{"id":574,"date":"2017-07-02T12:51:13","date_gmt":"2017-07-02T10:51:13","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=574"},"modified":"2023-05-26T07:16:46","modified_gmt":"2023-05-26T05:16:46","slug":"vega","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=574","title":{"rendered":"Vega"},"content":{"rendered":"

\u00a0\u201e\u2026 p\u0159esto\u017ee se v\u017eilo, \u017ee popis faktor\u016f p\u016fsob\u00edc\u00edch na tvorbu op\u010dn\u00ed ceny jsme zvykl\u00ed ozna\u010dovat \u0159eck\u00fdmi p\u00edsmeny Delta, Gamma, Th\u00e9ta, Rho, Vega, tak mus\u00edm podotknout, \u017ee Vega nen\u00ed p\u00edsmenem \u0159eck\u00e9 abecedy<\/em>\u2026\u201c, v\u00a0tomto smyslu v\u011bt\u0161inou b\u00fdvaj\u00ed uv\u00e1d\u011bny \u010dl\u00e1nky o „Vega“ zab\u00fdvaj\u00edc\u00ed se vlivem zm\u011bny Implied Volatility na cenu op\u010dn\u00edho kontraktu, z\u0159ejm\u011b proto, aby autor uk\u00e1zal, \u017ee je krom\u011b sv\u00e9 zb\u011bhlosti ve znalostech op\u010dn\u00ed problematiky tak\u00e9 klasicky vzd\u011bl\u00e1n a m\u00e1 tak samoz\u0159ejm\u011b v\u00a0mal\u00ed\u010dku \u0159eckou abecedu, kterou um\u00ed tam i zp\u011bt a to v\u0161echno je schopen dok\u00e1zat samoz\u0159ejm\u011b i o p\u016flnoci.<\/span><\/p>\n

\u00a0 \u00a0\u00a0\u00a0Proto\u017ee se cena opc\u00ed odv\u00edj\u00ed od \u0161esti vstupn\u00edch hodnot, kter\u00fdmi jsou Ceny podkladu, Hodnota strike, D\u00e9lka \u017eivota op\u010dn\u00edho kontraktu, Implied Volatilita, \u00darokov\u00e1 m\u00edra<\/strong> a hodnota p\u0159\u00edpadn\u011b vypl\u00e1cen\u00e9 Dividendy<\/strong>, tak mohu op\u011bt konstatovat, tak jako v\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch, \u017ee Hodnota strike, \u00darokov\u00e1 m\u00edra a hodnota p\u0159\u00edpadn\u011b vypl\u00e1cen\u00e9 Dividendy jsou \u201ekonstanty, kter\u00e9 se za \u017eivota op\u010dn\u00edho kontraktu nem\u011bn\u00ed a na op\u010dn\u00ed cenu tak bude m\u00edt vliv pouze zm\u011bna hodnoty Ceny podkladu, D\u00e9lky \u017eivota op\u010dn\u00edho kontraktu a Implied Volatility. Zm\u011bna hodnoty Ceny podkladu a jejich vlivu na cenu op\u010dn\u00edho kontraktu jsem se zab\u00fdval v\u00a0\u010dl\u00e1nc\u00edch o Delta<\/strong><\/a><\/span> \u00a0a Gamma<\/strong><\/a><\/span> a vliv zm\u011bny D\u00e9lky \u017eivota op\u010dn\u00edho kontraktu na cenu opc\u00ed jsem popisoval v\u00a0\u010dl\u00e1nku o Th\u00e9ta<\/strong><\/a><\/span>. Zb\u00fdv\u00e1 tedy popsat, jak se do ceny op\u010dn\u00edho kontraktu prom\u00edt\u00e1 zm\u011bna hodnoty Implied Volatility a bude tak hotov cel\u00fd obr\u00e1zek o principu tvorby op\u010dn\u00ed ceny. O tom bude dne\u0161n\u00ed \u010dl\u00e1nek.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Tak\u017ee, Vega<\/u><\/strong> nen\u00ed sice \u0159eck\u00e9 p\u00edsmeno, ale opravdu popisuje vztah mezi cenou op\u010dn\u00edho kontraktu a zm\u011bnou Implied Volatility<\/u><\/strong>. Zjednodu\u0161en\u011b n\u00e1m ukazuje, o kolik se zm\u011bn\u00ed cena op\u010dn\u00edho kontraktu<\/strong>, kdy\u017e se hodnota Implied Volatility zm\u011bn\u00ed o 1%<\/strong>. Long Call na strike 150 m\u00e1 dnes cenu 320 USD a Implied Volatilita je na hodnot\u011b 23%. Hodnota Vega je 22. Pokud hodnota Implied Volatility stoupne o 1% na hodnotu 24% a v\u0161echny ostatn\u00ed cenotvorn\u00e9 prvky by z\u016fstaly stejn\u00e9, tak cena opce vlivem vzr\u016fstu Implied Volatility zp\u016fsob\u00ed, \u017ee nov\u00e1 cena op\u010dn\u00edho kontraktu Long Call 150 bude 320 USD + Vega (22) = 342 USD. Pokud Implied Volatilita poklesne o 1%, tak se cena opce o hodnotu Vega sn\u00ed\u017e\u00ed a bude 320 USD \u2013 Vega (22) = 298 USD.<\/span><\/p>\n

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Matematika Vega<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Vzorec v\u00fdpo\u010dtu hodnoty Vega, tak jak jej lze extrahovat z\u00a0Black-Scholesova vzorce by vypadal jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku a na rozd\u00edl nap\u0159\u00edklad od vzorce pro v\u00fdpo\u010det Th\u00e9ta nevypad\u00e1 na\u0161t\u011bst\u00ed tak d\u011bsiv\u011b komplikovan\u011b.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku jsem op\u011bt vyzna\u010dil oblasti, kter\u00e9 povedou ke zjednodu\u0161en\u00ed pochopen\u00ed vzorce, zejm\u00e9na pro pot\u0159ebu si takov\u00fd v\u00fdpo\u010det p\u0159ev\u00e9st do n\u011bjak\u00e9ho smyslupln\u00e9ho tvaru a vyu\u017e\u00edt jej nap\u0159\u00edklad ke sv\u00fdm vlastn\u00edm v\u00fdpo\u010dt\u016fm v\u00a0jednoduch\u00e9m Excelu.<\/span><\/p>\n

\u00a0 V\u00a0zelen\u00e9m obd\u00e9ln\u00edku je exponenci\u00e1ln\u00ed funkce, jej\u00edm\u017e exponentem je sou\u010din hodnoty Dividendy a D\u00e9lka \u017eivota opce (-q*t). Proto\u017ee jsem v\u00a0\u010dl\u00e1nc\u00edch v\u00fdpo\u010dtu ceny opc\u00ed a v\u00a0\u010dl\u00e1nc\u00edch o Dividend\u00e1ch ji\u017e uv\u00e1d\u011bl, \u017ee hodnota Dividendy vstupuje do Black-Scholesova vzorce ve sv\u00e9m anualizovan\u00e9m tvaru, m\u016f\u017eeme se na hodnotu exponentu exponenci\u00e1ln\u00ed funkce d\u00edvat, jako by byl t\u00e9m\u011b\u0159 nulov\u00fd a cokoliv t\u00e9m\u011b\u0159 na nultou je t\u00e9m\u011b\u0159 jedna, tato \u010d\u00e1st vzorce tedy nem\u00e1 na hodnotu Vega praktick\u00fd vliv a m\u016f\u017eeme ji z\u00a0v\u00fdpo\u010dtu vylou\u010dit.\u00a0<\/span><\/p>\n

\u00a0V\u00a0\u010derven\u00e9m obd\u00e9ln\u00edku jsem ozna\u010dil oblast, kter\u00e1 p\u0159edstavuje Distribu\u010dn\u00ed funkci norm\u00e1ln\u00edho rozd\u011blen\u00ed<\/strong> pro hodnotu –d1<\/strong>. Tuto hodnotu jsem ji\u017e zji\u0161\u0165oval a ukazoval jej\u00ed matematick\u00fd tvar v\u00a0\u010dl\u00e1nku Cena opc\u00ed<\/a><\/strong> <\/span>, tam jsem tak\u00e9 vyu\u017e\u00edval jej\u00ed hodnotu p\u0159i ur\u010dov\u00e1n\u00ed ceny opce.\u00a0 Jej\u00ed v\u00fdpo\u010det nen\u00ed slo\u017eit\u00fd a Excel si s\u00a0n\u00ed um\u00ed poradit a nav\u00edc je vyu\u017e\u00edv\u00e1na i u jin\u00fdch ji\u017e ilustrovan\u00fdch v\u00fdpo\u010dt\u016f, tak\u017ee ji m\u00e1m ji\u017e ve sv\u00e9m uk\u00e1zkov\u00e9m Excelu ji\u017e \u201ep\u0159edpo\u010d\u00edtanou\u201c.<\/span><\/p>\n

\u00a0Pokud bych tedy vynechal ur\u010ditou nepodstatnou \u010d\u00e1st vzorce z\u00a0d\u016fvodu nepatrn\u00e9ho vlivu (dividendov\u00e1 \u010d\u00e1st) a cel\u00fd vzorec po\u010de\u0161til, tak by vypadal jako na obr\u00e1zku<\/span><\/p>\n

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\u00a0 Takovou vyobrazenou hodnotu pak mohu velmi jednodu\u0161e zadat do Excelu a vypo\u010d\u00edtat si hodnotu Vega pro r\u016fzn\u00e9 vlastn\u00ed pot\u0159eby. V\u00a0uk\u00e1zkov\u00e9m excelovsk\u00e9m se\u0161itu, kter\u00fd je ke sta\u017een\u00ed zde<\/strong><\/a><\/span>,\u00a0si pak po zad\u00e1n\u00ed hodnot do mod\u0159e ozna\u010den\u00fdch bun\u011bk m\u016f\u017eu zjistit hodnotu Vega (p\u0159i otev\u00edr\u00e1n\u00ed se\u0161itu je zapot\u0159eb\u00ed odsouhlasit „povolit makra“). V\u00a0Excelu je pak na kart\u011b V\u00fdvoj\u00e1\u0159 mo\u017en\u00e9 zjistit VBA skript, pomoc\u00ed kter\u00e9ho jsem vytvo\u0159il excelovskou funkci \u201e=VegaOpce<\/strong>\u201c, kterou m\u016f\u017eu vyvol\u00e1vat v\u00a0kter\u00e9koliv bu\u0148ce se\u0161itu a po zad\u00e1n\u00ed argument\u016f podle n\u00e1vodu k\u00a0funkci si takovou hodnotu tak\u00e9 vypo\u010d\u00edtat. Cel\u00fd skript pak m\u016f\u017eete voln\u011b kop\u00edrovat a p\u0159en\u00e1\u0161et nap\u0159\u00edklad do vlastn\u00edch aplikac\u00ed nebo se\u0161it\u016f.<\/span><\/p>\n

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\u00a0 Pokud bych shrnul principy v\u00fdpo\u010dt\u016f jednotliv\u00fdch \u0159eck\u00fdch p\u00edsmen a v\u00fdpo\u010dtu cen opc\u00ed, kter\u00e9 jsem zde ukazoval v\u00a0n\u011bkolika p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch, mohl bych si pomoc\u00ed takov\u00fdch vytvo\u0159en\u00fdch funkc\u00ed vyr\u00e1b\u011bt cel\u00e9 jednotliv\u00e9 op\u010dn\u00ed \u0159et\u011bzce i s\u00a0vyobrazen\u00edm hodnot jednotliv\u00fdch \u0159eck\u00fdch p\u00edsmen. Nen\u00ed to dnes nic slo\u017eit\u00e9ho, abych z\u00edskal zdarma z\u00a0dostupn\u00fdch datab\u00e1z\u00ed nebo zdroj\u016f historick\u00e9 hodnoty cen podklad\u016f, nap\u0159\u00edklad akci\u00ed (Quandl.com\u2026). Pokud bych byl ale schopen tak\u00e9 z\u00edskat historick\u00e9 hodnoty Implied Volatility t\u011bchto podklad\u016f, tak bych byl schopen si vytv\u00e1\u0159et historick\u00e9 op\u010dn\u00ed \u0159et\u011bzce s\u00a0cenami opc\u00ed a tak\u00e9 s\u00a0pot\u0159ebn\u00fdmi hodnotami \u0159eck\u00fdch p\u00edsmen pro jak\u00fdkoliv historick\u00fd den<\/strong>. Nen\u00ed to \u017e\u00e1dn\u00e1 zvl\u00e1\u0161tn\u00ed v\u011bda, proto\u017ee jsem ukazoval, jak si p\u0159ev\u00e9st vzorce v\u00fdpo\u010dtu ceny a \u0159eck\u00fdch p\u00edsmen na jednotliv\u00e9 funkce nap\u0159\u00edklad v Excelu. V\u00a0Excelu, kter\u00fd je v\u00fd\u0161e ke sta\u017een\u00ed je takov\u00fd \u201eum\u011bl\u00fd\u201c op\u010dn\u00ed \u0159et\u011bzec pomoc\u00ed takov\u00fdch funkc\u00ed vytvo\u0159en a je vyobrazen na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

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\u00a0 Na obr\u00e1zku je pak zn\u00e1zorn\u011bn op\u010dn\u00ed \u0159et\u011bzec akcie AAPL, jak by se takov\u00e9 opce obchodovaly i se sv\u00fdmi \u201e\u0159eck\u00fdmi parametry\u201c p\u0159ed v\u00edce ne\u017e dv\u011bma lety, nap\u0159\u00edklad dne 9.2.2015<\/strong>, kdy\u017e v\u00a0op\u010dn\u00edm \u0159et\u011bzci jsou vyobrazeny a spo\u010d\u00edt\u00e1ny opce s\u00a0expirac\u00ed za m\u011bs\u00edc dne 13.3.2015<\/strong>, p\u0159i Implied Volatilit\u011b 25.31%<\/strong>.<\/span><\/p>\n

\u00a0 O tom, \u017ee modelov\u00e1n\u00ed pomoc\u00ed jednoduch\u00e9ho Excelu nen\u00ed zcela mimo historickou realitu se m\u016f\u017eete p\u0159esv\u011bd\u010dit na obr\u00e1zku z\u00a0analytick\u00e9 platformy thinkorswim, kter\u00e1 v\u00a0jednom ze sv\u00fdch modul\u016f umo\u017e\u0148uje zji\u0161\u0165ov\u00e1n\u00ed historick\u00fdch cen opc\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku je zobrazen \u00fapln\u011b stejn\u00fd stav op\u010dn\u00edch cen ze dne 9.2.2015 na opc\u00edch s\u00a0expirac\u00ed za m\u011bs\u00edc p\u0159i stejn\u00e9 volatilit\u011b 25.31%, tak jako byly vstupn\u00ed parametry pou\u017eity do v\u00fdpo\u010dtu pomoc\u00ed Excelu. Ceny a \u201e\u0159eck\u00e9 parametry\u201c se li\u0161\u00ed velmi minim\u00e1ln\u011b. P\u0159edpokl\u00e1d\u00e1m, \u017ee ke generov\u00e1n\u00ed historick\u00fdch cen pou\u017e\u00edvaj\u00ed sofistikovan\u011bj\u0161\u00ed p\u0159\u00edstupy, ne\u017e jsou funkce v\u00a0m\u00e9m Excelu, odvozen\u00e9 z\u00a0Black-Scholesova modelu, ale podstata je mysl\u00edm celkem plasticky zachycena.<\/span><\/p>\n

\n

Logika Vega<\/span><\/strong><\/h1>\n

\u00a0 \u00a0\u00a0Proto\u017ee se jedn\u00e1 o posledn\u00ed \u0159eck\u00e9 p\u00edsmeno, kter\u00fdm se stoj\u00ed za to zab\u00fdvat, tak logiku velikosti hodnoty Vega srovn\u00e1m s\u00a0ostatn\u00edmi \u0159eck\u00fdmi p\u00edsmeny Gamma a Th\u00e9ta. Co maj\u00ed v\u0161echna tato t\u0159i \u0159eck\u00e1 p\u00edsmena spole\u010dn\u00e9ho<\/strong> je skute\u010dnost, \u017ee v\u0161echny t\u0159i \u0159eck\u00e1 p\u00edsmena Gamma, Th\u00e9ta i Vega<\/strong> maj\u00ed sv\u00e9 hodnoty na jednotliv\u00fdch strike pro opce se stejnou expirac\u00ed podobnou strikturu. Jejich nejvy\u0161\u0161\u00ed hodnoty<\/strong> jsou u opc\u00ed, kter\u00e9 maj\u00ed ATM strike, tedy u opc\u00ed, jejich\u017e strike je nejbl\u00ed\u017ee k\u00a0obchodovan\u00e9 cen\u011b<\/strong> podkladov\u00e9ho aktiva. V\u0161echny t\u0159i \u0159eck\u00e1 p\u00edsmena pak se sv\u00fdch hodnot sestupuj\u00ed<\/strong>, jak se jednotliv\u00e9 strike vzdaluj\u00ed od ATM strike<\/strong>, a to v\u00a0obou sm\u011brech. V\u0161echny OTM opce a ITM opce maj\u00ed hodnoty t\u011bchto t\u0159\u00ed \u0159eck\u00fdch p\u00edsmen men\u0161\u00ed, ne\u017e jsou jejich hodnoty na ATM strikes.<\/span><\/p>\n

\u00a0 Podstatn\u00fdm rozd\u00edlem<\/strong> je ale velikost t\u011bchto t\u0159\u00ed \u0159eck\u00fdch p\u00edsmen, pokud se jedn\u00e1 o opce se stejn\u00fdmi strikes, ale v\u00a0r\u016fzn\u00fdch expirac\u00edch<\/strong>. Gamma a Th\u00e9ta maj\u00ed sv\u00e9 hodnoty na stejn\u00fdch strikes men\u0161\u00ed, \u010d\u00edm v\u00edce \u010dasu op\u010dn\u00edmu kontraktu zb\u00fdv\u00e1 do konce sv\u00e9ho \u017eivota. Pohledem do budoucnosti jsou jejich hodnoty st\u00e1le men\u0161\u00ed. Vega je prav\u00fdm opakem, opce na stejn\u00fdch strike<\/strong>, ale v\u00a0jin\u00fdch expirac\u00edch<\/strong> maj\u00ed sv\u00e9 hodnoty vy\u0161\u0161\u00ed<\/strong>, \u010d\u00edm v\u00edce \u010dasu opci zb\u00fdv\u00e1 do expirace. Co z\u00a0toho vypl\u00fdv\u00e1? Pokud m\u00e1me otev\u0159en\u00fd op\u010dn\u00ed kontrakt s\u00a0velmi vzd\u00e1lenou expirac\u00ed, tak pohyb na podkladov\u00e9m aktivu nap\u0159\u00edklad o jeden dolar nebo \u00fabytek \u010dasu o jeden obchodn\u00ed den nebude m\u00edt na cenu t\u00e9to vzd\u00e1len\u00e9 opce takov\u00fd vliv, jako bude zm\u011bna volatility. \u010c\u00edm vzd\u00e1len\u011bj\u0161\u00ed bude expirace, t\u00edm bude tato disproporce vy\u0161\u0161\u00ed. Na obr\u00e1zku n\u00ed\u017ee m\u016f\u017eete takovou souvislost mezi v\u00fdvoji jednotliv\u00fdch \u0159eck\u00fdch p\u00edsmen pozorovat<\/span><\/p>\n

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Vega Long opc\u00ed je kladn\u00e1, Vega Short opc\u00ed je z\u00e1porn\u00e1<\/span><\/strong><\/h3>\n

\u00a0 Z\u00a0pohledu znam\u00e9nek m\u016f\u017eeme pozorovat stejnou konstelaci jako u Gamma. M\u00e1 to samoz\u0159ejm\u011b svou logiku. Pokud bychom koupili opci Long a Implied Volatilita se zv\u00fd\u0161ila a v\u0161echny ostatn\u00ed cenotvorn\u00e9 parametry z\u016fstaly stejn\u00e9, tak se tak\u00e9 zv\u00fd\u0161\u00ed cena t\u00e9to Long opce, Long opce jsou t\u00edm dra\u017e\u0161\u00ed, \u010d\u00edm je Volatilita vy\u0161\u0161\u00ed, tak\u017ee pokud jsme opci koupili levn\u011b a volatilita naroste, tak tak\u00e9 naroste jej\u00ed cena. Mohli bychom pak takovou Long opci prodat za lep\u0161\u00ed cenu. Pokud ale opci vyp\u00ed\u0161eme a jsme Short op\u010dn\u00ed kontrakt, tak p\u0159i zv\u00fd\u0161en\u00e9 Volatilit\u011b a stejn\u00fdch ostatn\u00edch cenotvorn\u00fdch parametrech se cena opce zvy\u0161uje, to ale znamen\u00e1, \u017ee pokud bychom cht\u011bli takov\u00fd op\u010dn\u00ed kontrakt likvidovat, museli bychom na tuto likvidaci vynalo\u017eit v\u00edce pen\u011bz, co\u017e by p\u0159ineslo samoz\u0159ejm\u011b ztr\u00e1tu.<\/span><\/p>\n

\u00a0\u00a0 Sou\u010dty hodnoty Vega<\/strong> op\u010dn\u00edch portfoli\u00ed podle jednotliv\u00fdch znam\u00e9nek (kladn\u00e1 Vega u Long opc\u00ed a z\u00e1porn\u00e1 Vega u Short opc\u00ed) pak d\u00e1v\u00e1 odpov\u011b\u010f, do jak\u00e9 m\u00edry je vystaveno cel\u00e9 portfolio p\u016fsoben\u00ed kol\u00eds\u00e1n\u00ed Implied Volatility<\/strong> jednotliv\u00fdch podklad\u016f. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je podobn\u00e1 pozice jako v\u00a0minul\u00e9m \u010dl\u00e1nku, tedy ATM opce 3 x Long Call 144 a 3 x Long Put 144 (na stejn\u00e9m strike), celkov\u011b 3 x Long Straddle na akcii AAPL na strike 144 s\u00a0expirac\u00ed vzd\u00e1lenou jeden m\u011bs\u00edc. \u00a0<\/span><\/p>\n

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\u00a0\u00a0 Proto\u017ee je op\u010dn\u00ed pozice slo\u017eena z\u00a0Long opc\u00ed Call a Put, tak m\u016f\u017eeme celkem slu\u0161n\u011b odhadnout, jak\u00e9 budou hodnoty jednotliv\u00fdch \u0159eck\u00fdch p\u00edsmen pro celou pozici. Delta<\/strong> je na hodnot\u011b +5<\/strong>, jsme tedy v\u00a0Delta-Neutral pozici (delta je t\u00e9m\u011b\u0159 nula). Gamma<\/strong> je kladn\u00e1<\/strong> je na hodnot\u011b +32<\/strong>, zjednodu\u0161en\u011b to znamen\u00e1, \u017ee pohyb podkladu jak\u00fdmkoliv sm\u011brem bude cel\u00e9 pozici jenom prosp\u00edvat, znamen\u00e1 to, \u017ee celkov\u00e1 Delta v\u0161ech opc\u00ed by se p\u0159i pohybu o jeden dolar zv\u00fd\u0161ila o hodnotu +32. Celkov\u00e1 Th\u00e9ta je z\u00e1porn\u00e1<\/strong> a je na hodnot\u011b -34<\/strong>, znamen\u00e1 to, \u017ee z\u00edtra, kdy opce ztrat\u00ed ze sv\u00e9ho \u017eivota jeden den a m\u00e9 3 x Long Straddle se o jeden den p\u0159ibl\u00ed\u017e\u00ed k\u00a0expiraci, by byla cena m\u00e9ho 3 x Long Straddle men\u0161\u00ed o -34 USD, kdyby v\u0161e ostatn\u00ed z\u016fstalo konstantn\u00ed. Vega cel\u00e9 pozice<\/strong> je na hodnot\u011b +93<\/strong>. Znamen\u00e1 to, \u017ee pokud by se Implied Volatilita na trhu AAPL zv\u00fd\u0161\u00ed o 1%, tak cel\u00fd 3 x Long Straddle nabyde na hodnot\u011b o +93 USD, a to za p\u0159edpokladu, \u017ee by se v\u0161e ostatn\u00ed nezm\u011bnilo a naopak, pokud Implied Volatilita klesne o jeden dolar, utrp\u00ed m\u00e1 pozice ztr\u00e1tu -93 USD jenom vlivem poklesu t\u00e9to volatility. To je dost pen\u011bz v\u00a0s\u00e1zce na tak malou pozici, jako je 3 x Long Straddle. \u010c\u00e1stka 93 USD tak p\u0159edstavuje m\u016fj moment\u00e1ln\u00ed risk cel\u00e9 op\u010dn\u00ed pozice v\u016f\u010di zm\u011bn\u011b Implied Volatility. Jak takov\u00e9 riziko eliminovat? Pokusit se o<\/strong> neutralizaci Vega<\/strong><\/span> po\u0159\u00edzen\u00edm\/odebr\u00e1n\u00edm n\u011bkter\u00fdch op\u010dn\u00edch pozic. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je podobn\u00e1 situace jak v\u00a0minul\u00e9m \u010dl\u00e1nku o Th\u00e9ta, kdy jsem hledal vhodn\u00fd n\u00e1stroj k\u00a0m\u00e9 po\u0159\u00edzen\u00e9 pozici (byl to tak\u00e9 3 x ATM Long Straddle). Po\u0159\u00edzen\u00ed dal\u0161\u00edch op\u010dn\u00edch pozic pak v tomto \u010dl\u00e1nku m\u011blo sm\u011b\u0159ovat k\u00a0neutralizaci Th\u00e9ta, abych cel\u00e9mu op\u010dn\u00edmu portfoliu odebral risk vypl\u00fdvaj\u00edc\u00ed z\u00a0p\u016fsoben\u00ed plynut\u00ed \u010dasu na \u010dasovou slo\u017eku dr\u017een\u00fdch op\u010dn\u00edch kontrakt\u016f. Stejn\u011b jsem tedy p\u0159istoupil k\u00a0hled\u00e1n\u00ed vhodn\u00e9ho instrumentu, abych se pokusil neutralizovat<\/strong> tak\u00e9 hodnotu Vega<\/strong>. Na obr\u00e1zku je vid\u011bt, jak\u00e9 pozice byly po\u0159\u00edzeny a jak se zm\u011bnila hodnota jednotliv\u00fdch \u0159eck\u00fdch p\u00edsmen cel\u00e9ho n\u00e1sledn\u00e9ho op\u010dn\u00edho portfolia.<\/span><\/p>\n

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\u00a0\u00a0 K\u00a0neutralizaci jsem si op\u011bt vybral po\u0159\u00edzen\u00ed 3 x Short Call opc\u00ed<\/strong> se strike ve vzd\u00e1lenosti 3 body nad ATM<\/strong> strike a 3 x Short Put opc\u00ed<\/strong> ve vzd\u00e1lenosti tak\u00e9 3 body pod ATM strike<\/strong>. Cel\u00fd takov\u00fd Short Strangle jsem po\u0159\u00eddil s\u00a0vypsan\u00fdmi opcemi v\u00a0bli\u017e\u0161\u00ed expiraci<\/strong>. Co se stalo s\u00a0riskem cel\u00e9ho portfolia?<\/span><\/p>\n

\u00a0\u00a0 Delta<\/strong> je na hodnot\u011b +6<\/strong>, tedy se nezm\u011bnila a m\u016f\u017eeme pova\u017eovat takov\u00e9 portfolio op\u011bt za Delta-Neutr\u00e1ln\u00ed<\/span><\/strong>. Gamma<\/strong> je na hodnot\u011b -3<\/strong>, m\u016f\u017eeme tak konstatovat, \u017ee portfolio je tak\u00e9 Gamma-Neutr\u00e1ln\u00ed<\/span><\/strong>. Ve shrnut\u00ed to pak znamen\u00e1, \u017ee bezprost\u0159edn\u00ed pohyb podkladu nebude m\u00edt na dolarovou hodnotu pozice valn\u00fd vliv Th\u00e9ta<\/strong> je na hodnot\u011b -1<\/strong>, plynut\u00ed \u010dasu je t\u00e9m\u011b\u0159 eliminov\u00e1no, z\u00edtra by m\u011bla m\u00edt pozice svou hodnotu o jeden dolar vy\u0161\u0161\u00ed, hodnota OTM Short opc\u00ed ze Short Strangle se bude rozpadat pr\u00e1v\u011b o ten jeden dolar rychleji ne\u017e budou na cen\u011b ztr\u00e1cet vzd\u00e1len\u011bj\u0161\u00ed Long opce z\u00a0Long Straddle, potvrzuje to skute\u010dnost, \u017ee jak se opce bl\u00ed\u017e\u00ed ke sv\u00e9 expiraci, je \u00fabytek ceny zp\u016fsoben\u00fd plynut\u00edm \u010dasu vy\u0161\u0161\u00ed u opc\u00ed s\u00a0bli\u017e\u0161\u00ed expirac\u00ed, zat\u00edmco vzd\u00e1len\u011bj\u0161\u00ed opce reaguj\u00ed na tento vliv vla\u017en\u011bji, portfolio m\u016f\u017eeme tak\u00e9 pova\u017eovat za Th\u00e9ta-Neutr\u00e1ln\u00ed<\/span><\/strong>. Hodnota Vega<\/strong> je na hodnot\u011b +22<\/strong>, z\u00a0p\u016fvodn\u00ed hodnoty +93 klesla t\u00e9m\u011b\u0159 na \u010dtvrtinu. Sn\u00ed\u017eili jsme tak risk vypl\u00fdvaj\u00edc\u00ed z\u00a0pohybu Implied Volatility na p\u0159ijatelnou \u010d\u00e1stku. Pro\u010d se mi nepoda\u0159ilo takovou \u201eneutralizac\u00ed\u201c srazit k\u00a0nule tak\u00e9 hodnotu Vega? Bylo by to skv\u011bl\u00e9, ale pr\u00e1v\u011b to vypl\u00fdv\u00e1 z\u00a0popisovan\u00e9ho rozd\u00edlu velikosti hodnot \u0159eck\u00fdch p\u00edsmen pro opce s\u00a0nestejnou expirac\u00ed. Zat\u00edmco u opc\u00ed s\u00a0bli\u017e\u0161\u00ed expirac\u00ed hodnota Gamma i Th\u00e9ta roste<\/strong>, tak hodnota Vega se sni\u017euje<\/strong>, proto je v\u00fdsledkem takov\u00e9 operace dod\u00e1n\u00ed pot\u0159ebn\u00e9ho mno\u017estv\u00ed Gamma a Th\u00e9ta, ale Vegy je p\u0159id\u00e1no m\u00e9n\u011b ne\u017e bych pot\u0159eboval.<\/span><\/p>\n

\u00a0 Co je ale na t\u00e9to \u201eneutraliza\u010dn\u00ed transakci\u201c zaj\u00edmav\u00e9ho je skute\u010dnost, \u017ee pokud jsem se v\u00a0minul\u00e9m \u010dl\u00e1nku pokou\u0161el o neutralizaci Th\u00e9ta p\u0159id\u00e1v\u00e1n\u00edm n\u011bjak\u00fdch op\u010dn\u00edch pozic, tak jsem nev\u011bdomky neutralizoval tak\u00e9 Gamma. Bylo to proto, \u017ee Gamma a Th\u00e9ta stejn\u00fdch op\u010dn\u00edch kontrakt\u016f (Long nebo Short), kter\u00fdmi chceme upravovat pozici do neutrality maj\u00ed v\u017edy opa\u010dn\u00e1 znam\u00e9nka, proto neutralizace Th\u00e9ta sm\u011b\u0159uje k\u00a0neutralizaci Gamma<\/strong>. Proto\u017ee Vega a Th\u00e9ta stejn\u00fdch op\u010dn\u00edch kontrakt\u016f maj\u00ed stejn\u00e1 znam\u00e9nka, tak je tak\u00e9 pochopiteln\u00e9, \u017ee pokud takto neutralizuji Th\u00e9ta, tak jako v\u00a0minul\u00e9m \u010dl\u00e1nku, tak nev\u011bdomky tak\u00e9 upravuji hodnotu Vega, proto\u017ee se sna\u017e\u00edme p\u0159id\u00e1vat\/ub\u00edrat op\u010dn\u00ed pozice s\u00a0opa\u010dn\u00fdmi znam\u00e9nky, kter\u00e9 se pak takovou neutralizaci sna\u017e\u00ed zajistit a t\u00edmto tak\u00e9 op\u011bt neutralizuji Gamma. Neutralizace Vega tedy sm\u011b\u0159uje k\u00a0neutralizaci Th\u00e9ta a tak\u00e9 k neutralizaci Gamma<\/strong><\/span>. To ostatn\u011b tak\u00e9 vyplynulo z\u00a0na\u0161eho p\u0159\u00edkladu.<\/span><\/p>\n

\u00a0\u00a0 Cel\u00e1 t\u00e9m\u011b\u0159 neutr\u00e1ln\u00ed pozice nen\u00ed nijak slo\u017eit\u00e1 co do pochopen\u00ed celkov\u00e9ho risku, proto\u017ee si mohu p\u0159edstavit jej\u00ed chov\u00e1n\u00ed p\u0159i jak\u00e9mkoliv v\u00fdvoji. Short Strangle<\/strong> na opc\u00edch v\u00a0bli\u017e\u0161\u00ed expiraci je vzd\u00e1len t\u0159i body od strike<\/strong> opc\u00ed tvo\u0159\u00edc\u00edch vzd\u00e1len\u011bj\u0161\u00ed Long Straddle<\/strong>. 3 x Long Straddle jsem po\u0159\u00eddil za n\u00e1klad -620 USD, vyps\u00e1n\u00edm Short Strangle jsem z\u00edskal +273 USD. Celkov\u00fd n\u00e1klad na pozici je -347 USD<\/strong>. Mohly by pak nastat dva mo\u017en\u00e9 sc\u00e9n\u00e1\u0159e<\/span><\/p>\n

\u00a01\/<\/strong> Pokud by do\u0161lo k\u00a0jak\u00e9mukoliv pohybu v\u00a0jak\u00e9mkoli sm\u011bru a do\u0161lo k\u00a0prora\u017een\u00ed strike<\/span> Short opc\u00ed bli\u017e\u0161\u00edho Short Strangle -141\/-147<\/strong>, tak p\u0159i jejich expiraci bych obdr\u017eel v\u017edy podkladov\u00e9 akcie proveden\u00ed Assignment Short opce, kter\u00e1 by byla „v pen\u011bz\u00edch“. T\u011bchto p\u0159i\u0159azen\u00fdch akci\u00ed bych se ale jednodu\u0161e zbavil proveden\u00edm Exercise Long opce<\/strong> se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed (jedna z nich by toti\u017e byla v\u00a0takov\u00e9m p\u0159\u00edpad\u011b v\u017edy \u201ev pen\u011bz\u00edch\u201c<\/span>), kdy\u017e v\u00fdsledkem by bylo v\u017edy z\u00edsk\u00e1n\u00ed +300 USD<\/strong>, jako dolarov\u00e9ho vyj\u00e1d\u0159en\u00ed rozd\u00edlu strike t\u011bchto opc\u00ed Short a Long. Celkov\u011b by pak byly m\u00e9 n\u00e1klady jen -347 USD + 300 USD = -47 USD<\/strong>. V\u017edy by mi ale z\u016fstala Long opce<\/strong>, kter\u00e1 by nebyla Exercised a tato by mohla m\u00edt n\u011bjakou hodnotu, nap\u0159\u00edklad pr\u00e1v\u011b t\u011bchto -47 USD, abych z\u00a0pozice vyv\u00e1zl bez ztr\u00e1ty.<\/span><\/p>\n

2\/<\/strong> Pokud by strike n\u011bkter\u00e9 opc\u00ed ze Short Strangle po nedostate\u010dn\u00e9m pohybu nebyl prora\u017een<\/span>, pak by ob\u011b Short opce vypr\u0161ely jako bezcenn\u00e9. Mohl bych cel\u00fd proces opakovat a vypsat dal\u0161\u00ed Short Strangle v\u00a0bli\u017e\u0161\u00ed nebo stejn\u00e9 expiraci jako Long Straddle na strike nad Long Call a pod Long Put ve snaze z\u00edskat dal\u0161\u00ed pr\u00e9mium…..<\/span><\/p>\n

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\u00a0 Pozn\u00e1n\u00edm \u0159eck\u00fdch p\u00edsmen a jejich aplikac\u00ed na op\u010dn\u00ed portfolio m\u016f\u017eu z\u00edskat v\u011bt\u0161\u00ed nadhled nad slo\u017eit\u011bj\u0161\u00edmi pozicemi. Mohu tak\u00e9 rychle rozpoznat, co bude m\u00e9mu portfoliu prosp\u00edvat a co mu m\u016f\u017ee velmi u\u0161kodit. Mohu se tak\u00e9 rozhodovat a prakticky konat, abych efektivn\u011b \u010delil expozici ur\u010dit\u00e9ho risku vypl\u00fdvaj\u00edc\u00edho z ka\u017ed\u00e9ho jednotliv\u00e9ho cenotvorn\u00e9ho prvku, kter\u00fd m\u00e1 m\u00edt vliv na profitabilitu cel\u00e9ho komplexn\u00edho op\u010dn\u00edho portfolia. Navzdory uk\u00e1zk\u00e1m v\u00a0\u010dl\u00e1nc\u00edch o \u0159eck\u00fdch p\u00edsmenech, jak takov\u00e1 rizika eliminovat mus\u00edm nelib\u011b konstatovat, \u017ee v\u0161echny vlivy na cenu opc\u00ed p\u016fsob\u00ed sou\u010dasn\u011b a hlavn\u011b se neust\u00e1le m\u011bn\u00ed a ka\u017ed\u00fd m\u00e1 svou vlastn\u00ed dynamiku. Jak s\u00a0t\u011bmito v\u0161emo\u017en\u00fdmi vlivy bojovat mus\u00ed pak b\u00fdt sou\u010d\u00e1st\u00ed obchodn\u00ed v\u00fdbavy a p\u0159ipravenosti ka\u017ed\u00e9ho jednotliv\u00e9ho obchodn\u00edka. Pozn\u00e1n\u00ed \u0159eck\u00fdch p\u00edsmen m\u016f\u017ee b\u00fdt dobrou zbran\u00ed nebo dopl\u0148kem takov\u00e9 obchodn\u00edkovy v\u00fdzbroje :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u201e\u2026 p\u0159esto\u017ee se v\u017eilo, \u017ee popis faktor\u016f p\u016fsob\u00edc\u00edch na tvorbu op\u010dn\u00ed ceny jsme zvykl\u00ed ozna\u010dovat \u0159eck\u00fdmi p\u00edsmeny Delta, Gamma, Th\u00e9ta, Rho, Vega, tak mus\u00edm podotknout, \u017ee Vega nen\u00ed p\u00edsmenem \u0159eck\u00e9 abecedy\u2026\u201c, v\u00a0tomto smyslu v\u011bt\u0161inou b\u00fdvaj\u00ed uv\u00e1d\u011bny \u010dl\u00e1nky o „Vega“ zab\u00fdvaj\u00edc\u00ed se vlivem zm\u011bny Implied Volatility na cenu op\u010dn\u00edho kontraktu, z\u0159ejm\u011b Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":584,"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":[2],"tags":[26,32,33,34],"class_list":["post-574","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-opcni-zaklady","tag-delta","tag-gamma","tag-theta","tag-vega"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/s8zd8A-vega","jetpack-related-posts":[{"id":3346,"url":"https:\/\/dobretrejdy.com\/?p=3346","url_meta":{"origin":574,"position":0},"title":"Delta Neutral – VIII.","author":"dobretrejdy :c)","date":"8.6.2019","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed s\u00a0vyu\u017eit\u00edm prvk\u016f Delta Neutrality nen\u00ed, po s\u00e9rii \u010dl\u00e1nk\u016f popisuj\u00edc\u00ed tuto techniku, pravd\u011bpodobn\u011b v\u016fbec k\u00a0zahozen\u00ed a mohlo by m\u00edt slu\u0161n\u00fd obchodn\u00ed potenci\u00e1l. K\u00a0jeho vyu\u017eit\u00ed je ale zapot\u0159eb\u00ed pochopit hlub\u0161\u00ed vztahy mezi jednotliv\u00fdmi obchodn\u00edmi prvky a odhalit tak dal\u0161\u00ed souvislosti, kter\u00e9 mohou vytvo\u0159it vyu\u017eiteln\u00e9 obchodn\u00ed sch\u00e9ma. Prozat\u00edm jsem se dotkl\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/06\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":551,"url":"https:\/\/dobretrejdy.com\/?p=551","url_meta":{"origin":574,"position":1},"title":"Th\u00e9ta","author":"dobretrejdy :c)","date":"25.6.2017","format":false,"excerpt":"\u00a0 Nev\u00edm, jestli Th\u00e9ta Kaz\u00ed Libu\u0161i, proto\u017ee nejsem vojvoda Krok, ale proto\u017ee jsem op\u010dn\u00ed obchodn\u00edk, tak v\u00edm, jak\u00a0Th\u00e9ta m\u016f\u017ee zkazit i velmi dobrou op\u010dn\u00ed pozici. V\u00a0p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nc\u00edch jsem ji\u017e popisoval, jak se m\u011bn\u00ed cena op\u010dn\u00edho kontraktu v\u00a0souvislost\u00ed s\u00a0pohybem podkladov\u00e9ho aktiva a jak tuto z\u00e1vislost zachycujeme pomoc\u00ed \u0159eck\u00e9ho p\u00edsmene Delta. V\u00a0n\u00e1vaznosti\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/theta.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":522,"url":"https:\/\/dobretrejdy.com\/?p=522","url_meta":{"origin":574,"position":2},"title":"Gamma","author":"dobretrejdy :c)","date":"19.6.2017","format":false,"excerpt":"\u00a0 \u00a0 K\u00a0dokonalej\u0161\u00edmu pochopen\u00ed z\u00e1vislosti ceny opce na pohybu podkladov\u00e9ho aktiva vyj\u00e1d\u0159en\u00e9ho \u0159eck\u00fdm p\u00edsmenem Delta, jak jsem jej popisoval v\u00a0\u010dl\u00e1nku Delta je zapot\u0159eb\u00ed hlub\u0161\u00edho ponoru do problematiky \u0159eck\u00fdch p\u00edsmen, kdy\u017e t\u00edm nejbli\u017e\u0161\u00edm p\u00edsmenem k\u00a0popisovan\u00e9 Delta je \u0159eck\u00e9 p\u00edsmeno Gamma. Tak jako Rumburak byl \u010darod\u011bj druh\u00e9 kategorie, tak tak\u00e9 na Gamma\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/06\/180750308.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4354,"url":"https:\/\/dobretrejdy.com\/?p=4354","url_meta":{"origin":574,"position":3},"title":"Volatilita a cenov\u00fd pohyb \u2013 IV.","author":"dobretrejdy :c)","date":"26.5.2020","format":false,"excerpt":"Aktualizace (ukon\u010den\u00ed) pozice CVX Butterfly k 19.6.2020 (klikni pro p\u0159esun v \u010dl\u00e1nku) \u201eSmoking Gun\u201c v tradingu neexistuje. 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Trader ale hled\u00e1n\u00edm podobn\u00e9ho p\u0159edm\u011btu jistoty m\u016f\u017ee ztratit velmi\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/05\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/05\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/05\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/05\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2911,"url":"https:\/\/dobretrejdy.com\/?p=2911","url_meta":{"origin":574,"position":4},"title":"Delta Neutral – II.","author":"dobretrejdy :c)","date":"3.3.2019","format":false,"excerpt":"\u00a0 \u00a0Pro\u010d se v\u016fbec zab\u00fdvat ot\u00e1zkou Delta Neutrality, co mi p\u0159in\u00e1\u0161\u00ed a k\u00a0\u010demu vlastn\u011b v\u016fbec je, by mohl b\u00fdt z\u00e1kladn\u00ed dotaz po p\u0159e\u010dten\u00ed minul\u00e9ho \u010dl\u00e1nku. 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