{"id":614,"date":"2017-07-17T12:10:40","date_gmt":"2017-07-17T10:10:40","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=614"},"modified":"2022-08-14T12:32:04","modified_gmt":"2022-08-14T10:32:04","slug":"earnings-i","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=614","title":{"rendered":"Earnings – I."},"content":{"rendered":"

\u00a0 \u00a0Obchodov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f firem je pro op\u010dn\u00edho obchodn\u00edka velk\u00e1 v\u00fdzva. Je to pastva pro obchodn\u00edky s\u00a0volatilitou a je d\u016fle\u017eit\u00e9 p\u0159ipomenout, \u017ee je velmi obt\u00ed\u017en\u00e9 b\u00fdt obchodn\u011b konzistentn\u011b profitabiln\u00ed, proto\u017ee je to velmi n\u00e1ro\u010dn\u00e9 obdob\u00ed, kter\u00e9 je doprov\u00e1zeno obrovskou m\u00edrou nejistoty. Kde je velk\u00e1 nejistota a nap\u011bt\u00ed, tam je tak\u00e9 nejv\u011bt\u0161\u00ed p\u0159\u00edle\u017eitost k\u00a0v\u011bt\u0161\u00edm profit\u016fm, ale samoz\u0159ejm\u011b tak\u00e9 ztr\u00e1t\u00e1m. Mo\u017enost\u00ed, jak takov\u00e9 pohyby na akcii spole\u010dnosti a sou\u010dasn\u011b na Implied Volatilit\u011b zobchodovat je velmi mnoho, pokud se zam\u011b\u0159\u00edme pr\u00e1v\u011b na toto zvl\u00e1\u0161tn\u00ed obdob\u00ed Earnings. Nyn\u00ed ji\u017e budu slovo „Earnings\u201c d\u00e1le pou\u017e\u00edvat nam\u00edsto slovn\u00edho spojen\u00ed \u201evyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f\u201c, proto\u017ee mi toto slo\u017eit\u00e9 slovn\u00ed spojen\u00ed p\u0159ipom\u00edn\u00e1 jednoro\u010dn\u00ed ud\u00e1lost zem\u011bd\u011blsk\u00e9ho dru\u017estva (jeho\u017e jsem \u010dlenem) spojen\u00e9 s\u00a0v\u00fdro\u010dn\u00ed sch\u016fz\u00ed, \u0159\u00edzkem s\u00a0bramborov\u00fdm sal\u00e1tem a neplodnou diskuz\u00ed nad budouc\u00edmi my\u0161lenkov\u00fdmi pochody na\u0161eho p\u0159edsedy.\u00a0<\/span><\/p>\n

\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku Volatilita a op\u010dn\u00ed obchodov\u00e1n\u00ed<\/strong><\/a><\/span> jsem uk\u00e1zal mo\u017en\u00e9 informa\u010dn\u00ed zdroje, kde lze jednodu\u0161e nal\u00e9zt spoustu vhodn\u00fdch dat, kter\u00e9 se v\u00e1\u017eou k\u00a0t\u00e9to ud\u00e1losti, v\u00a0dne\u0161n\u00edm \u010dl\u00e1nku bych cht\u011bl popsat, jak by bylo mo\u017en\u00e9 na takov\u00e1 data nahl\u00ed\u017eet a ud\u011blat si nap\u0159\u00edklad sv\u00e9 vlastn\u00ed \u00fasudky pro vlastn\u00ed obchody.<\/span><\/p>\n

\u00a0 Co je tedy jist\u00e9, je skute\u010dnost, \u017ee v\u00a0obdob\u00ed t\u011bsn\u011b p\u0159ed vyhl\u00e1\u0161en\u00edm v\u00fdsledk\u016f Implied Volatilita opc\u00ed dramaticky roste<\/strong>, aby po jejich zve\u0159ejn\u011bn\u00ed bezprost\u0159edn\u011b a v\u011bt\u0161inou velmi dramaticky klesla<\/strong>. Tak\u00e9 je jist\u00e9, \u017ee cena podkladu se n\u011bjak\u00fdm, velmi \u0161patn\u011b predikovateln\u00fdm zp\u016fsobem, po vyhl\u00e1\u0161en\u00ed Earnings pohne. Je t\u0159eba, pro na\u0161e budouc\u00ed pot\u0159eby tak\u00e9 ale vyhodnotit, \u017ee cena se m\u016f\u017ee pohybovat tak\u00e9 t\u011bsn\u011b p\u0159ed Earnings. Postupn\u00e9 vkr\u00e1d\u00e1n\u00ed se nejistoty souvisej\u00edc\u00ed s\u00a0bl\u00ed\u017e\u00edc\u00edmi se Earnings, ko\u0159en\u011bn\u00e9 v\u00fdstupy a r\u016fzn\u00fdmi odhady arm\u00e1d analytick\u00fdch t\u00fdm\u016f zp\u016fsobuj\u00ed, \u017ee \u010dasto se velk\u00e9 pohyby dostavuj\u00ed tak\u00e9 bezprost\u0159edn\u011b p\u0159ed touto ud\u00e1lost\u00ed, aby nakonec po zve\u0159ejn\u011bn\u00ed pohyb nebyl tak razantn\u00ed, jak by se p\u0159edpokl\u00e1dalo. Mus\u00edm tak\u00e9 br\u00e1t v\u00a0\u00favahu lidsk\u00fd faktor, kdy jednodu\u0161e p\u0159\u00edslu\u0161n\u00e9 \u201eekonomick\u00e9 odd\u011blen\u00ed\u201c spole\u010dnosti ji\u017e v\u00ed, jak\u00e9 tyto v\u00fdsledky budou, a tak na z\u00e1klad\u011b takov\u00fdch \u201epoznan\u00fdch\u201c insider informac\u00ed mohou b\u00fdt vyvolan\u00fdmi tlaky na nab\u00eddku a popt\u00e1vku po akci\u00edch uvedeny do pohybu p\u0159\u00edslu\u0161n\u00e9 podklady je\u0161t\u011b p\u0159ed t\u00edm, ne\u017e k\u00a0vyhl\u00e1\u0161en\u00ed o\u010dek\u00e1van\u00e9 ud\u00e1losti v\u016fbec dojde. Je proto dobr\u00e9 \u201eb\u00fdt u v\u0161eho\u201c.<\/span><\/p>\n

\n

Co mi \u0159\u00edk\u00e1 trh?<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Zd\u00e1lo by se, \u017ee z\u00e1kladem k\u00a0dobr\u00e9mu obchodu, jak zobchodovat Earnings je m\u00edt dobrou p\u0159edstavu, kam se podkladov\u00e1 akcie pohne a o kolik. Proto\u017ee nen\u00ed \u017e\u00e1dn\u00fd probl\u00e9m z\u00edskat zdarma historick\u00e1 data akci\u00ed, mohla by b\u00fdt takov\u00e1 statistick\u00e1 anal\u00fdza ot\u00e1zkou minut. Vzt\u00e1hnout takovou statistickou anal\u00fdzu nap\u0159\u00edklad k\u00a0zisku na akcii, tak jak ji predikovaly nap\u0159\u00edklad n\u011bjak\u00e9 renomovan\u00e9 analytick\u00e9 t\u00fdmy a nakolik se jejich p\u0159edstavy naplnily po Earnings je ur\u010dit\u011b f\u00e9rov\u00e1 my\u0161lenka a nepostr\u00e1d\u00e1 nic na sv\u00e9 racionalit\u011b. V\u00a0minul\u00e9m \u010dl\u00e1nku jsem ale na p\u0159\u00edkladu akcie NFLX uk\u00e1zal, \u017ee takov\u00e9 o\u010dek\u00e1v\u00e1n\u00ed nevede ke spolehliv\u00fdm odhad\u016fm a ve v\u00fdsledku se mohou nakonec predikovan\u00e9 a n\u00e1sledn\u011b realizovan\u00e9 pohyby dost v\u00fdznamn\u011b li\u0161it. Je tak\u00e9 zp\u011btn\u011b dost \u0161patn\u011b testovateln\u00e9 a zjistiteln\u00e9, jak\u00fd byl nap\u0159\u00edklad tr\u017en\u00ed sentiment v\u00a0tu danou chv\u00edli spojen\u00fd s\u00a0konkr\u00e9tn\u00ed spole\u010dnost\u00ed. Je to pro b\u011b\u017en\u00e9ho obchodn\u00edka dost slo\u017eit\u00e9 takto celou komplexn\u00ed situaci kolem dan\u00e9 spole\u010dnosti zp\u011btn\u011b zachytit a zpracovat. Je to docela obt\u00ed\u017en\u00e9 i v\u00a0situaci, kdy se Earnings teprve bl\u00ed\u017e\u00ed a my chceme takovou obchodn\u00ed p\u0159\u00edle\u017eitost zobchodovat. M\u016f\u017eeme pro\u010d\u00edtat nejr\u016fzn\u011bj\u0161\u00ed odhady a studie a vyr\u00e1b\u011bt si statistick\u00e9 anal\u00fdzy na historick\u00fdch datech, ale bude to nakonec sta\u010dit a je to vlastn\u011b spr\u00e1vn\u011b? Nev\u00edm, na tuto ot\u00e1zku neum\u00edm odpov\u011bd\u011bt. Chci si ale p\u0159i v\u0161\u00ed z\u00e1plav\u011b dat a mo\u017enost\u00ed vybrat n\u011bjakou rozumnou mo\u017enost, kter\u00e1 by mi dala n\u011bjakou obecnou odpov\u011b\u010f na ot\u00e1zku, jak takov\u00fd obchod nastavit a co do n\u011bj o\u010dek\u00e1vat. Ide\u00e1ln\u00ed by pak bylo m\u00edt n\u011bjakou \u201eanal\u00fdzu v\u0161ech anal\u00fdz\u201c, kter\u00e1 by mi na tyto ot\u00e1zky spojen\u00e9 s Earnings jednodu\u0161e odpov\u011bd\u011bla. \u017d\u00e1dn\u00e1 takov\u00e1 glob\u00e1ln\u00ed anal\u00fdza samoz\u0159ejm\u011b neexistuje, nam\u00edsto toho se ale mohu pod\u00edvat na strukturu trhu a z\u00a0n\u011bj vyvodit mo\u017en\u00e9 odpov\u011bdi na v\u0161emo\u017en\u00e9 ot\u00e1zky. Jednodu\u0161e, zept\u00e1m se tedy trhu, co on na to?<\/span><\/p>\n

\u00a0\u00a0 Pozorov\u00e1n\u00edm trhu v\u00a0souvislosti s Earnings mohu jednodu\u0161e pozorovat, jak Implied Volatilita dramaticky roste sm\u011brem k\u00a0vyhl\u00e1\u0161en\u00ed Earnings, aby pot\u00e9, co je zpr\u00e1va zve\u0159ejn\u011bna, v\u00fdznamn\u011b klesla. Pokud bychom sledovali jej\u00ed v\u00fdvoj u akcie, kter\u00e1 vyhla\u0161uje v\u00fdsledku v\u00a0ur\u010dit\u00fd den po uzav\u0159en\u00ed trh\u016f, tedy \u201eAfter Market Close\u201c (AMC), tak do Close tohoto dne Implied Volatilita poroste. Mohu pak jej\u00ed hodnoty pozorovat nap\u0159\u00edklad ve sv\u00e9 platform\u011b. V\u00a0\u010dl\u00e1nku Je opce levn\u00e1 nebo drah\u00e1<\/strong> <\/a><\/span>jsem pak ukazoval, jak se d\u00e1 jednodu\u0161e vypo\u010d\u00edtat hodnota Historick\u00e9 Volatility, tedy Volatility, kter\u00e1 se na p\u0159\u00edslu\u0161n\u00e9 akcii uskute\u010dnila a takovou volatilitu pak porovn\u00e1vat s volatilitou, kter\u00e1 je skute\u010dn\u011b v\u00a0cen\u011b opce Implikovan\u00e1. Na z\u00e1klad\u011b takov\u00e9ho porovn\u00e1n\u00ed pak mohu v\u00a0danou chv\u00edli posoudit, jestli je opce drah\u00e1 nebo levn\u00e1, proto\u017ee p\u0159i rovnosti v\u0161ech cenotvorn\u00fdch prvk\u016f hodnoty op\u010dn\u00edho kontraktu jedin\u011b r\u016fznost v\u00a0hodnot\u011b Historick\u00e9 Volatility a Implied Volatility m\u016f\u017ee zp\u016fsobit, \u017ee je dan\u00e1 opce levn\u00e1 nebo opravdu hodn\u011b drah\u00e1. Pokud je Implied Volatilita hodn\u011b vysok\u00e1, m\u00e1 opce odpov\u00eddaj\u00edc\u00ed vysokou cenu, tedy \u010d\u00edm je tato Implied Volatilita vy\u0161\u0161\u00ed, t\u00edm je tak\u00e9 opce dra\u017e\u0161\u00ed. Proto\u017ee Implied Volatilita obecn\u011b p\u0159edstavuje m\u00edru o\u010dek\u00e1van\u00e9ho budouc\u00edho pohybu akcie, nebudu pak sv\u00e9 \u00favahy o budouc\u00edm pohybu m\u011b\u0159it historick\u00fdmi cenov\u00fdmi pohyby, ale zam\u011b\u0159\u00edm se na m\u011b\u0159en\u00ed Implied Volatility.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Z\u00a0\u010dl\u00e1nku Je opce levn\u00e1 nebo drah\u00e1<\/strong><\/a><\/span> tak\u00e9 vyplynulo, \u017ee uk\u00e1zkov\u00fd matematick\u00fd postup v\u00fdpo\u010dtu Historick\u00e9 Volatility byl zalo\u017een na jej\u00ed definici, kdy Historick\u00e1 Volatility p\u0159edstavovala standardn\u00ed odchylku mezidenn\u00edho pohybu za sledovan\u00e9 obdob\u00ed p\u0159evedenou do anualizovan\u00e9ho tvaru. Jednodu\u0161e jsem vypo\u010d\u00edtal mezidenn\u00ed pohyby<\/strong>, pot\u00e9 spo\u010d\u00edtal prvn\u00ed sm\u011brodatnou odchylku<\/strong> za sledovan\u00e9 obdob\u00ed a tuto vypo\u010d\u00edtanou hodnotu pro ur\u010dit\u00fd den jsem anualizoval vyn\u00e1soben\u00edm druhou odmocninou z\u00a0\u010d\u00edsla 252<\/strong> (po\u010det obchodn\u00edch dn\u016f v\u00a0kalend\u00e1\u0159n\u00edm roce). V\u00fdsledn\u00e9 \u010d\u00edslo v\u00a0procentn\u00edm tvaru pak znamenalo hodnotu Historick\u00e9 Volatilty za sledovan\u00e9 obdob\u00ed, nap\u0159\u00edklad 30 dn\u016f. Pokud jsem takovou vypo\u010dtenou hodnotu volatility vlo\u017eil do n\u011bjak\u00e9 v\u00fdpo\u010detn\u00ed aplikace nebo vlastn\u00edho Excelu, tak jsem mohl pro jak\u00fdkoliv strike, p\u0159i dan\u00e9 cen\u011b akcie, pro jakoukoliv expiraci s\u00a0p\u0159edpokladem ur\u010dit\u00e9 v\u00fd\u0161e \u00farok\u016f a mo\u017en\u00e9ho n\u00e1roku na dividendu, stanovit teoretickou cenu op\u010dn\u00edho kontraktu. Pokud jsem takovou cenu porovnal se sou\u010dasn\u00fdmi cenami v\u00a0platform\u011b, mohl jsem zjistit, jestli je opce drah\u00e1 nebo levn\u00e1.<\/span><\/p>\n

\u00a0\u00a0 Co si z\u00a0takov\u00e9ho v\u00fdpo\u010dtu mohu odn\u00e9st pro obchodov\u00e1n\u00ed Earnings a vlastn\u00ed anal\u00fdzu p\u0159edpokl\u00e1dan\u00fdch pohyb\u016f? Z\u00e1sadn\u00ed informaci<\/strong>, kterou vlo\u017eil trh do hodnoty Implied Volatility<\/strong> a ukryl ji do ceny op\u010dn\u00edch kontrakt\u016f<\/strong>. Porovn\u00e1n\u00ed Historick\u00e9 Volatility a Implied Volatility bude toti\u017e v\u017edy jin\u00e9, v\u017edy bude cena opce vypo\u010d\u00edtan\u00e1 teoreticky jin\u00e1, ne\u017e je skute\u010dn\u00e1 tr\u017en\u00ed cena. Do skute\u010dn\u00e9 ceny op\u010dn\u00edch kontrakt\u016f budou toti\u017e pr\u00e1v\u011b prom\u00edtnuty v\u0161emo\u017en\u00e9 n\u00e1lady a n\u00e1hledy obchodn\u00edk\u016f, r\u016fzn\u00fdch \u00fa\u010dastn\u00edk\u016f a tv\u016frc\u016f trh\u016f na to, jak se bude vyv\u00edjet budouc\u00ed cena podkladov\u00e9 akcie. Do hodnoty Implied Volatility tak budou zakomponov\u00e1ny pr\u00e1v\u011b ty v\u0161emo\u017en\u00e9 analytick\u00e9 reporty, ranking reporty, tr\u017en\u00ed sentimenty, n\u00e1hledy na v\u00fdvoj cen, analytick\u00e9 o\u010dek\u00e1v\u00e1n\u00ed pohyb\u016f, statistick\u00e9 odhady a j\u00e1 nev\u00edm co v\u0161echno ostatn\u00edho, tedy v\u00fdsledn\u00e1 hodnota Implied Volatility<\/strong> bude pro m\u011b tou \u201eanal\u00fdzou anal\u00fdz<\/strong><\/span>\u201c. Tyto jednotliv\u00e9 anal\u00fdzy tak za m\u011b do ceny op\u010dn\u00edch kontrakt\u016f prom\u00edtli jin\u00ed, byst\u0159ej\u0161\u00ed a schopn\u011bj\u0161\u00ed \u00fa\u010dastn\u00edci trhu, pro\u010d si tedy vytv\u00e1\u0159et vlastn\u00ed \u00fasudky, kdy\u017e je m\u00e1m na zlat\u00e9m podnose p\u0159\u00edmo p\u0159ed sebou. Zb\u00fdv\u00e1 jen p\u0159ij\u00edt na to, jak si jednodu\u0161e takovou v\u011bc vyhodnotit.<\/span><\/p>\n

\u00a0\u00a0 Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt situaci na Close dne pro akcii HD (Home Depot Inc)<\/strong> ze dne 22.2.2016<\/strong>. Dne 23.2.2016<\/strong>, n\u00e1sleduj\u00edc\u00ed den, je p\u0159ed Open trh\u016f napl\u00e1nov\u00e1no zve\u0159ejn\u011bn\u00ed Earnings<\/strong>.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Akcie se obchoduje za 122.85 USD<\/strong>. Na ATM strike 123<\/strong>, tedy na strike, kter\u00fd je nejbl\u00ed\u017ee obchodovan\u00e9 cen\u011b akcie maj\u00ed opce Implied Volatilitu 45,40%<\/span><\/strong> (ozna\u010deno hn\u011bd\u00fdmi obd\u00e9ln\u00edky). V\u0161e pro op\u010dn\u00ed kontrakty s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed za \u010dty\u0159i dny. Pot\u0159ebuji, aby mi tyto \u00fadaje sd\u011blily, jak\u00fd je o\u010dek\u00e1van\u00fd pohyb akcie HD na druh\u00fd den po vyhl\u00e1\u0161en\u00ed Earnings.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Hodnota Implied Volatility ve v\u00fd\u0161i 45.40 % mi sd\u011bluje anualizovan\u00fd tvar hodnoty prvn\u00ed standardn\u00ed (sm\u011brodatn\u00e9) odchylky pohybu<\/strong> podkladov\u00e9ho aktiva. Proto\u017ee je tato odchylka odvozena od Norm\u00e1ln\u00edho rozd\u011blen\u00ed, mus\u00edm v\u011bd\u011bt, co vlastn\u011b takov\u00e1 zji\u0161t\u011bn\u00e1 hodnota Implied Volatility znamen\u00e1. Sm\u011brodatn\u00e1 odchylka n\u00e1m, z\u00a0pohledu teorie pravd\u011bpodobnosti a statistiky, \u0159\u00edk\u00e1, s\u00a0jakou pravd\u011bpodobnost\u00ed jsou jednotliv\u00e9 n\u00e1hodn\u00e9 veli\u010diny rozpt\u00fdleny okolo sv\u00e9 st\u0159edn\u00ed hodnoty.\u00a0 Podle pravidla \u201et\u0159\u00ed sigma<\/span>\u201c tak mohu, na z\u00e1klad\u011b nejb\u011b\u017en\u011bj\u0161\u00edch statistick\u00fdch znalost\u00ed, konstatovat, \u017ee pro Norm\u00e1ln\u00ed rozd\u011blen\u00ed plat\u00ed, \u017ee se n\u00e1hodn\u00e1 veli\u010dina bude li\u0161it maxim\u00e1ln\u011b o hodnotu prvn\u00ed sm\u011brodatn\u00e9 odchylky od sv\u00e9 st\u0159edn\u00ed hodnoty s\u00a0pravd\u011bpodobnost\u00ed 68,27%, d\u00e1le pak, \u017ee se bude li\u0161it maxim\u00e1ln\u011b o hodnotu druh\u00e9 sm\u011brodatn\u00e9 odchylky s\u00a0pravd\u011bpodobnost\u00ed 95,45% a nakonec, \u017ee se bude li\u0161it maxim\u00e1ln\u011b o hodnotu t\u0159et\u00ed sm\u011brodatn\u00e9 odchylky s\u00a0pravd\u011bpodobnost\u00ed 99,73%.<\/span><\/p>\n

\u00a0 Pro mou Implied Volatilitu 45.40 % pro akcii HD pak mohu m\u00edt n\u00e1sleduj\u00edc\u00ed dv\u011b interpretace<\/strong>:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Implied Volatilita<\/strong> mi nyn\u00ed sd\u011bluje, \u017ee\u00a0s pravd\u011bpodobnost\u00ed 68.27%<\/strong> (prvn\u00ed sm\u011brodatn\u00e1 odchylka) je mo\u017en\u00e9 konstatovat, \u017ee za jeden rok bude cena HD o 45.40% nad anebo pod sou\u010dasnou obchodovanou cenou 122.85 USD<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Implied Volatilita<\/strong> mi nyn\u00ed sd\u011bluje, \u017ee je pravd\u011bpodobn\u00e9, \u017ee v n\u00e1sleduj\u00edc\u00edm roce se bude v\u00a068.27% \u010dasu<\/strong> (prvn\u00ed sm\u011brodatn\u00e1 odchylka) pohybovat cena akcie HD v\u00a0intervalu 122.85 USD +\/- 45.40%.<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee toto jsou interpretce nepou\u017eiteln\u00e9 pro m\u00e9 Earnings obchody, mus\u00edm takovou \u00favahu p\u0159en\u00e9st do \u201edenn\u00ed roviny<\/strong>\u201c. Nen\u00ed nic jednodu\u0161\u0161\u00edho. Proto\u017ee jsem anualizaci u v\u00fdpo\u010dtu Volatility prov\u00e1d\u011bl vyn\u00e1soben\u00edm druh\u00e9 odmocniny z\u00a0252 (po\u010det obchodn\u00edch dn\u016f v\u00a0roce) p\u0159evod na denn\u00ed b\u00e1zi mi zaru\u010d\u00ed vyd\u011blen\u00ed zji\u0161t\u011bn\u00e9 Implied Volatility pr\u00e1v\u011b touto druhou odmocninou. Druh\u00e1 odmocnina z\u00a0252 = 15.87. Pokud tedy vyd\u011bl\u00edm zji\u0161t\u011bnou Implied Volatilitu hodnotou 15.87, z\u00edsk\u00e1m jednoduch\u00fd v\u00fdhled pohybu na denn\u00ed b\u00e1zi tak, jak jej ur\u010duje tato volatilita, v\u00a0na\u0161em p\u0159\u00edpad\u011b 45.40% \/ 15.87<\/strong> = 2.86%.<\/u><\/strong><\/span><\/p>\n

\u00a0\u00a0 V\u00fdhled na pohyb po Earnings bych tak mohl pomoc\u00ed takto jednodu\u0161e zji\u0161t\u011bn\u00e9ho v\u00fdpo\u010dtu pro akcii HD interpretovat:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Zji\u0161t\u011bn\u00e1 denn\u00ed Implied Volatilita mi nyn\u00ed sd\u011bluje<\/strong>, \u017ee\u00a0s pravd\u011bpodobnost\u00ed 68.27%<\/strong> je mo\u017en\u00e9 za sou\u010dasn\u00fdch tr\u017en\u00edch okolnost\u00ed konstatovat, \u017ee z\u00edtra bude cena HD o 2.86% vy\u0161\u0161\u00ed<\/strong> nebo o 2.86% ni\u017e\u0161\u00ed<\/strong> ne\u017e je sou\u010dasn\u00e1 obchodovan\u00e1 cena 122.85 USD. Mohla by se tak pohybovat v\u00a0cenov\u00e9m p\u00e1smu 126.36 USD \u2013 119.34 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 2\/ Zji\u0161t\u011bn\u00e1 denn\u00ed Implied Volatilita mi nyn\u00ed sd\u011bluje<\/strong>, \u017ee\u00a0za sou\u010dasn\u00fdch tr\u017en\u00edch okolnost\u00ed je pravd\u011bpodobn\u00e9, \u017ee se bude b\u011bhem z\u00edt\u0159ej\u0161\u00edho dne v\u00a068.27% \u010dasu<\/strong> cena HD pohybovat v\u00a0cenov\u00e9m p\u00e1smu 126.36 USD \u2013 119.34 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych se pod\u00edval, jak nakonec pohyb vypadal n\u00e1sleduj\u00edc\u00ed den p\u0159i vyhl\u00e1\u0161en\u00ed Earnings, tak bych zjistil, \u017ee cena Close v\u00a0tento n\u00e1sleduj\u00edc\u00ed den byla 124,53 USD, tedy z\u016fstala uvnit\u0159 rozsahu, kter\u00fd n\u00e1m p\u0159edpov\u011bd\u011bla Implied Volatilita.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Toto je velmi jednoduch\u00e1 a lehce zjistiteln\u00e1 kvantifikace v\u0161ech mo\u017en\u00fdch o\u010dek\u00e1v\u00e1n\u00ed<\/strong> z\u00edt\u0159ej\u0161\u00edho v\u00fdvoje ceny akcie p\u0159i Earnings do jedin\u00e9ho procentn\u00edho \u00fadaje<\/strong>. V\u0161e tedy stoj\u00ed na rozboru jedin\u00e9 op\u010dn\u00ed cenotvorn\u00e9 veli\u010diny, a tou je Implied Volatilita. Zde mus\u00edm velmi siln\u011b upozornit na p\u0159\u00edpadn\u00e9 testov\u00e1n\u00ed na historick\u00fdch datech v\u00a0platform\u011b thinkorswim, \u017ee historick\u00e9 \u00fadaje o takov\u00e9 Implied Volatilit\u011b b\u00fdvaj\u00ed dost nep\u0159esn\u00e9. Pokud v\u0161ak obchoduji \u017eiv\u011b, tak v\u011bt\u0161ina obchodn\u00edch platforem streamuje data o Implied Volatilit\u011b jednotliv\u00fdch opc\u00ed vcelku bezchybn\u011b a p\u0159esn\u011b. Abych ale mohl data o Implied Volatilit\u011b z\u00a0historick\u00e9ho pohledu alespo\u0148 ov\u011b\u0159it, mohu si nechat takov\u00e9 hodnoty spo\u010d\u00edtat pomoc\u00ed kalkul\u00e1toru, nach\u00e1zej\u00edc\u00edm se nap\u0159\u00edklad na str\u00e1nk\u00e1ch LiveVol.com<\/strong><\/a><\/span>. P\u0159ipom\u00edn\u00e1m, \u017ee Implied Volatilita je v\u00a0tomto v\u00fdpo\u010dtu stanovena Binomick\u00fdm matematick\u00fdm modelem a m\u016f\u017ee se li\u0161it od v\u00fdpo\u010dtu pomoc\u00ed Black-Scholesova modelu, hodnoty by ale nem\u011bly b\u00fdt v\u00fdrazn\u011b odli\u0161n\u00e9.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku je vid\u011bt takov\u00fd modelov\u00fd v\u00fdpo\u010det pro opci na podklad HD se \u010dty\u0159mi dny do expirace na strike 123 s\u00a0moment\u00e1ln\u00ed cenou 122.85 USD a s\u00a0cenou opce 2.50 USD (st\u0159ed mezi Ask a Bid), tak jak jsem si tyto \u00fadaje vzal z\u00a0obr\u00e1zku z\u00a0platformy thinkorswim. V\u00fdsledkem v\u00fdpo\u010dtu je Implied Volatilita 50.15%, tedy o 4% vy\u0161\u0161\u00ed ne\u017e je uvedena v\u00a0platform\u011b TOS. Jej\u00edm p\u0159eveden\u00edm na denn\u00ed b\u00e1zi (d\u011blen\u00edm hodnotou 15.87) bych pak obdr\u017eel velmi m\u00edrn\u011b \u0161ir\u0161\u00ed p\u00e1smo implikovan\u00e9ho pohybu v\u00a0n\u00e1sleduj\u00edc\u00edm dni.<\/span><\/p>\n

\n

ATM Long Straddle<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Zji\u0161t\u011bn\u00ed takov\u00e9ho mo\u017en\u00e9ho rozsahu cenov\u00e9ho pohybu akcie HD podle Implied Volatility v\u00a0den vyhl\u00e1\u0161en\u00ed Earnings p\u0159edstavovalo pohyb +\/-2.86%, co\u017e p\u0159i cen\u011b 122.85 USD p\u0159edstavuje implikovan\u00fd dolarov\u00fd pohyb v\u00a0n\u00e1sleduj\u00edc\u00ed den do +\/- 3.51 USD s\u00a0pravd\u011bpodobnost\u00ed 68.27%. Pokud bych se pod\u00edval v\u00fd\u0161e na obr\u00e1zek z\u00a0analytick\u00e9 platformy TOS, tak bych mohl pozorovat ceny opc\u00ed na ATM strikes<\/strong> (ozna\u010dil jsem je b\u00edl\u00fdmi elipsami) a zjistil bych, \u017ee se velmi hrub\u011b podobaj\u00ed cenov\u00e9mu rozsahu +\/- 3 USD<\/strong>, kter\u00fd n\u00e1m p\u0159edur\u010duje denn\u00ed Implied Volatilita. Nab\u00edz\u00ed se tak \u00favaha, \u017ee mo\u017en\u00fdm m\u011b\u0159\u00edtkem takov\u00e9ho budouc\u00edho cenov\u00e9ho rozsahu by mohla b\u00fdt pr\u00e1v\u011b cena takov\u00fdch ATM opc\u00ed. M\u00e1 to ur\u010dit\u011b svou logiku. \u010c\u00edm dra\u017e\u0161\u00ed podklad, t\u00edm bude cena t\u011bchto opc\u00ed vy\u0161\u0161\u00ed d\u00edky t\u00e9to skute\u010dnosti a nav\u00edc, \u010d\u00edm vy\u0161\u0161\u00ed o\u010dek\u00e1v\u00e1n\u00ed z\u00a0n\u00e1sledn\u00e9ho pohybu na z\u00e1klad\u011b Implied Volatility, o to vy\u0161\u0161\u00ed bude cena takov\u00fdch ATM opc\u00ed nam\u00edsto ceny p\u0159i obvykl\u00e9, b\u011b\u017en\u00e9 \u00a0hladin\u011b Implied Volatility.<\/span><\/p>\n

\u00a0 Z\u00a0obchodn\u00edho pohledu a v\u00fd\u0161e uveden\u00fdch skute\u010dnost\u00ed je pak jasn\u00e9, \u017ee obchodovat Earnings n\u00e1kupem ATM<\/strong> Long Straddle<\/strong> na Close p\u0159ed jej\u00edm vyhl\u00e1\u0161en\u00ed je krajn\u011b nevhodn\u00e1 strategie. Bylo by to stejn\u00e9, jako bych si zajel po\u0159\u00eddit nejnov\u011bj\u0161\u00ed leto\u0161n\u00ed model ly\u017e\u00ed Rossignol do \u0161v\u00fdcarsk\u00e9ho Svat\u00e9ho Mo\u0159ice a vybral si k\u00a0tomu polovinu b\u0159ezna, tedy top sez\u00f3nu. Dr\u00e1\u017e u\u017e bych je asi po\u0159\u00eddit nemohl.<\/span><\/p>\n

\u00a0\u00a0 Stejn\u011b je tomu s ATM Long Straddle, byl by to nejhor\u0161\u00ed n\u00e1kup, jak\u00fd bych mohl ud\u011blat. Nav\u00edc v\u00edm, \u017ee na druh\u00fd den jeho cena prudce klesne d\u00edky siln\u00e9mu poklesu Implied Volatility. Pokud by se nedostavil zna\u010dn\u00fd pohyb, tak to bude znamenat jist\u00fd prod\u011blek, proto\u017ee jsem nazna\u010dil, \u017ee jednodenn\u00ed pohyb p\u0159edur\u010den\u00fd Implikovanou Volatilitou se p\u0159ibli\u017en\u011b shoduje s\u00a0cenou, za jakou lze takov\u00fd ATM Long Straddle po\u0159\u00eddit. Dolarov\u00fd pohyb na podkladov\u00e9 akcii by pak musel p\u0159ekonat dolarov\u00fd sou\u010det po\u0159izovac\u00ed ceny m\u00e9ho Long Straddle, abych mohl z takov\u00e9 strategie profitovat. Abych takov\u00e9 tvrzen\u00ed mohl prok\u00e1zat, provedl jsem ji\u017e v\u00a0minulosti v\u011bt\u0161\u00ed backtest takov\u00fdch Earnings pohyb\u016f vzta\u017een\u00fd k\u00a0hodnot\u011b cen ATM Straddle. Na obr\u00e1zku je v\u00fd\u0159ez z\u00a0rozs\u00e1hlej\u0161\u00edho excelu, kter\u00fdm jsem takovou skute\u010dnost testoval.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Na obr\u00e1zku je v\u00fdb\u011br z backtestu pr\u00e1v\u011b pro popisovan\u00fd titul HD. Ve t\u0159ech svisl\u00fdch sekc\u00edch je vid\u011bt nejd\u0159\u00edve v\u00a0lev\u00e9 \u010d\u00e1sti po\u0159izovac\u00ed hodnoty ATM Long Straddle na Close v\u00a0den p\u0159edch\u00e1zej\u00edc\u00ed Earnings, v\u00a0prost\u0159edn\u00ed \u010d\u00e1sti v\u00fdvoj hodnoty pohybu a jeho dopad do hodnoty Long Straddle pr\u00e1v\u011b na Close n\u00e1sleduj\u00edc\u00ed den, tedy v\u00a0den Earnings. Proto\u017ee jsem testoval weeklys opce s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed, je v\u00a0prav\u00e9 \u010d\u00e1sti zobrazeno, jak by si takov\u00fd Long Straddle vedl p\u0159i expira\u010dn\u00edm p\u00e1tku. \u010cerven\u00e9 bu\u0148ky znamenaj\u00ed, \u017ee se cenov\u00fd pohyb ud\u00e1l uvnit\u0159 cenov\u00e9ho rozsahu Long Straddle, a to jak v\u00a0den Earnings, tak tak\u00e9 je \u010derven\u011b zn\u00e1zorn\u011bno, jak by to dopadlo n\u00e1sledn\u011b tak\u00e9 p\u0159i expiraci. Je pouh\u00fdm okem patrno, \u017ee p\u0159eva\u017euje \u010derven\u00e1, zelen\u00e9 bu\u0148ky jsou ojedin\u011bl\u00e9 a pokud se takov\u00e1 \u201ezelen\u00e1 situace\u201c objev\u00ed, ozna\u010duj\u00ed velmi \u010dasto zanedbateln\u00e9 hodnoty pohyb\u016f mimo cenov\u00fd rozsah takov\u00e9ho ATM Long Straddle. Na obr\u00e1zku n\u00ed\u017ee je sumarizace cel\u00e9ho takov\u00e9ho backtestu na t\u00e9m\u011b\u0159 200 Earnings ud\u00e1lostech r\u016fzn\u011b volatiln\u00edch podklad\u016f.<\/span><\/p>\n

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\u00a0 Obr\u00e1zky zn\u00e1zor\u0148uj\u00ed t\u00e9m\u011b\u0159 p\u0159esn\u011b to, co jsem popisoval. Pokud bych po\u0159izoval takov\u00e9 ATM Long Straddle a p\u0159edpokl\u00e1dal bych, \u017ee jejich cena vyjad\u0159uje mo\u017en\u00fd cenov\u00fd pohyb podkladu v\u00a0den vyhl\u00e1\u0161en\u00ed Earnings, a tato cena je t\u00e9m\u011b\u0159 podobn\u00e1 hodnot\u00e1m vypo\u010dten\u00fdm pomoc\u00ed jednodenn\u00ed\u00a0Implied Volatility, tak jsem u t\u00e9m\u011b\u0159 p\u0159esn\u00e9 hodnoty prvn\u00ed standardn\u00ed odchylky a jej\u00ed matematick\u00e9 interpretace – s\u00a0pravd\u011bpodobnost\u00ed 68.27%<\/strong> se bude cena n\u00e1sleduj\u00edc\u00ed den pohybovat v\u00a0cenov\u00e9m p\u00e1smu dan\u00e9m jednodenn\u00ed Implied Volatilitou<\/strong>, pota\u017emo tedy n\u00e1sledn\u011b tak\u00e9 v cenov\u00e9m rozsahu Long Straddle. Z graf\u016f je patrn\u00e9, \u017ee toto je spln\u011bno v\u00a071% p\u0159\u00edpad\u016f<\/strong> pro n\u00e1sleduj\u00edc\u00ed Earnings den a dokonce takov\u00e1 tendence v\u00fdvoje ceny po Earnings plat\u00ed tak\u00e9 do nejbli\u017e\u0161\u00ed expirace. P\u0159edpokl\u00e1d\u00e1m, \u017ee pokud bych provedl hlub\u0161\u00ed test na v\u011bt\u0161\u00edm vzorku ud\u00e1lost\u00ed, tak by se situace nezm\u011bnila, ale pouze by up\u0159es\u0148ovala a potvrzovala pravidlo \u201et\u0159\u00ed sigma\u201c. \u00a0<\/span><\/p>\n

\u00a0 Na str\u00e1nk\u00e1ch MarketChameleon<\/a><\/strong><\/span> lze jednodu\u0161e takov\u00e9 \u201ep\u0159ekon\u00e1v\u00e1n\u00ed nebo nep\u0159ekon\u00e1v\u00e1n\u00ed\u201c pohyb\u016f podklad\u016f nad ceny Long Straddle graficky pozorovat na histogramu jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku op\u011bt pro titul HD.<\/span><\/p>\n

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\u00a0\u00a0 Modr\u00e9 sloupce zn\u00e1zor\u0148uj\u00ed cenu Long Straddle a sloupce vpravo pak n\u00e1sledn\u00fd cenov\u00fd pohyb. Prvn\u00ed dvojsloupec zleva pak nap\u0159\u00edklad zobrazuje ojedin\u011bl\u00e9 p\u0159ekon\u00e1n\u00ed takov\u00e9 hodnoty tak, jak se ud\u00e1lo p\u0159i Earnings 19.8.2014, pod\u00edv\u00e1te-li se do obr\u00e1zku z\u00a0m\u00fdm excelovsk\u00fdm backtestem v\u00fd\u0161e, tak je to stav, kdy cena p\u0159ekonala Long Straddle o 184 USD, je v\u0161ak tak\u00e9 patrn\u00e9, \u017ee se jedn\u00e1 sp\u00ed\u0161e o v\u00fdj\u00edmku ve srovn\u00e1n\u00ed s\u00a0ostatn\u00edmi pr\u016fb\u011bhy.<\/span><\/p>\n

\n

\u00a0\u00a0 Zji\u0161t\u011bn\u00ed, \u017ee nemohu pou\u017e\u00edt na Close p\u0159ed Earnings strategii ATM Long Straddle nen\u00ed v\u016fbec k\u00a0zahozen\u00ed. To, \u017ee n\u011bco pravd\u011bpodobn\u011b nebude fungovat m\u016f\u017ee vyb\u00edzet k jin\u00fdm obchodn\u00edm p\u0159\u00edstup\u016fm, kter\u00e9 by fungovat mohly. Strategie Long Straddle nez\u016fstane \u201eu ledu\u201c, pr\u00e1v\u011b naopak, bude vyu\u017eita v\u00a0jin\u00fdch p\u0159\u00edstupech. Cht\u011bl jsem jen uk\u00e1zat, \u017ee jej\u00ed po\u0159\u00edzen\u00ed pro zobchodov\u00e1n\u00ed Earnings nen\u00ed vhodn\u00e9 t\u011bsn\u011b p\u0159ed vyhl\u00e1\u0161en\u00edm t\u00e9to fundament\u00e1ln\u00ed zpr\u00e1vy.<\/span><\/p>\n

\u00a0 Smyslem \u010dl\u00e1nku je uk\u00e1zat, \u017ee je mo\u017en\u00e9 n\u011bkter\u00e9 podstatn\u00e9 informace o budouc\u00edm v\u00fdvoji ceny podkladov\u00e9ho aktiva vy\u010d\u00edst p\u0159\u00edmo z\u00a0ceny samotn\u00e9ho podkladu<\/strong>, respektive z komponenty, kter\u00e1 ji tvo\u0159\u00ed \u2013 Implied Volatility<\/strong>. Prost\u00fdm vyd\u011blen\u00edm zn\u00e1zor\u0148ovan\u00e9 hodnoty Implied Volatility p\u0159ibli\u017enou hodnotou 16 (p\u0159esn\u011bji 15.87) m\u016f\u017eeme z\u00edskat jednoduch\u00fd a z\u00e1kladn\u00ed n\u00e1hled na mo\u017en\u00fd n\u00e1sledn\u00fd jednodenn\u00ed pohyb a tak\u00e9 m\u016f\u017eeme tuto zji\u0161t\u011bnou hodnotu porovnat s\u00a0cenou opc\u00ed na ATM strike (Long Straddle). \u00a0 :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0Obchodov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f firem je pro op\u010dn\u00edho obchodn\u00edka velk\u00e1 v\u00fdzva. Je to pastva pro obchodn\u00edky s\u00a0volatilitou a je d\u016fle\u017eit\u00e9 p\u0159ipomenout, \u017ee je velmi obt\u00ed\u017en\u00e9 b\u00fdt obchodn\u011b konzistentn\u011b profitabiln\u00ed, proto\u017ee je to velmi n\u00e1ro\u010dn\u00e9 obdob\u00ed, kter\u00e9 je doprov\u00e1zeno obrovskou m\u00edrou nejistoty. Kde je velk\u00e1 nejistota a nap\u011bt\u00ed, tam je tak\u00e9 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":636,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[35],"tags":[36,18],"class_list":["post-614","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita","tag-earnings","tag-implied-volatility"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/E-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-9U","jetpack-related-posts":[{"id":595,"url":"https:\/\/dobretrejdy.com\/?p=595","url_meta":{"origin":614,"position":0},"title":"Volatilita a op\u010dn\u00ed obchodov\u00e1n\u00ed","author":"dobretrejdy :c)","date":"12.7.2017","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed opc\u00ed je p\u0159edev\u0161\u00edm o obchodov\u00e1n\u00ed volatility. V po\u010d\u00e1tc\u00edch sv\u00e9 \u201eobchodn\u00ed kari\u00e9ry\u201c jsem si to v\u016fbec neuv\u011bdomoval. P\u0159i pohledu do zp\u011btn\u00e9ho zrc\u00e1tka m\u00e9ho obchodov\u00e1n\u00ed opc\u00ed bych tak mohl pozorovat, p\u0159i n\u011bjak\u00e9m historicky chronologick\u00e9m zobecn\u011bn\u00ed, jednotliv\u00e9 f\u00e1ze m\u00e9ho tradersk\u00e9ho v\u00fdvoje, kter\u00e9 byly charakterizov\u00e1ny t\u00edm, \u010demu jsem p\u0159ikl\u00e1dal v\u00a0tu danou dobu\u2026","rel":"","context":"V \u201eVolatilita\u201c","block_context":{"text":"Volatilita","link":"https:\/\/dobretrejdy.com\/?cat=35"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/Baloon.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":733,"url":"https:\/\/dobretrejdy.com\/?p=733","url_meta":{"origin":614,"position":1},"title":"Earnings – V. (prvn\u00ed \u010d\u00e1st)","author":"dobretrejdy :c)","date":"8.9.2017","format":false,"excerpt":"\u00a0 \u00a0Pozor, bude i video!!!...a bude to tak\u00e9 hodn\u011b o Facebooku. Ud\u011blal jsem to tak schv\u00e1ln\u011b, proto\u017ee po t\u0159ech nudn\u00fdch \u010dl\u00e1nc\u00edch poset\u00fdch \u010d\u00edsly, popisy strategi\u00ed a obr\u00e1zky s\u00a0grafy, ze kter\u00fdch nakonec vyplynulo, \u017ee to je t\u00e9m\u011b\u0159 k\u00a0ni\u010demu, by se mohla vytvo\u0159it ur\u010dit\u00e1 frustrace z\u00a0pokusu zobchodovat fundament\u00e1ln\u00ed ud\u00e1lost, jako je vyhl\u00e1\u0161en\u00ed\u2026","rel":"","context":"V \u201eVolatilita\u201c","block_context":{"text":"Volatilita","link":"https:\/\/dobretrejdy.com\/?cat=35"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E5-uvodni-obraz.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E5-uvodni-obraz.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E5-uvodni-obraz.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1010,"url":"https:\/\/dobretrejdy.com\/?p=1010","url_meta":{"origin":614,"position":2},"title":"VIX technologie + Akcie","author":"dobretrejdy :c)","date":"8.11.2017","format":false,"excerpt":"\u00a0\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku VIX Index\u00a0jsem otev\u0159el z\u00e1kladn\u00ed t\u00e9ma t\u00fdkaj\u00edc\u00ed se deriv\u00e1t\u016f volatility t\u00edm, \u017ee jsem se sna\u017eil popsat konstrukci samotn\u00e9ho v\u00fdpo\u010dtu VIX Indexu, ze kter\u00e9 vyplynuly z\u00e1kladn\u00ed principy jeho fungov\u00e1n\u00ed a vlivy, kter\u00e9 zp\u016fsobuj\u00ed jeho pohyb. Z\u00a0\u010dl\u00e1nku vyplynulo, \u017ee podstatou je \u201em\u011b\u0159en\u00ed nap\u011bt\u00ed\u201c na OTM opc\u00edch podkladov\u00e9ho aktiva SPX s\u00a0horizontem\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":671,"url":"https:\/\/dobretrejdy.com\/?p=671","url_meta":{"origin":614,"position":3},"title":"Earnings – III.","author":"dobretrejdy :c)","date":"13.8.2017","format":false,"excerpt":"\u00a0\u00a0 \u201ePokud ti sed\u00ed zkou\u0161en\u00e1 bota \u2013 kup si i tu druhou\u201c, by mohlo b\u00fdt \u00favodn\u00ed motto k\u00a0pokra\u010dov\u00e1n\u00ed p\u0159edchoz\u00edho \u010dl\u00e1nku o vyhodnocen\u00ed p\u0159\u00edstup\u016f k\u00a0zobchodov\u00e1n\u00ed Earnings pomoc\u00ed ATM Long Straddle a jeho mo\u017en\u00fdch vylep\u0161en\u00ed.\u00a0Proto\u017ee jsem p\u0159irovnal po\u0159izov\u00e1n\u00ed Long Straddle v\u00a0p\u0159edve\u010der Earnings k\u00a0n\u00e1kupu posledn\u00edho modelu ly\u017e\u00ed v\u00a0b\u0159eznu ve Svat\u00e9m Mo\u0159ici, nutn\u011b vyvst\u00e1v\u00e1\u2026","rel":"","context":"V \u201eVolatilita\u201c","block_context":{"text":"Volatilita","link":"https:\/\/dobretrejdy.com\/?cat=35"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/08\/E3.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/08\/E3.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/08\/E3.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":267,"url":"https:\/\/dobretrejdy.com\/?p=267","url_meta":{"origin":614,"position":4},"title":"Je opce levn\u00e1 nebo drah\u00e1?","author":"dobretrejdy :c)","date":"28.4.2017","format":false,"excerpt":"\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku Cena opce\u00a0jsem se pokusil popsat, jak je mo\u017en\u00e9 si alespo\u0148 zjednodu\u0161en\u011b p\u0159edstavit zcela zevrubnou stavbu stanoven\u00ed ceny op\u010dn\u00edho kontraktu. Proto\u017ee m\u00e1m r\u00e1d p\u0159evod teoretick\u00fdch \u00favah do praktick\u00e9ho obchodov\u00e1n\u00ed (vlastn\u011b o nic jin\u00e9ho mi ani nejde), tak bych se v\u00a0intenc\u00edch t\u011bchto lehce \u00e9terick\u00fdch my\u0161lenek pokusil tuto \u00favahu o\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\/04\/Cheap.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/Cheap.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/04\/Cheap.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":3847,"url":"https:\/\/dobretrejdy.com\/?p=3847","url_meta":{"origin":614,"position":5},"title":"Delta Neutral \u2013 XII.","author":"dobretrejdy :c)","date":"10.11.2019","format":false,"excerpt":"\u00a0 \u00a0V minul\u00e9m \u010dl\u00e1nku jsem se zab\u00fdval probl\u00e9mem deformace hodnot Implied Volatility na jednotliv\u00fdch strike op\u010dn\u00edch \u0159et\u011bzc\u016f a sna\u017eil jsem se rozpoznat, jak\u00e9 by to mohlo p\u0159in\u00e1\u0161et obchodn\u00ed interpretace nebo alespo\u0148 obecn\u00e1 vysv\u011btlen\u00ed. Z tohoto pozn\u00e1n\u00ed pak mohu vych\u00e1zet p\u0159i praktick\u00e9m vyu\u017eit\u00ed t\u011bchto poznatk\u016f a vyhodnotit, jestli by se nedaly\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\/11\/main2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/11\/main2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/614","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=614"}],"version-history":[{"count":12,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/614\/revisions"}],"predecessor-version":[{"id":2877,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/614\/revisions\/2877"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/636"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=614"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=614"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=614"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}