vzd\u00e1lenosti +4, +5 a +6 strike s\u00a0m\u011bs\u00ed\u010dn\u00ed expirac\u00ed, se sou\u010dasn\u00fdm po\u0159izov\u00e1n\u00edm podklad\u016f s\u00a0Delta na \u00farovni 80 v\u00a0syntetick\u00e9 form\u011b pomoc\u00ed \u010dty\u0159\u00a0Long Call a \u010dty\u0159 Short Put na stejn\u00e9m strike.<\/span><\/p>\n

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\u00a0\u00a0 Zadan\u00e1 anal\u00fdza na teoretick\u00fdch cen\u00e1ch opc\u00ed na cen\u00e1ch podklad\u016f za obdob\u00ed od 2010 do sou\u010dasnosti p\u0159in\u00e1\u0161\u00ed pozoruhodn\u00e9 v\u00fdsledky, kter\u00e9 rozhodn\u011b stoj\u00ed za dal\u0161\u00ed \u00favahy. Mohu si tak\u00e9 zobrazit sumarizaci s procentem \u00fasp\u011b\u0161n\u00fdch obchod\u016f.<\/span><\/p>\n

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\u00a0\u00a0Z histogram\u016f lze ode\u010d\u00edst hodnoty equity v absolutn\u00edch \u010d\u00e1stk\u00e1ch sou\u010dasn\u011b s dosa\u017een\u00fdm po\u010dtem obchod\u016f, kter\u00fd zakon\u010dil s kladn\u00fdm v\u00fdsledkem. Za zamy\u0161len\u00ed pak stoj\u00ed kapit\u00e1lov\u00e1 n\u00e1ro\u010dnost obchodu v porovn\u00e1n\u00ed s profilem zisku a ztr\u00e1ty a s celkov\u00fdm dosa\u017een\u00fdm v\u00fdkonem.<\/span><\/p>\n

\u2026mal\u00e9 vylep\u0161en\u00ed<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Opatrn\u00fd obchodn\u00edk patrn\u011b nam\u00edtne, \u017ee je to sice v\u0161echno srozumiteln\u00e9 a pochopiteln\u00e9, ale vada na kr\u00e1se tam prost\u011b je, a to ve form\u011b risku spojen\u00e9ho s masivn\u00edm uptrendem podkladu, kter\u00fd by mohl zas\u00e1hnout strike nekryt\u00e9 1x Short Call a zp\u016fsobit tak v\u00fdraznou ztr\u00e1tu, kter\u00e1 by p\u0159i p\u0159edstav\u011b neomezn\u00e9 mo\u017enosti r\u016fstu ceny podkladu mohla b\u00fdt tak\u00e9 neomezen\u00e1. V m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b, kdy je horn\u00ed BreakEven na \u00farovni 457,92 USD, by prora\u017een\u00ed t\u00e9to hodnoty nemuselo b\u00fdt nic nere\u00e1ln\u00e9ho, proto\u017ee \u017eivotnost m\u00e9ho Collaru je napl\u00e1novan\u00e1 na jeden m\u011bs\u00edc. Co tedy mohu pro redukci tohoto risku ud\u011blat, abych nenaru\u0161il v\u00fdrazn\u011b n\u011bkter\u00e9 vypozorovan\u00e9 vlastnosti t\u00e9to kombinace, jako nap\u0159\u00edklad v\u00fdhodu na poklesu ceny ztratit m\u00e9n\u011b ne\u017e u klasick\u00e9ho Collaru se 100x Long akciemi nebo zbyte\u010dn\u011b nenavy\u0161ovat kapit\u00e1lov\u00e9 n\u00e1roky na celou op\u010dn\u00ed kombinaci? Na obr\u00e1zku n\u00ed\u017ee je situace o den pozd\u011bji po vstupu do pozice 5x Delta Neutral Collaru.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0Zjistil jsem ji\u017e pomoc\u00ed vlastn\u00edho v\u00fdpo\u010dtu a konfrontac\u00ed s analytickou platformou, \u017ee horn\u00ed BreakEven bod<\/strong> m\u00e9 obchodn\u00ed pozice se nach\u00e1z\u00ed na \u00farovni 457.97 USD<\/strong>. Eviduji, \u017ee m\u00e1m 1x Short Call 450, kter\u00e1 nen\u00ed kryt\u00e1 a kter\u00e1 zp\u016fsobuje po\u017eadavek na margin. Mohu si tak nyn\u00ed dovolit vypsat<\/strong> tak\u00e9 jednu OTM Short Put opci<\/strong>, ani\u017e bych naru\u0161il po\u017eadavek na margin, proto\u017ee t\u00edm zm\u011bn\u00edm 5:4 Put Back Spread +444\/-440 na Put stran\u011b na 5x Put Bear Spread\u016f<\/strong> a tyto nevy\u017eaduj\u00ed \u017e\u00e1dn\u00fd margin nav\u00edc. Za tyto pen\u00edze, tedy Pr\u00e9mium za v\u00fdpis OTM Short Put mohu nakoupit na Call stran\u011b dal\u0161\u00ed OTM Long Call opci, ani\u017e bych utratil n\u011bjak\u00e9 dal\u0161\u00ed pen\u00edze. Tato Long Call opce<\/strong> bude m\u00edt strike 457<\/strong>, proto\u017ee velmi t\u011bsn\u011b za t\u00edmto strike<\/strong> le\u017e\u00ed horn\u00ed BreakEven bod<\/strong> (457,92 USD). Jej\u00ed existence na m\u00e9m \u00fa\u010dtu zp\u016fsob\u00ed, \u017ee pokud cena za\u010dne v\u00fdrazn\u011b stoupat, od strike Long Call 457 ji\u017e za\u010dne tato Long Call 457 opce vyd\u011bl\u00e1vat a zcela kompenzovat ztr\u00e1tu na vypsan\u00e9 Short Call 450 opci, kter\u00e1 byla p\u016fvodn\u011b nekryt\u00e1 a byla zdrojem mo\u017en\u00e9 neomezen\u00e9 ztr\u00e1ty. Je tak\u00e9 z obr\u00e1zku patrn\u00e9, \u017ee v\u00fdpis Short Put 405 vygeneruje +83 USD, kter\u00e9 zcela uhrad\u00ed investici do Long Call 457, kter\u00e1 aktu\u00e1ln\u011b stoj\u00ed -81 USD. Nav\u00edc, nakoupen\u00e1 Long Call 457 vytvo\u0159\u00ed spole\u010dn\u011b s p\u016fvodn\u011b nekrytou Short Call 450 pozici 1x Call Credit Spread -450\/+457 s n\u00e1rokem na margin ve v\u00fd\u0161i rozd\u00edlu strike tedy 700 USD, tedy po\u017eadavek na margin<\/strong> se zmen\u0161\u00ed pouze<\/strong> na tuto velmi p\u0159ijatelnou \u00farove\u0148<\/strong>. Mohu si takov\u00e9 po\u0159\u00edzen\u00ed ochrany horn\u00edho BreakEven bodu zobrazit v RiskProfile analytick\u00e9 platformy thinkorswim.\u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u017d\u00e1dn\u00e9 pono\u0159en\u00ed k\u0159ivky zisku a ztr\u00e1ty p\u0159i expiraci pod nulovou hranici<\/strong> v\u00a0p\u0159\u00edpad\u011b uptrendu<\/strong> se nekon\u00e1<\/strong>. V p\u0159\u00edpad\u011b downtrendu je patrn\u00e9, \u017ee strike vypsan\u00e9 Short Put 405 je a\u017e za \u00farovn\u00ed spodn\u00edho BreakEven bodu (427,92 USD), tak\u017ee z ohro\u017een\u00ed jeho hranice t\u00edmto v\u00fdpisem nemus\u00edm m\u00edt obavy. Pokud by cena klesla p\u0159i expiraci a\u017e pod tento vypsan\u00fd strike 405, tak mohu spokojen\u011b konstatovat, \u017ee p\u016fvodn\u00ed 5:4 Put Back Spread +444\/-440 se t\u00edmto v\u00fdpisem zm\u011bnil na 4x Put Bear Spread +444\/-440 a 1x Put Bear Spread +444\/-405. V t\u00e9to situaci, s cenou SPY pod 405 USD p\u0159i expiraci, by maxim\u00e1ln\u00ed profit +1.600 USD na 4x Put Bear Spreadu +444\/-440 a maxim\u00e1ln\u00ed profit +3.900 USD na 1x Put Bear Spreadu +444\/-405 vygeneroval +5.500 USD, p\u0159i n\u00e1kladech na op\u010dn\u00ed pozici ve v\u00fd\u0161i \u2013 3.208 USD bych mohl po\u010d\u00edtat s profitem (+5.500 USD \u2013 3.208 USD) ve v\u00fd\u0161i +2.292 USD.<\/span><\/p>\n

\u00a0\u00a0 Tyto dodate\u010dn\u00e9 \u00fapravy pak mohou navozovat dal\u0161\u00ed mo\u017enosti pr\u00e1ce s t\u011bmito Delta Neutral syntetick\u00fdmi Collary. Zji\u0161t\u011bn\u00ed, \u017ee v\u00fdpis Short Put na strike 405 mi v\u00a0p\u0159\u00edpad\u011b poklesu ceny p\u0159i expiraci pod tento strike 405 p\u0159inese profit +2.292 USD, mohu vyu\u017e\u00edt k volb\u011b\u00a0v\u00fdpisu na vy\u0161\u0161\u00edm strike na Put stran\u011b, kter\u00fd bude znamenat sice ni\u017e\u0161\u00ed potenci\u00e1l profitu p\u0159i poklesu pod tento strike, nicm\u00e9n\u011b z\u00edsk\u00e1m v\u00edce Pr\u00e9mia a mohu si vylep\u0161it hodnotu p\u0159\u00edpadn\u011b celkov\u00e9 ztr\u00e1ty o neutracenou \u010d\u00e1st Pr\u00e9mia z\u00a0tohoto v\u00fdpisu, kterou nepou\u017eiji na n\u00e1kup Long Call na horn\u00edm BreakEven. Nejextr\u00e9mn\u011bj\u0161\u00ed variantou by pak byl z\u00a0takov\u00e9ho pohledu v\u00fdpis Short Put na strike bezprost\u0159edn\u011b pod spodn\u00edm BreakEven bodem. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 Zd\u00e1lo by se, \u017ee p\u0159i pochopen\u00ed kombinace opc\u00ed a podklad\u016f naz\u00fdvan\u00e9 Collar, nelze nic dal\u0161\u00edho k t\u00e9to strategii dodat. N\u00e1kup Long Put a v\u00fdpis Short Call na vy\u0161\u0161\u00edm strike a k tomu +100x Long akci\u00ed nebo 1x Long futures nen\u00ed nic nepochopiteln\u00e9ho a m\u00e1 sv\u016fj vlastn\u00ed obchodn\u00ed potenci\u00e1l. Mohu v\u0161ak tuto my\u0161lenku rozv\u00e9st o dal\u0161\u00ed pohledy a vyu\u017e\u00edt k tomu z\u00e1kladn\u00ed vlastnosti op\u010dn\u00edch kontrakt\u016f a \u0159eck\u00fdch p\u00edsmen. Flexibilita vyu\u017eit\u00ed opc\u00ed m\u00e1 opravdu netu\u0161en\u00e9 rozm\u011bry a m\u016f\u017ee vytv\u00e1\u0159et pozoruhodn\u011b zaj\u00edmav\u00e9 kombinace a obchodn\u00ed p\u0159\u00edstupy, kter\u00e9 by si nakonec b\u011b\u017en\u00fd obchodn\u00edk s nevelk\u00fdm \u00fa\u010dtem ani nemohl dovolit…: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> nebo do obecn\u011bj\u0161\u00ed diskuze Opce a jejich kombinace<\/a><\/strong> <\/span>:c) <\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Aplikovat principy Delta Neutrality lze v mnoha obchodn\u00edch situac\u00edch, m\u016f\u017ee b\u00fdt zaj\u00edmav\u00e9 je v\u00edce prozkoumat a porovnat, jak by se tento obchodn\u00ed p\u0159\u00edstup mohl nap\u0159\u00edklad zapojit do obchodov\u00e1n\u00ed n\u011bjak\u00e9 klasick\u00e9 a zaveden\u00e9 op\u010dn\u00ed strategie. Abych mohl tento princip prozkoumat s n\u011bjakou \u010dasovou efektivitou a alespo\u0148 na orienta\u010dn\u00ed b\u00e1zi mo\u017en\u00e9ho Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":5576,"comment_status":"closed","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":[52],"class_list":["post-5545","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-kombinace","tag-delta-neutral"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2021\/08\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1rr","jetpack-related-posts":[{"id":3111,"url":"https:\/\/dobretrejdy.com\/?p=3111","url_meta":{"origin":5545,"position":0},"title":"Delta Neutral – V.","author":"dobretrejdy :c)","date":"13.4.2019","format":false,"excerpt":"\u00a0 Nakoupit Long Call op\u010dn\u00ed kontrakt a vytvo\u0159it Delta Neutr\u00e1ln\u00ed miniportfolio s\u00a0kladnou Gamma prodejem odpov\u00eddaj\u00edc\u00edho mno\u017estv\u00ed Short akci\u00ed bylo p\u0159edm\u011btem minul\u00e9ho \u010dl\u00e1nku. Dal\u0161\u00ed po\u0159izov\u00e1n\u00ed Delta Neutrality prodejem odpov\u00eddaj\u00edc\u00edho po\u010dtu akci\u00ed podle cenov\u00e9ho v\u00fdvoje bylo pops\u00e1no na jednoduch\u00e9m p\u0159\u00edkladu s\u00a0akciemi PEP p\u0159i mo\u017enosti vyu\u017eit\u00ed platformy TWS brokera Interactive Brokers. \u010cl\u00e1nek m\u011bl\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3434,"url":"https:\/\/dobretrejdy.com\/?p=3434","url_meta":{"origin":5545,"position":1},"title":"Delta Neutral – X.","author":"dobretrejdy :c)","date":"18.7.2019","format":false,"excerpt":"\u00a0 \u00a0S\u00a0p\u0159\u00edchodem l\u00e9ta (dosti parn\u00fd \u00favod) jsem vypozoroval, \u017ee se mi nechce nic epick\u00e9ho ps\u00e1t. Z\u00a0p\u0159ijat\u00e9 zodpov\u011bdnosti v\u016f\u010di sv\u00fdm \u010dten\u00e1\u0159\u016fm jsem v\u0161ak za\u010dal b\u00fdt m\u00edrn\u011b nesv\u016fj a m\u016fj \u201enepublika\u010dn\u00ed stav\u201c za\u010dal m\u00edrn\u011b nahlod\u00e1vat moji ne\u010dinnost. P\u0159em\u00fd\u0161lel jsem, jak\u00fd kompromis zvolit, abych v\u00a0proslun\u011bn\u00fdch pr\u00e1zdninov\u00fdch a dovolenkov\u00fdch dnech neunavoval n\u011bjakou slo\u017eitou a\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/07\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/07\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/07\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/07\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3237,"url":"https:\/\/dobretrejdy.com\/?p=3237","url_meta":{"origin":5545,"position":2},"title":"Delta Neutral – VII.","author":"dobretrejdy :c)","date":"12.5.2019","format":false,"excerpt":"\u00a0 \u00a0Super Mario, sk\u00e1kaj\u00edc\u00ed chl\u00e1pek z\u00a0nesmrteln\u00e9 plo\u0161inovky, je doposud pravd\u011bpodobn\u011b m\u00fdm nejv\u011bt\u0161\u00edm proniknut\u00edm do sv\u011bta po\u010d\u00edta\u010dov\u00fdch her :c). The Sims, Need For Speed nebo FIFA m\u011b nijak nezas\u00e1hly, p\u0159esto m\u00e1m pov\u011bdom\u00ed, \u017ee se jedn\u00e1 z\u00a0komer\u010dn\u00edho pohledu o miliardov\u00fd byznys a tv\u016frci t\u011bchto sv\u011btov\u00fdch hern\u00edch trh\u00e1k\u016f na tom pravd\u011bpodobn\u011b nejsou nejh\u016f\u0159e.\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3810,"url":"https:\/\/dobretrejdy.com\/?p=3810","url_meta":{"origin":5545,"position":3},"title":"Delta Neutral \u2013 XI.","author":"dobretrejdy :c)","date":"27.10.2019","format":false,"excerpt":"\u00a0\u00a0 Pozn\u00e1n\u00ed princip\u016f Delta Neutral obchodov\u00e1n\u00ed ve v\u0161ech nuanc\u00edch nen\u00ed jednoduch\u00e9, p\u0159esto\u017ee se to tak m\u016f\u017ee na prvn\u00ed pohled zd\u00e1t. V p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch jsem popisoval, jak lze od sebe odli\u0161it takov\u00e9 obchody nap\u0159\u00edklad podle hodnoty znam\u00e9nka u parametru Gamma a se zaslou\u017eenou pozornost\u00ed jsem v n\u011bkolika dal\u0161\u00edch \u010dl\u00e1nc\u00edch popisoval obchodov\u00e1n\u00ed\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/10\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3346,"url":"https:\/\/dobretrejdy.com\/?p=3346","url_meta":{"origin":5545,"position":4},"title":"Delta Neutral – VIII.","author":"dobretrejdy :c)","date":"8.6.2019","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed s\u00a0vyu\u017eit\u00edm prvk\u016f Delta Neutrality nen\u00ed, po s\u00e9rii \u010dl\u00e1nk\u016f popisuj\u00edc\u00ed tuto techniku, pravd\u011bpodobn\u011b v\u016fbec k\u00a0zahozen\u00ed a mohlo by m\u00edt slu\u0161n\u00fd obchodn\u00ed potenci\u00e1l. K\u00a0jeho vyu\u017eit\u00ed je ale zapot\u0159eb\u00ed pochopit hlub\u0161\u00ed vztahy mezi jednotliv\u00fdmi obchodn\u00edmi prvky a odhalit tak dal\u0161\u00ed souvislosti, kter\u00e9 mohou vytvo\u0159it vyu\u017eiteln\u00e9 obchodn\u00ed sch\u00e9ma. Prozat\u00edm jsem se dotkl\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1648,"url":"https:\/\/dobretrejdy.com\/?p=1648","url_meta":{"origin":5545,"position":5},"title":"Technologie","author":"dobretrejdy :c)","date":"30.3.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00a0minul\u00e9m \u010dl\u00e1nku jsem uvedl, \u017ee k\u00a0obchodov\u00e1n\u00ed pot\u0159ebuji \u010dty\u0159i v\u011bci - Nastaven\u00ed mysli, Technologii, Obchodn\u00ed dovednosti a Pen\u00edze. Tak\u00e9 jsem se v\u00a0\u010dl\u00e1nku hned vypo\u0159\u00e1dal s\u00a0prvn\u00edm \u201epot\u0159ebou\u201c, tedy s\u00a0probl\u00e9mem souvisej\u00edc\u00edm s\u00a0du\u0161evn\u00edm nastaven\u00edm obchodn\u00edkovy osobnosti, tak\u017ee to opticky vypad\u00e1, \u017ee to nakonec nebude tak dramatick\u00e9 popsat, jak se na obchodov\u00e1n\u00ed p\u0159ipravit. 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