{"id":671,"date":"2017-08-13T18:17:12","date_gmt":"2017-08-13T16:17:12","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=671"},"modified":"2024-06-12T09:39:13","modified_gmt":"2024-06-12T07:39:13","slug":"earnings-iii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=671","title":{"rendered":"Earnings – III."},"content":{"rendered":"

\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<\/a><\/strong><\/span> 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 my\u0161lenka celou obchodn\u00ed konstrukci obr\u00e1tit, a zab\u00fdvat se mo\u017enost\u00ed takovou op\u010dn\u00ed strategii nenakupovat, ale naopak ji prod\u00e1vat<\/strong>. Proto\u017ee jsem v\u00a0minul\u00e9m \u010dl\u00e1nku hledal modelov\u00e1 vylep\u0161en\u00ed, jak zjevn\u011b nevhodnou strategii ATM Long Straddle v\u00a0souvislosti s\u00a0jej\u00edm po\u0159\u00edzen\u00edm v p\u0159edve\u010derem Earnings vylep\u0161ovat, tak tak\u00e9 nyn\u00ed se budu sna\u017eit hledat n\u011bjak\u00e1 \u0159e\u0161en\u00ed, pokud by se uk\u00e1zalo, \u017ee prost\u00fd v\u00fdpis opc\u00ed nebude tomuto p\u0159\u00edstupu k\u00a0zobchodov\u00e1n\u00ed Earnings sv\u011bd\u010dit. \u010cl\u00e1nek bude svou koncepc\u00ed podobn\u00fd \u010dl\u00e1nku minul\u00e9mu, kdy jsem provedl modelov\u00fd backtest na historicky zp\u011btn\u011b dvaceti vyhl\u00e1\u0161en\u00edch Earnings u t\u0159\u00ed vzorov\u00fdch spole\u010dnost\u00ed, kter\u00e9 by mi mohly d\u00e1t odpov\u011b\u010f na ot\u00e1zku, jestli jsou takov\u00e9 p\u0159\u00edstupy k\u00a0obchodov\u00e1n\u00ed Earnings v\u016fbec re\u00e1ln\u00e9. Zab\u00fdval jsem se ot\u00e1zkou v\u00fdpisu prost\u00e9ho ATM Short Strangle, tento jsem se sna\u017eil op\u011bt porovnat s\u00a0dal\u0161\u00edmi p\u011bti variantami p\u0159\u00edstup\u016f za pou\u017eit\u00ed v\u00fdpisu opc\u00ed v\u00a0kombinaci s\u00a0dal\u0161\u00edmi op\u010dn\u00edmi pozicemi.<\/span><\/p>\n

\n

ATM Short Straddle<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Vypsat ATM Short Straddle v\u00a0p\u0159edve\u010der Earnings by mohlo m\u00edt svou logiku. Popisoval jsem, \u017ee v\u00a0obdob\u00ed p\u0159ed Earnings Implied Volatilita nar\u016fst\u00e1, aby po zve\u0159ejn\u011bn\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f prudce klesla, obdob\u00ed t\u011bsn\u011b p\u0159ed Earnings by tak mohlo b\u00fdt pro v\u00fdpis opc\u00ed vhodn\u00e9, proto\u017ee cena opc\u00ed by m\u011bla b\u00fdt na sv\u00e9m maximu, aby v\u00a0n\u00e1sledn\u00e9m kr\u00e1tk\u00e9m \u010dasov\u00e9m intervalu tato cena prudce klesla. Nane\u0161t\u011bst\u00ed je tento kolaps Implied Volatility<\/strong>\u00a0doprov\u00e1zen v\u011bt\u0161inou mimo\u0159\u00e1dn\u00fdm pohybem<\/strong>, odr\u00e1\u017eej\u00edc\u00edm dojmy investor\u016f ze zve\u0159ejn\u011bn\u00fdch hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f. Hned v\u00a0\u00favodu p\u0159edes\u00edl\u00e1m, \u017ee v\u00fdpis nekryt\u00fdch ATM Short opc\u00ed do Short Straddle je v\u00a0souvislosti s Earnings zabij\u00e1ck\u00e1 my\u0161lenka. Omezen\u00fd potenci\u00e1l profitu vyj\u00e1d\u0159en\u00fd z\u00edskan\u00fdm pr\u00e9miem a neomezen\u00e1 mo\u017enost ztr\u00e1ty ur\u010den\u00e1 neur\u010ditost\u00ed pohybu je opravdu \u010f\u00e1belsk\u00fd mix. P\u0159esto\u017ee jsou pr\u00e9mia t\u011bsn\u011b p\u0159ed Earnings velmi tu\u010dn\u00e1, mo\u017enost o\u010dek\u00e1van\u00e9ho pohybu m\u016f\u017ee b\u00fdt opravdu nep\u0159edstaviteln\u00e1.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0\u010dl\u00e1nku Earnings \u2013 I.<\/strong><\/a><\/span> jsem nazna\u010dil, \u017ee se mohu zeptat trhu, co si o budouc\u00edm pohybu po vyhl\u00e1\u0161en\u00ed v\u00fdsledku vlastn\u011b mysl\u00ed, a to na z\u00e1klad\u011b jednoduch\u00e9ho v\u00fdpo\u010dtu z\u00a0hodnoty Implied Volatility. Tento pohyb jsem pak prom\u00edtl do ceny ATM opc\u00ed, kter\u00e9 by mohly velmi zhruba odpov\u00eddat mo\u017en\u00e9mu cenov\u00e9mu p\u00e1smu, ve kter\u00e9m se by se mohl podklad v\u00a0obchodn\u00edm den vyhl\u00e1\u0161en\u00ed Earnings pohybovat s\u00a0n\u011bjakou pravd\u011bpodobnost\u00ed, kterou n\u00e1m vyjad\u0159uje hodnota sm\u011brodatn\u00e9 odchylky. Pokud tedy ceny ATM opc\u00ed reprezentuj\u00ed mo\u017en\u00fd pohyb s\u00a0pravd\u011bpodobnost\u00ed 68% (prvn\u00ed standardn\u00ed odchylka), budu v\u00a0n\u00e1sledn\u00e9m backtestu zkoumat, zda-li takov\u00e1 pravd\u011bpodobnost bude napln\u011bna a jestli povede k\u00a0n\u011bjak\u00fdm smyslupln\u00fdm v\u00fdsledk\u016fm. Nemus\u00edm b\u00fdt ale n\u011bjak\u00fd v\u011bdec, abych u\u017e dop\u0159edu mohl takov\u00e9 v\u00fdsledky predikovat. U spole\u010dnost\u00ed, kter\u00e9 se chovaj\u00ed v\u00edcem\u00e9n\u011b p\u0159edv\u00eddateln\u011b a klidn\u011b, jsou st\u00e1licemi ve sv\u00fdch odv\u011btv\u00edch, maj\u00ed vcelku stabiln\u00ed historick\u00e9 v\u00fdsledky a jsou finan\u010dn\u011b i hospod\u00e1\u0159sky velmi siln\u00e9, bude tento celkov\u00fd v\u00fdsledek backtestu jist\u011b p\u0159\u00edzniv\u011bj\u0161\u00ed ne\u017e u spole\u010dnost\u00ed nevyzpytateln\u00fdch, kde nem\u016f\u017eeme vyhla\u0161ovan\u00e9 v\u00fdsledky n\u011bjak racion\u00e1ln\u011b p\u0159edpokl\u00e1dat a modelovat nebo jejich\u017e interpretace vyhl\u00e1\u0161en\u00fdch v\u00fdsledk\u016f je siln\u011b z\u00e1visl\u00e1 na moment\u00e1ln\u00edmu sentimentu trhu. Do prvn\u00ed kategorie bych pak mohl za\u0159adit op\u011bt nap\u0159\u00edklad spole\u010dnost CAT (Caterpillar Inc)<\/strong>, stroj\u00edrenskou firmu a v\u00fdrobce zejm\u00e9na stavebn\u00edch stroj\u016f, kde mohu o\u010dek\u00e1vat vcelku stabiln\u00ed chov\u00e1n\u00ed a interpretaci vyhla\u0161ovan\u00fdch v\u00fdsledk\u016f, mohu abstrahovat z\u00a0toho, jak se nap\u0159\u00edklad moment\u00e1ln\u011b da\u0159\u00ed stavebnictv\u00ed, jestli je po v\u00fdrobc\u00edch popt\u00e1vka v\u00a0zahrani\u010d\u00ed a podobn\u011b, pozitivn\u00ed v\u00fdsledky pohybu podkladu pomohou, negativn\u00ed v\u00fdsledky zp\u016fsob\u00ed jeho pokles, oba pohyby ale nebudou z\u00e1sadn\u011b dramatick\u00e9, pokud samotn\u00e1 vyhla\u0161ovan\u00e1 \u010d\u00edsla nebudou dramatick\u00e1, kvalitu tohoto dramatu v\u0161ak mohu alespo\u0148 m\u00edrn\u00fdm zp\u016fsobem p\u0159edpokl\u00e1dat. Co v\u0161ak mohu \u010dekat nap\u0159\u00edklad od titulu NFLX (Netflix Com)<\/strong>, kter\u00fd je absolutn\u011b ne\u010diteln\u00fd a jeho\u017e chov\u00e1n\u00ed p\u0159i Earnings je zcela z\u00e1visl\u00e9 nap\u0159\u00edklad na po\u010dtu nov\u011b se p\u0159ipojen\u00fdch placen\u00fdch abonent\u016f k\u00a0jeho kabelov\u00e9 a internetov\u00e9 televizi. Kdo to m\u00e1 v\u011bd\u011bt? Mo\u017en\u00e1 tuto informaci maj\u00ed spr\u00e1vci jejich server\u016f, ale b\u011b\u017en\u00fd trader nem\u00e1 \u0161anci toto strategick\u00e9 \u010d\u00edslo zjistit, i kdyby jej v\u0161ak zjistil, nem\u016f\u017ee b\u00fdt schopen vyhodnotit, jak se trh na takov\u00fd \u00fadaj bude d\u00edvat a jak jej vyhodnot\u00ed, je p\u016flmilionu nov\u00fdch z\u00e1kazn\u00edk\u016f m\u00e1lo nebo opravdu mnoho? Vypisov\u00e1n\u00ed Short Straddle v\u00a0souvislosti s\u00a0Earnings na tento titul je pak t\u00e9m\u011b\u0159 jist\u00e1 sebevra\u017eda. Jak si takov\u00e9 „hol\u00e9“ Short Straddle nakonec povede vyplyne s v\u00fdsledku historick\u00e9 anal\u00fdzy.<\/span><\/p>\n

\n

Credit Spreads<\/span><\/strong><\/h2>\n

\u00a0\u00a0 V\u00fdpis Short Straddle p\u0159in\u00e1\u0161\u00ed neomezenou mo\u017enost ztr\u00e1ty<\/strong> vypl\u00fdvaj\u00edc\u00ed s\u00a0neomezen\u00e9 mo\u017enosti pohybu podkladu. Snahou o omezen\u00ed t\u00e9to neomezen\u00e9 ztr\u00e1ty by mohlo b\u00fdt po\u0159\u00edzen\u00ed Long opc\u00ed<\/strong> na vzd\u00e1len\u011bj\u0161\u00edch strikes na obou stran\u00e1ch Call i Put<\/strong>. Proto\u017ee jsem v\u00a0minul\u00e9m \u010dl\u00e1nku umis\u0165oval jednotliv\u00e9 opce do vzd\u00e1lenosti vyty\u010den\u00e9 hodnotami sm\u011brodatn\u00fdch odchylek, zachov\u00e1m tuto logiku tak\u00e9 v\u00a0tomto p\u0159\u00edpad\u011b. Um\u00edst\u00edm jednotliv\u00e9 Long Call a Long Put do vzd\u00e1lenosti nejbli\u017e\u0161\u00edho strike za hranic\u00ed ur\u010denou t\u011bmito prvn\u00edmi odchylkami<\/strong>. Mohlo by to pak vypadat, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku pro titul CAT.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 \u00a0\u00a0Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee jsem p\u0159i cen\u011b akcie CAT za 96.81 USD po\u0159\u00eddil na strike 97 ATM Short Straddle za +133 USD (v\u00fdpis Short Call) a +143 USD (v\u00fdpis Short Put). Celkem jsem p\u0159ijal<\/strong> za v\u00fdpis Short Straddle +276 USD<\/strong> pr\u00e9mia. Ve vzd\u00e1lenosti dva body od t\u011bchto strike jsem nakoupil p\u0159\u00edslu\u0161n\u00e9 Long opce, za -54 USD jsem po\u0159\u00eddil Long Call 99 a za -72 USD jsem po\u0159\u00eddil Long Put 95, za tyto Long opce jsem utratil -126 USD<\/strong>. M\u00e1 celkov\u00e1 tr\u017eba nyn\u00ed \u010din\u00ed +276 USD \u2013 126 USD = +150 USD<\/strong>. Na obou stran\u00e1ch Call i Put m\u00e1m Credit Vertical Spready s\u00a0rozsahem strike dva body, tedy maxim\u00e1ln\u00ed ztr\u00e1ta p\u0159i prora\u017een\u00ed n\u011bkter\u00e9ho ze strike Long opce \u010din\u00ed -200 USD, proto\u017ee jsem ale p\u0159ijal +150 USD pr\u00e9mia, kter\u00e9 mi ji\u017e nikdo nevezme, bude m\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta<\/strong> pouze -50 USD<\/strong>. M\u016fj maxim\u00e1ln\u00ed profit pak bude \u010dinit hodnotu p\u0159ijat\u00e9ho pr\u00e9mia, ov\u0161em za podm\u00ednky, \u017ee opce p\u0159i sv\u00e9 expiraci budou p\u0159esn\u011b na sv\u00e9m strike 97<\/strong>. Toto je t\u00e9m\u011b\u0159 nepravd\u011bpodobn\u00e9, v\u00a0drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f budu muset n\u011bkterou ze Short opc\u00ed p\u016fvodn\u00edho Short Straddle likvidovat. Pokud na jej\u00ed likvidaci vynalo\u017e\u00edm m\u00e9n\u011b, ne\u017e je p\u0159ijat\u00e9 pr\u00e9mium +150 USD, bude mi z\u016fstatek po likvidaci p\u0159\u00edslu\u0161n\u00e9 Short opce p\u0159edstavovat m\u016fj profit. Toto v\u0161e se stane v\u00a0p\u0159\u00edpadech, kdy se cena podkladu nepohne do vzd\u00e1lenosti 1.5 bodu od strike Short Straddle. Break Even<\/strong> body pozice pak jsou hodnoty 98.50 USD<\/strong> a 95.50 USD.<\/strong> V\u00a0tomto cenov\u00e9m p\u00e1smu pohybu podkladu bude le\u017eet m\u016fj potenci\u00e1l profitu. Zd\u00e1 se to nepravd\u011bpodobn\u00e9, \u017ee se podklad nepohne v\u00edce ne\u017e o jeden a p\u016fl dolaru po Earnings, proto\u017ee p\u00e1smo je velmi \u00fazk\u00e9, uvid\u00edte v\u0161ak na n\u00e1sledn\u00e9m v\u00fdsledku historick\u00e9 anal\u00fdzy na t\u0159ech vzorov\u00fdch spole\u010dnostech, jak takov\u00fd \u201eoboustrann\u00fd\u201c Credit Spread fungoval a jak\u00e9 m\u00e1 v\u00fdsledky.<\/span><\/p>\n

\u00a0\u00a0 Zd\u00e1lo by se, \u017ee toto je nefunk\u010dn\u00ed strategie. Ano, vypad\u00e1 to tak na prvn\u00ed pohled a je to zp\u016fsobeno zejm\u00e9na t\u00edm, \u017ee d\u00edky vysok\u00e9 Implied Volatilit\u011b t\u011bsn\u011b p\u0159ed Earnings jsou ceny opc\u00ed vysok\u00e9. Sice z\u00edsk\u00e1me obrovsk\u00e9 pr\u00e9mium<\/strong> v\u00fdpisem<\/strong> ATM Short Straddle, ale sou\u010dasn\u011b utrat\u00edme slu\u0161n\u00e9 pen\u00edze<\/strong> za OTM Long Strangle (po\u0159\u00edzen\u00e9 dv\u011b Long opce Call i Put vlastn\u011b vytv\u00e1\u0159\u00ed Long Strangle). Cht\u011bl bych ale m\u00edrn\u011b p\u0159edb\u011bhnout dobu a upozornit na mo\u017enosti, kterou se budu zab\u00fdvat v\u00a0n\u011bkter\u00e9m z\u00a0nejbli\u017e\u0161\u00edch \u010dl\u00e1nk\u016f, \u017ee by v\u016fbec nebylo \u0161patn\u00e9 vyhodnotit mo\u017enost, kdyby by se mi poda\u0159ilo koupit ob\u011b Long opce do OTM Long Strangle za takovou cenu, \u017ee v\u00fdpisem Short Straddle bych z\u00edskal takov\u00e9 mno\u017estv\u00ed pr\u00e9mia, \u017ee by mi v\u00a0celkov\u00e9m sou\u010dtu v\u0161ech p\u0159\u00edjm\u016f a n\u00e1klad\u016f z\u016fstala \u010d\u00e1stka v\u011bt\u0161\u00ed, ne\u017e je rozsah strike 200 USD. Pak bych byl ji\u017e jist\u00fd v\u00edt\u011bz, v\u0161echny p\u0159ijat\u00e9 pen\u00edze nad \u010d\u00e1stku 200 USD by ji\u017e tvo\u0159ily jist\u00fd neodejmuteln\u00fd profit, proto\u017ee i p\u0159i maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1t\u011b bych p\u0159i\u0161el pouze o \u010d\u00e1stku ve v\u00fd\u0161i -200 USD, nech\u00e1m v\u0161ak tento postup nyn\u00ed stranou, by\u0165 se ve sv\u00e9m \u00fapln\u011b obecn\u00e9m\u00a0principu stane \u00fapln\u00fdm z\u00e1kladem ur\u010dit\u00e9ho pozd\u011bj\u0161\u00edho racion\u00e1ln\u00edho p\u0159\u00edstupu k\u00a0obchodov\u00e1n\u00ed Earnings.<\/span><\/p>\n

\n

Short Strangle 1.SD<\/span><\/strong><\/h2>\n

\u00a0 S\u00e1zkou na pravd\u011bpodobnost vypl\u00fdvaj\u00edc\u00ed z\u00a0Norm\u00e1ln\u00edho rozd\u011blen\u00ed by mohla b\u00fdt jednoduch\u00e1 taktika, kdy opust\u00edm my\u0161lenku v\u00fdpisu ATM Short Straddle, ale ob\u011b vypsan\u00e9 opce um\u00edst\u00edm \u201emimo pen\u00edze\u201c, a to do vzd\u00e1lenosti na hranici prvn\u00ed sm\u011brodatn\u00e9 odchylky<\/strong>. V\u00a0p\u0159\u00edpad\u011b titulu CAT p\u0159i posledn\u00edm vyhl\u00e1\u0161en\u00ed Earnings by situace vypadala jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span>\u00a0\"\"<\/span><\/p>\n

\u00a0 Ob\u011b opce OTM Short Strangle jsou um\u00edst\u011bny na strike, kter\u00fd reprezentuje m\u00edrn\u011b v\u011bt\u0161\u00ed vzd\u00e1lenost, ne\u017e kterou ur\u010dily ceny ATM Long opc\u00ed, mohu tak p\u0159edpokl\u00e1dat, \u017ee se pohyb podkladu<\/strong> bude v\u00a0takov\u00e9m cenov\u00e9m p\u00e1smu t\u011bchto strike uskute\u010d\u0148ovat s\u00a0pravd\u011bpodobnost\u00ed nejm\u00e9n\u011b 68%<\/strong>. V\u00a0tomto konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b jsem za vypsan\u00e9 opce utr\u017eil +115 USD<\/strong> (+50 USD za v\u00fdpis Short Call 99 a +65 USD za v\u00fdpis Short Put 95). Break Even body<\/strong> pak le\u017e\u00ed ve vzd\u00e1lenosti \u201eutr\u017een\u00e9ho pr\u00e9mia\u201c nad strike Call a pod strike Put, tedy na hodnot\u00e1ch 100.15 USD<\/strong> a 93.85 USD<\/strong>. Pohyb podkladu mezi t\u011bmito hodnotami nebude znamenat ztr\u00e1tu. Kdekoliv uvnit\u0159 tohoto p\u00e1sma bude le\u017eet profit z\u00a0m\u00e9 pozice, pokud z\u016fstane cena mezi m\u00fdmi strike, ob\u011b Short opce vypr\u0161\u00ed jako bezcenn\u00e9 a z\u016fstane mi cel\u00e9 p\u0159ijat\u00e9 pr\u00e9mium. Prora\u017een\u00ed strike, ale neprora\u017een\u00ed Break Even bodu bude znamenat n\u00e1klady na likvidaci \u201enevychovan\u00e9\u201c Short opce, tyto ale budou ni\u017e\u0161\u00ed ne\u017e \u010d\u00e1stka p\u0159edstavuj\u00edc\u00ed p\u0159ijat\u00e9 pr\u00e9mium. Kdekoliv mimo Break Even<\/strong> body le\u017e\u00ed mo\u017enost ztr\u00e1ty, a to ztr\u00e1ty neomezen\u00e9<\/strong>. Fat\u00e1ln\u00ed pohyb za strike opc\u00ed a sou\u010dasn\u011b Break Even body m\u016f\u017ee zp\u016fsobit devastuj\u00edc\u00ed ztr\u00e1tu, ze kter\u00e9 se p\u0159i neopatrn\u00e9m v\u00fdpisu po\u010dtu kontrakt\u016f ne\u00fam\u011brn\u00e9ho v\u00fd\u0161i m\u00e9ho \u00fa\u010dtu nemus\u00edm nakonec v\u016fbec vzpamatovat. Pravd\u011bpodobnost o\u010dek\u00e1van\u00e9ho pohybu okolo 68% nen\u00ed nic z\u00e1vratn\u00e9ho na co bych mohl spol\u00e9hat, proto bude velmi zaj\u00edmav\u00e9 sledovat, jak dopadl n\u00e1sledn\u00fd historick\u00fd backtest.\u00a0<\/span>\u00a0<\/span><\/p>\n

\n

Short Strangle 2.SD<\/span><\/strong><\/h2>\n

\u00a0 Obdobnou s\u00e1zkou na pravd\u011bpodobnost jako ve v\u00fd\u0161e uveden\u00e9m p\u0159\u00edpad\u011b, vypl\u00fdvaj\u00edc\u00ed z\u00a0Norm\u00e1ln\u00edho rozd\u011blen\u00ed, by mohla b\u00fdt tak\u00e9 dal\u0161\u00ed a jednoduch\u00e1 taktika, kdy ob\u011b vypsan\u00e9 opce um\u00edst\u00edm \u201emimo pen\u00edze\u201c, ale do vzd\u00e1lenosti na hranici druh\u00e9 sm\u011brodatn\u00e9 odchylky<\/strong>. V\u00a0p\u0159\u00edpad\u011b titulu CAT p\u0159i posledn\u00edm vyhl\u00e1\u0161en\u00ed Earnings by situace vypadala jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Ob\u011b opce OTM Short Strangle jsou um\u00edst\u011bny na strike, kter\u00fd op\u011bt reprezentuje m\u00edrn\u011b v\u011bt\u0161\u00ed vzd\u00e1lenost, ne\u017e kterou ur\u010dily ceny ATM Long opc\u00ed, mohu tak p\u0159edpokl\u00e1dat, \u017ee se pohyb podkladu bude v\u00a0takov\u00e9m cenov\u00e9m p\u00e1smu t\u011bchto strike uskute\u010d\u0148ovat s\u00a0pravd\u011bpodobnost\u00ed nejm\u00e9n\u011b 95%<\/strong>. V\u00a0tomto konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b jsem za vypsan\u00e9 opce utr\u017eil +53 USD<\/strong> (+28 USD za v\u00fdpis Short Call 100 a +25 USD za v\u00fdpis Short Put 93). Break Even body<\/strong> pak le\u017e\u00ed ve vzd\u00e1lenosti \u201eutr\u017een\u00e9ho pr\u00e9mia\u201c nad strike Call a pod strike Put, tedy na hodnot\u00e1ch 100.53 USD<\/strong> a 92.47 USD<\/strong>. Pohyb podkladu mezi t\u011bmito hodnotami nebude znamenat ztr\u00e1tu. Za pov\u0161imnut\u00ed stoj\u00ed, \u017ee p\u0159esto\u017ee jsme volili vzd\u00e1len\u011bj\u0161\u00ed strike oproti p\u0159edchoz\u00edmu p\u0159\u00edpadu, kdy jsme strike um\u00edstili na hranici prvn\u00ed odchylky, n\u00e1m posunut\u00ed strike na hranici druh\u00e9 odchylky n\u011bjak zvl\u00e1\u0161\u0165 neroz\u0161\u00ed\u0159ilo p\u00e1smo mo\u017en\u00e9ho profitu, Break Even body nejsou velmi odli\u0161n\u00e9, p\u016fvodn\u00ed p\u00e1smo 100.15 USD \u2013 93.85 USD se zm\u011bnilo na 100.50 USD \u2013 92.47 USD. Kdekoliv uvnit\u0159 tohoto nov\u00e9ho p\u00e1sma bude le\u017eet profit z\u00a0m\u00e9 pozice a op\u011bt, pokud z\u016fstane cena mezi m\u00fdmi strike, ob\u011b Short opce vypr\u0161\u00ed jako bezcenn\u00e9 a z\u016fstane mi cel\u00e9 p\u0159ijat\u00e9 pr\u00e9mium. Prora\u017een\u00ed strike, ale neprora\u017een\u00ed Break Even bodu bude znamenat n\u00e1klady na likvidaci ohro\u017een\u00e9 Short opce, tyto ale budou ni\u017e\u0161\u00ed ne\u017e \u010d\u00e1stka p\u0159edstavuj\u00edc\u00ed p\u0159ijat\u00e9 pr\u00e9mium. Kdekoliv mimo Break Even body<\/strong> le\u017e\u00ed mo\u017enost ztr\u00e1ty, a to ztr\u00e1ty neomezen\u00e9<\/strong>. Zvolili jsme sice vzd\u00e1len\u011bj\u0161\u00ed strike, obdr\u017eeli jsme ale m\u00e9n\u011b pr\u00e9mia. Na stran\u011b Call zp\u016fsobil v\u00fdpo\u010det strike na hranici druh\u00e9 sm\u011brodatn\u00e9 odchylky posun o jeden bod, na stran\u011b Put se strike sn\u00ed\u017eil o dva body, nesymetrie je zp\u016fsobena v\u011bt\u0161\u00ed cenou ATM Put opce ne\u017e ATM Call opce, v\u00a0t\u011bchto cen\u011b je tak vyj\u00e1d\u0159ena m\u00edrn\u011b vy\u0161\u0161\u00ed o\u010dek\u00e1van\u00e1 pravd\u011bpodobnost propadu titulu ne\u017e jeho r\u016fst (tato cenov\u00e1 diskrepance Call a Put opc\u00ed je ale v\u00a0ur\u010dit\u00e9 m\u00ed\u0159e obecn\u00e1). Op\u011bt ale plat\u00ed, \u017ee takov\u00fd obchodn\u00ed p\u0159\u00edstup m\u00e1 sv\u00e9 hlavn\u00ed \u00faskal\u00ed v\u00a0expozici strategie v\u016f\u010di neomezen\u00e9 ztr\u00e1t\u011b<\/strong>. Neo\u010dek\u00e1van\u00fd propad nebo z\u00e1vratn\u00fd uptrend nad Break Even body vystavuje m\u016fj obchodn\u00ed \u00fa\u010det ohro\u017een\u00ed osudov\u00e9 ztr\u00e1t\u011b. Op\u011bt tak bude zaj\u00edmav\u00e9 pozorovat, jak s\u00a0v\u00a0historick\u00e9m backtestu takov\u00e9 posunut\u00ed strike vypsan\u00fdch opc\u00ed povede.\u00a0<\/span><\/p>\n

\n

Backspread 1.SD + 2*2.SD<\/span><\/strong><\/h2>\n

\u00a0\u00a0 M\u00edt omezenou mo\u017enost profitu a tak\u00e9 ztr\u00e1ty v\u00a0p\u0159\u00edpad\u011b dvou Credit Spread\u016f podle v\u00fd\u0161e uveden\u00e9ho vylep\u0161en\u00ed ATM Short Straddle nebo \u010delit neomezen\u00e9 mo\u017enosti ztr\u00e1ty v\u00a0p\u0159\u00edpad\u011b pouh\u00e9ho v\u00fdpisu nekryt\u00fdch opc\u00ed na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce v\u00fdpisem ATM Short Straddle \u010di OTM Short Strangle na r\u016fzn\u00fdch strikes s\u00a0r\u016fznou pravd\u011bpodobnost\u00ed? Ani jeden z\u00a0p\u0159\u00edstup\u016f se mi nezamlouv\u00e1. Zachovat si ale mo\u017enost neomezen\u00e9ho profitu<\/strong> p\u0159i p\u0159ijet\u00ed p\u0159im\u011b\u0159en\u00e9 ztr\u00e1ty<\/strong> by mohla b\u00fdt velmi sch\u016fdn\u00e1 my\u0161lenka, kterou bych mohl vyzkou\u0161et. Proto\u017ee se z\u00a0ud\u00e1lost\u00ed Earnings poj\u00ed mo\u017enost nep\u0159edv\u00eddateln\u00e9ho a velk\u00e9ho pohybu, mohl bych takovou p\u0159edstavu o p\u0159im\u011b\u0159en\u00e9 a p\u0159edem jasn\u011b definovan\u00e9 ztr\u00e1t\u011b a mo\u017enosti neo\u010dek\u00e1van\u00e9ho a neomezen\u00e9ho profitu zobchodovat pomoc\u00ed kombinace v\u00fdpisu Short opc\u00ed a n\u00e1kupu v\u011bt\u0161\u00edho po\u010dtu vzd\u00e1len\u00fdch Long opc\u00ed. V\u00a0prvn\u00edm m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b bych uva\u017eoval o v\u00fdpisu Short opc\u00ed<\/strong> na obou stran\u00e1ch op\u010dn\u00edho \u0159et\u011bzce ve vzd\u00e1lenosti prvn\u00ed sm\u011brodatn\u00e9 odchylky<\/strong> a sou\u010dasn\u011b po\u0159\u00edzen\u00ed dvou<\/strong> vzd\u00e1len\u011bj\u0161\u00edch Long opc\u00ed<\/strong> ve vzd\u00e1lenosti p\u0159im\u011b\u0159en\u011b danou hodnotou druh\u00e9 sm\u011brodatn\u00e9 odchylky<\/strong>. Celou situaci na podkladu CAT v\u00a0p\u0159edve\u010der posledn\u00edho vyhl\u00e1\u0161en\u00ed Earnings lze pozorovat na obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 V\u00fdpisem Short opc\u00ed jsem utr\u017eil +115 USD<\/strong> (V\u00fdpis Short Call 99 za +50 USD a v\u00fdpis Short Put 95 za +65 USD). N\u00e1kupem 2 x Long Call 101 jsem utratil 2*23 USD a n\u00e1kupem 2 x Long Put 93 jsem utratil 2*31 USD, celkem jsem utratil -108 USD<\/strong>. Celkem jsem tedy utr\u017eil +7 USD pr\u00e9mia<\/strong>. Jak se bude pozice vyv\u00edjet p\u0159i pohybu po Earnings? Do hodnoty strike Short opc\u00ed mi z\u016fstane p\u0159ijat\u00e9 pr\u00e9mium, v\u0161echny opce vypr\u0161\u00ed jako bezcenn\u00e9, do hodnoty strike Short opc\u00ed plus p\u0159ijat\u00e9 pr\u00e9mium (99.07 USD<\/strong> \u2013 94.93 USD<\/strong> = Break Even body<\/strong>) neutrp\u00edm \u017e\u00e1dnou ztr\u00e1tu, ale nebudu m\u00edt \u017e\u00e1dn\u00fd profit. Prora\u017een\u00edm Braek Even Bodu, ale neprora\u017een\u00edm strike Long opc\u00ed budu m\u00edt ztr\u00e1tu<\/strong>, ta bude ale takov\u00e1, jakou \u010d\u00e1stku vynalo\u017e\u00edm na likvidaci Short opce, kter\u00e1 bude v\u00a0danou chv\u00edli \u201ev pen\u011bz\u00edch\u201c, maxim\u00e1ln\u011b v\u0161ak \u010d\u00e1stku 200 USD sn\u00ed\u017eenou o p\u0159ijat\u00e9 pr\u00e9mium +7 USD tedy maxim\u00e1ln\u011b -193 USD<\/strong>. Je to proto, proto\u017ee cel\u00e1 pozice je vlastn\u011b Credit Vertical Spread o rozsahu dva body (200 USD) na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce, a je\u0161t\u011b k\u00a0tomu dal\u0161\u00ed OTM Long Strangle. Na Credit Vertical Spreadu mohu prod\u011blat maxim\u00e1ln\u011b rozsah strike (-200 USD sn\u00ed\u017een\u00fdch o p\u0159ijat\u00e9 pr\u00e9mium). V\u00a0p\u0159\u00edpad\u011b pohybu za strike Long opc\u00ed<\/strong> v\u0161ak za\u010dne Long opce, kter\u00e1 nen\u00ed sou\u010d\u00e1st\u00ed<\/strong> Credit Vertical Spreadu vyd\u011bl\u00e1vat<\/strong>, a \u010d\u00edm v\u011bt\u0161\u00ed bude pohyb, t\u00edm v\u011bt\u0161\u00ed m\u016f\u017ee b\u00fdt profit a tento m\u016f\u017ee b\u00fdt neomezen\u00fd<\/strong>. Podm\u00ednkou celkov\u00e9 profitability takov\u00e9ho backspreadu jako celku je, aby v\u00fdkonnost t\u00e9to Long opce opce vyd\u011blala na ztr\u00e1tu z Credit Vertical Spreadu ve v\u00fd\u0161i -193 USD. Break Even body pak le\u017e\u00ed ve vzd\u00e1lenosti 193 USD nad strike Long Call a ve vzd\u00e1lenosti 193 USD pod strike Long Put, tedy 102.93 USD<\/strong> a 91.07 USD<\/strong>. Shrnuto m\u00e1me dv\u011b oblasti profitu<\/strong>. Prvn\u00ed<\/strong> p\u0159i velmi mal\u00e9m pohybu mezi 99.07 USD \u2013 94.93 USD<\/strong>, kdy n\u00e1m z\u016fstane bu\u010f cel\u00e9 nebo \u010d\u00e1st p\u0159ijat\u00e9ho pr\u00e9mia. Druh\u00e1<\/strong> p\u0159i pohybu nad hodnotu 102.93 USD<\/strong> nebo pod hodnotu 91.07 USD<\/strong>, kdy mo\u017enost profitu je neomezen\u00e1. Kdekoliv mezi t\u011bmito body budu m\u00edt ztr\u00e1tu, tato v\u0161ak nebude vy\u0161\u0161\u00ed ne\u017e -193 USD (cenov\u00e9 rozmez\u00ed 94.93 \u2013 91.07 nebo 99.07 \u2013 102.93) Podle t\u00e9to p\u0159edstav\u011b v\u00fdvoje zisku a ztr\u00e1ty pak mus\u00ed nastat pohyb bu\u010f velmi mal\u00fd nebo velmi velk\u00fd, abychom mohli po\u010d\u00edtat s n\u011bjak\u00fdm profitem. Cel\u00fd vtip t\u00e9to strategie pak le\u017e\u00ed ve v\u00fd\u0161i z\u00edskan\u00e9ho pr\u00e9mia nebo v nep\u0159edv\u00eddatelnosti budouc\u00edho pohybu. \u010c\u00edm v\u00edce pr\u00e9mia (jako kreditu z cel\u00e9ho po\u0159\u00edzen\u00ed) z\u00edsk\u00e1me, t\u00edm men\u0161\u00ed m\u016f\u017eeme m\u00edt o\u010dek\u00e1v\u00e1n\u00ed o budouc\u00edm pohybu po Earnings. Op\u011bt plat\u00ed, \u017ee pokud by se mi poda\u0159ilo z\u00edskat takov\u00e9 pr\u00e9mium, \u017ee bude vy\u0161\u0161\u00ed ne\u017e je rozsah strike opc\u00ed<\/strong> na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce (v m\u00e9m p\u0159\u00edpad\u011b maj\u00ed oba spready rozsah 2 body = 200 USD), mohl bych pak jenom vy\u010dk\u00e1vat, kolik mi obchod nad\u011bl\u00ed mimo\u0159\u00e1dn\u00e9ho profitu, toto bych op\u011bt nechal stranou pro pozd\u011bj\u0161\u00ed \u010dl\u00e1nek. Bude pak tak\u00e9 zaj\u00edmav\u00e9 vysledovat, jak si takov\u00e1 m\u00edrn\u011b slo\u017eit\u011bj\u0161\u00ed strategie Backspread 1SD + 2*2SD povede v\u00a0historick\u00e9m srovn\u00e1n\u00ed u t\u0159\u00ed r\u016fzn\u00fdch vzorov\u011b vybran\u00fdch spole\u010dnost\u00ed.<\/span><\/p>\n

\n

\u00a0<\/span>Backspread 2.SD + 2*3.SD<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Modifikac\u00ed p\u0159edchoz\u00edho p\u0159\u00edstupu by podle logiky sm\u011brodatn\u00fdch odchylek mohlo m\u00edt posunut\u00ed<\/strong> cel\u00e9 p\u0159edchoz\u00ed strategie \u201ed\u00e1le od pen\u011bz\u201c, <\/strong>zejm\u00e9na\u00a0u spole\u010dnost\u00ed s\u00a0nep\u0159edv\u00eddateln\u00fdm a potenci\u00e1ln\u011b obrovsk\u00fdm pohybem. V\u00a0tomto p\u0159\u00edpad\u011b bych uva\u017eoval o v\u00fdpisu Short opc\u00ed<\/strong> na obou stran\u00e1ch op\u010dn\u00edho \u0159et\u011bzce ve vzd\u00e1lenosti druh\u00e9 sm\u011brodatn\u00e9 odchylky<\/strong> a sou\u010dasn\u011b po\u0159\u00edzen\u00ed dvou vzd\u00e1len\u011bj\u0161\u00edch Long opc\u00ed<\/strong> ve vzd\u00e1lenosti p\u0159im\u011b\u0159en\u011b danou hodnotou t\u0159et\u00ed sm\u011brodatn\u00e9 odchylky<\/strong>. Celou situaci, op\u011bt na podkladu CAT za situace v\u00a0p\u0159edve\u010der posledn\u00edho vyhl\u00e1\u0161en\u00ed Earnings, \u00a0lze pozorovat n\u00ed\u017ee na obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Obecn\u011b budu p\u0159edpokl\u00e1dat pohyb bu\u010f v\u00a0rozsahu do druh\u00e9 sm\u011brodatn\u00e9 odchylky<\/strong> s\u00a0pravd\u011bpodobnost\u00ed 95%<\/strong> nebo naopak pohyb za rozsah t\u0159et\u00ed sm\u011brodatn\u00e9 odchylky<\/strong> s\u00a0pravd\u011bpodobnost\u00ed necel\u00e9 jedno %<\/strong>. (pohyb v rozsahu t\u0159et\u00ed sm\u011brodatn\u00e9 odchylky je s pravd\u011bpodobnost\u00ed 99,73% – za tuto hranici by m\u011bl b\u00fdt pohyb s pravd\u011bpodobnost\u00ed 0.27%). Je asi logick\u00e9, \u017ee s\u00a0ohledem na tyto \u201estartovac\u00ed propozice\u201c bude z\u00e1kladem obchodu z\u00edskat co nejv\u00edce pr\u00e9mia a vstoupit do pozice s\u00a0celkov\u00fdm Creditem.\u00a0 V\u00fdpisem Short opc\u00ed jsem utr\u017eil +53 USD<\/strong> (V\u00fdpis Short Call 100 za +28 USD a v\u00fdpis Short Put 93 za +25 USD). N\u00e1kupem 2 x Long Call 103 jsem utratil 2*7 USD a n\u00e1kupem 2 x Long Put 91 jsem utratil 2*11 USD, celkem jsem utratil -36 USD<\/strong>. Celkem jsem tedy utr\u017eil jako Credit +17 USD<\/strong> pr\u00e9mia za celou pozici Backspreadu. Jak se bude pozice vyv\u00edjet p\u0159i pohybu po Earnings? Do hodnoty strike Short opc\u00ed mi z\u016fstane p\u0159ijat\u00e9 pr\u00e9mium, v\u0161echny opce vypr\u0161\u00ed jako bezcenn\u00e9, do hodnoty strike Short opc\u00ed plus p\u0159ijat\u00e9 pr\u00e9mium (100.17 USD<\/strong> \u2013 92.83 USD<\/strong> = Break Even body<\/strong>) neutrp\u00edm \u017e\u00e1dnou ztr\u00e1tu, ale nebudu m\u00edt \u017e\u00e1dn\u00fd profit. Prora\u017een\u00edm Braek Even Bodu, ale neprora\u017een\u00edm strike Long opc\u00ed budu m\u00edt ztr\u00e1tu, ta bude ale takov\u00e1, jakou \u010d\u00e1stku vynalo\u017e\u00edm na likvidaci Short opce, kter\u00e1 bude v\u00a0danou chv\u00edli \u201ev pen\u011bz\u00edch\u201c, maxim\u00e1ln\u011b v\u0161ak \u010d\u00e1stku -300 USD sn\u00ed\u017eenou o p\u0159ijat\u00e9 pr\u00e9mium +17 USD tedy maxim\u00e1ln\u011b -283 USD na stran\u011b Call<\/strong> (tedy uptrendu) nebo maxim\u00e1ln\u011b v\u0161ak \u010d\u00e1stku -200 USD sn\u00ed\u017eenou o p\u0159ijat\u00e9 pr\u00e9mium +17 USD tedy maxim\u00e1ln\u011b -183 USD na stran\u011b Put<\/strong> (downtrend). Je to proto, proto\u017ee cel\u00e1 pozice je vlastn\u011b op\u011bt Credit Vertical Spread o rozsahu t\u0159i body (300 USD) na stran\u011b Call op\u010dn\u00edho \u0159et\u011bzce a o rozsahu dva body (200 USD) na stran\u011b Put op\u010dn\u00edho \u0159et\u011bzce a nav\u00edc je\u0161t\u011b k\u00a0tomu dal\u0161\u00ed OTM Long Strangle. Na Call Credit Vertical Spreadu mohu prod\u011blat maxim\u00e1ln\u011b rozsah strike (-300 USD sn\u00ed\u017een\u00fdch o p\u0159ijat\u00e9 pr\u00e9mium) a na Put Credit Vertical Spreadu mohu prod\u011blat maxim\u00e1ln\u011b rozsah strike (-200 USD sn\u00ed\u017een\u00fdch o p\u0159ijat\u00e9 pr\u00e9mium). V\u00a0p\u0159\u00edpad\u011b pohybu za strike Long opc\u00ed<\/strong> v\u0161ak za\u010dne Long opce<\/strong>, kter\u00e1 nen\u00ed sou\u010d\u00e1st\u00ed Credit Vertical Spreadu vyd\u011bl\u00e1vat,<\/strong> a \u010d\u00edm v\u011bt\u0161\u00ed bude pohyb, t\u00edm v\u011bt\u0161\u00ed m\u016f\u017ee b\u00fdt profit, tento m\u016f\u017ee b\u00fdt neomezen\u00fd<\/strong>. Podm\u00ednkou celkov\u00e9 profitability takov\u00e9ho Backspreadu jako celku op\u011bt je, aby v\u00fdkonnost t\u00e9to Long Call opce vyd\u011blala na ztr\u00e1tu z\u00a0Call Credit Vertical Spreadu ve v\u00fd\u0161i -283 USD v\u00a0p\u0159\u00edpad\u011b, \u017ee podklad bude siln\u011b uptrendovat nebo -183 USD v\u00a0p\u0159\u00edpad\u011b, \u017ee podklad bude po vyhl\u00e1\u0161en\u00ed Earnings v downtrendu. Break Even body pak le\u017e\u00ed ve vzd\u00e1lenosti 283 USD nad strike Long Call a ve vzd\u00e1lenosti 183 USD pod strike Long Put, tedy 105.83 USD a 89.17 USD. Op\u011bt m\u00e1me dv\u011b oblasti profitu<\/strong>. Prvn\u00ed<\/strong> p\u0159i pohybu v\u00a0rozmez\u00ed dan\u00e9m druhou sm\u011brodatnou odchylkou s\u00a0pravd\u011bpodobnost\u00ed 95%<\/strong>, kter\u00e9 p\u0159edstavuje cenov\u00fd rozsah mezi 100.17 USD \u2013 92.83 USD<\/strong>, kdy n\u00e1m z\u016fstane bu\u010f cel\u00e9 nebo \u010d\u00e1st p\u0159ijat\u00e9ho pr\u00e9mia. Druh\u00e1<\/strong> oblast profitu se nach\u00e1z\u00ed p\u0159i pohybu nad hodnotu 105.83 USD<\/strong> nebo pod hodnotu 89.17 USD<\/strong>, kdy mo\u017enost profitu je neomezen\u00e1. Kdekoliv mezi t\u011bmito body budu m\u00edt ztr\u00e1tu, tato v\u0161ak nebude vy\u0161\u0161\u00ed ne\u017e -283 USD na stran\u011b Call (cenov\u00e9 rozmez\u00ed 100.17 \u2013 105.83) nebo -183 USD na stran\u011b Put (cenov\u00e9 rozmez\u00ed 92.83 \u2013 89.17). Proto\u017ee se jedn\u00e1 o s\u00e1zku na pohyb v\u00a0r\u00e1mci pravd\u011bpodobnosti 95% nebo naopak na neo\u010dek\u00e1van\u00fd a zna\u010dn\u00fd pohyb mimo hranice dan\u00e9 t\u00e9m\u011b\u0159 99% pravd\u011bpodobnost\u00ed, bude tato technika z\u0159ejm\u011b vhodn\u00e1 pro tituly, od kter\u00fdch m\u016f\u017eeme o\u010dek\u00e1vat t\u00e9m\u011b\u0159 cokoliv co si jen jde p\u0159edstavit<\/strong>. Op\u011bt pak samoz\u0159ejm\u011b plat\u00ed, \u017ee \u010d\u00edm v\u00edce pr\u00e9mia (jako kreditu z\u00a0cel\u00e9ho po\u0159\u00edzen\u00ed) z\u00edsk\u00e1me, t\u00edm men\u0161\u00ed m\u016f\u017eeme m\u00edt o\u010dek\u00e1v\u00e1n\u00ed o budouc\u00edm pohybu po Earnings a tak\u00e9 samoz\u0159ejm\u011b plat\u00ed, \u017ee pokud by se mi poda\u0159ilo z\u00edskat takov\u00e9 pr\u00e9mium, \u017ee bude vy\u0161\u0161\u00ed ne\u017e je v\u011bt\u0161\u00ed z\u00a0rozsah\u016f strike opc\u00ed na n\u011bkter\u00e9 ze stran op\u010dn\u00edho \u0159et\u011bzce (v m\u00e9m p\u0159\u00edpad\u011b m\u00e1 vy\u0161\u0161\u00ed rozsah Call Credit Spread, a to 3 body = 300 USD), mohl bych pak jenom vy\u010dk\u00e1vat, kolik mi obchod nad\u011bl\u00ed mimo\u0159\u00e1dn\u00e9ho profitu p\u0159i n\u011bjak\u00e9m velmi neo\u010dek\u00e1van\u00e9m pohybu, o t\u00e9to snaze ale n\u011bkdy p\u0159\u00ed\u0161t\u011b.<\/span><\/p>\n

\n

Backtest<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Vybral jsem si k\u00a0proveden\u00ed backtestu na posledn\u00edch dvaceti vyhl\u00e1\u0161en\u00edch Earnings op\u011bt stejn\u00e9 spole\u010dnosti, jako v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm \u010dl\u00e1nku Earnings \u2013 II.<\/strong><\/a> Backtest jsem prov\u00e1d\u011bl na opc\u00edch s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed (weeklys opce) a anal\u00fdzu jsem rozd\u011blil v\u017edy na dv\u011b konkr\u00e9tn\u00ed f\u00e1ze, jak by vypadala pozice v\u00a0den vyhl\u00e1\u0161en\u00ed Earnings<\/strong>\u00a0(na Close tohoto dne) a jak by dopadla cel\u00e1 pozice p\u0159i sv\u00e9 expiraci (Close p\u00e1tek). Jedn\u00e1 se ve v\u0161ech p\u0159\u00edpadech o pozice s\u00a0jedn\u00edm, resp. se dv\u011bma kontrakty, tak jak jsou zobrazeny na obr\u00e1zc\u00edch pro jednotliv\u00e9 typy strategi\u00ed<\/span><\/p>\n

\u00a0\u00a0 Testovan\u00e9 spole\u010dnosti jsou CAT (Caterpillar Inc), <\/strong>jako z\u00e1stupce typick\u00e9 a v\u00a0r\u00e1mci rozumn\u00fdch mo\u017enost\u00ed p\u0159edv\u00eddateln\u00e9 firmy, kter\u00e1 um\u00ed p\u0159edv\u00e9st p\u011bkn\u00e9 pohyby aby se nap\u0159\u00edklad v\u00a0n\u011bkter\u00fdch p\u0159\u00edpadech nepohnula t\u00e9m\u011b\u0159 v\u016fbec. Dal\u0161\u00ed spole\u010dnost\u00ed je IBM (Intl Bussines Machines Com),<\/strong> jako zaveden\u00e1 spole\u010dnost produkuj\u00edc\u00ed software a hardware, kter\u00e1 v\u0161ak neust\u00e1le nad r\u00e1mec o\u010dek\u00e1v\u00e1n\u00ed ve sv\u00e9 dvacetin\u00e1sobn\u00e9 v\u00fdsledkov\u00e9 historii spolehliv\u011b selh\u00e1vala. T\u0159et\u00ed testovanou spole\u010dnost\u00ed je NFLX (Netflix Com)<\/strong>. Um\u00ed p\u0159edv\u00e9st t\u00e9m\u011b\u0159 v\u0161e, co si lze p\u0159edstavit, obrovsk\u00e9 pohyby v\u00a0nevyzpytateln\u00fdch sm\u011brech v\u00a0naprost\u00e9m nesouladu s\u00a0o\u010dek\u00e1v\u00e1n\u00edm investor\u016f, obrovsk\u00e1 pr\u00e9mia zp\u016fsoben\u00e1 obrovskou hodnotou Implied Volatility jakoby p\u0159\u00edmo vyb\u00edzela prod\u00e1vat opce na tento podklad za velmi \u0161t\u011bdr\u00e1 pr\u00e9mia s\u00a0p\u0159edpokladem, \u017ee \u201etentokr\u00e1t to snad nebude tak divok\u00e9\u201c jako minule. \u017de to bylo leckdy divok\u00e9 op\u011bt, a je\u0161t\u011b v\u00edce ne\u017e minule nemus\u00edm ani dod\u00e1vat\u2026<\/span><\/p>\n

\u00a0\u00a0 V\u00fdsledky backtestu op\u011bt nebudu dokl\u00e1dat tabulkami s\u00a0\u010d\u00edsly, proto\u017ee by to bylo velmi nep\u0159ehledn\u00e9 a v\u00a0z\u00e1plav\u011b \u010d\u00edsel by se mohl ztratit p\u016fvodn\u00ed smysl cel\u00e9ho \u010dl\u00e1nku \u2013 uk\u00e1zat, jestli takov\u00e9 p\u0159\u00edstupy ve sv\u00fdch principech funguj\u00ed a jestli jsou alespo\u0148 tro\u0161ku smyslupln\u00e9. Omezil jsem se op\u011bt na jednoduchou grafickou vizualizaci v\u00fdsledk\u016f takov\u00e9 anal\u00fdzy na historick\u00fdch datech, kdy v\u00a0jednotliv\u00fdch grafech pro ka\u017edou spole\u010dnost je k\u00a0porovn\u00e1n\u00ed situace na Close v\u00a0den vyhl\u00e1\u0161en\u00ed Earnings a n\u00e1sledn\u011b v\u00a0druh\u00e9m grafu je zn\u00e1zorn\u011bn\u00e1 situace, jak by si jednotliv\u00e1 strategie pro ka\u017edou ze spole\u010dnost\u00ed vedla p\u0159i sv\u00e9 expiraci. Logika backtestu byla takov\u00e1, \u017ee jsem jak p\u0159i Close na Earnings (prvn\u00ed graf) likvidoval jen takovou Short opci a Long opci, jej\u00ed\u017e strike byl prora\u017een, stejn\u011b tak v\u00a0druh\u00e9m grafu je zobrazena situace, kdy p\u0159i expira\u010dn\u00edm p\u00e1tku mus\u00edm vynalo\u017eit prost\u0159edky na uzav\u0159en\u00ed takov\u00e9 Short opce, kter\u00e9 by byly v\u00a0pen\u011bz\u00edch, v\u00a0p\u0159\u00edpad\u011b Long opc\u00ed \u201ev pen\u011bz\u00edch\u201c pak samoz\u0159ejm\u011b p\u0159i\u010d\u00edt\u00e1m tr\u017ebu z\u00a0takto \u00fasp\u011b\u0161n\u00e9 opce.<\/span><\/p>\n

CAT (Caterpillar Inc)<\/strong><\/span><\/h3>\n

\"\"<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 <\/strong>Pohled na titul CAT podle prvn\u00edho grafu p\u0159in\u00e1\u0161\u00ed velmi pozitivn\u00ed zji\u0161t\u011bn\u00ed. Pokud bych jakoukoliv ze strategi\u00ed likvidoval ihned na Close v\u00a0den vyhl\u00e1\u0161en\u00ed Earnings, ka\u017ed\u00e1 z\u00a0nich by v\u00a0sou\u010dtu p\u0159inesla profit<\/strong>. \u010c\u00e1stku p\u0159evy\u0161uj\u00edc\u00ed hodnotu +700 USD p\u0159i dvacetin\u00e1sobn\u00e9m obchodu bychom doc\u00edlili jak prost\u00fdm Short Straddle, tak Backspreadem s\u00a0opcemi ve 2.SD a 3.SD. To je velmi impozantn\u00ed zji\u0161t\u011bn\u00ed, nejrizikov\u011bj\u0161\u00ed a nejkonzervativn\u011bj\u0161\u00ed strategie se chovaj\u00ed ve v\u00fdsledku t\u00e9m\u011b\u0159 stejn\u011b, v\u00fdj\u00edmkou je pouze tvar celkov\u00e9 equity k\u0159ivky obou technik. Rozt\u0159esen\u00e1 tlust\u00e1 \u010derven\u00e1 k\u0159ivka ATM Short Straddle versus celkem plynul\u00e1 zelen\u00e1 k\u0159ivka Backspreadu. Je to zp\u016fsobeno t\u00edm, \u017ee pokud byla na Short Straddle ztr\u00e1ta, byla v\u011bt\u0161\u00ed a naopak, pokud byl vytvo\u0159en profit, tento byl tak\u00e9 hmatateln\u011bj\u0161\u00ed. Opakem je opatrn\u00fd Backspread, kde jsem sb\u00edral vcelku mal\u00e1 pr\u00e9mia a pokud vznikla n\u011bjak\u00e1 ztr\u00e1ta, tak tak\u00e9 nebyla n\u011bjak podstatn\u00e1, pohyby po Earnings se toti\u017e odehr\u00e1val t\u00e9m\u011b\u0159 v\u00fdhradn\u011b ve vyty\u010den\u00fdch cenov\u00fdch p\u00e1smech a pokud z\u00a0n\u011bj vybo\u010dily, nezp\u016fsobily t\u00e9m\u011b\u0159 \u017e\u00e1dn\u00e9 v\u00e1\u017en\u00e9 \u0161kody.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0druh\u00e9m grafu CAT ji\u017e vid\u00edme pochmurn\u011bj\u0161\u00ed obr\u00e1zek, kter\u00fd zobrazuje osud v\u0161ech technik p\u0159i p\u00e1te\u010dn\u00edm Close. Proto\u017ee jsem ji\u017e v\u00a0minul\u00fdch p\u0159\u00edsp\u011bvc\u00edch psal, \u017ee trend sm\u011bru ceny z\u016fst\u00e1v\u00e1<\/strong> bezprost\u0159edn\u011b po Earnings obecn\u011b nezm\u011bn\u011bn<\/strong>, projevuje se tato tendence tak\u00e9 na t\u00e9to anal\u00fdze. V\u0161echny strategie, mimo strategii s\u00a0v\u00fdpisem opc\u00ed ve vzd\u00e1lenosti 2.SD z\u016fst\u00e1vaj\u00ed prod\u011ble\u010dn\u00e9 a p\u0159inesly by ve sv\u00e9m sou\u010dtu ztr\u00e1tu. V\u00fdd\u011ble\u010dn\u00e9 strategie –\u00a0Short Strangle s\u00a0opcemi na 2.SD<\/strong> a Backspread 2.SD+2*3SD <\/strong>–\u00a0naopak potvrzuj\u00ed, \u017ee cenov\u00fd pohyb v\u00a0rozsahu dan\u00e9m druhou sm\u011brodatnou odchylkou by mohl m\u00edt v\u00a0p\u0159\u00edpad\u011b klidn\u00e9ho titulu, jak\u00fdm bych mohl titul CAT ozna\u010dit, celkem smysl. Celkov\u00fdm v\u00edt\u011bzem by pak m\u011bl b\u00fdt Backspread s\u00a0opcemi ve 2.SD a 3.SD<\/strong><\/span>, kter\u00fd si vedl dob\u0159e v\u00a0obou p\u0159\u00edpadech (s profitem +786 USD resp. +580 USD)<\/span><\/p>\n

IBM (Intl Bussines Machines Com)<\/strong><\/span><\/h3>\n

\"\"<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 <\/strong>Nem\u00e9n\u011b pozoruhodn\u00fd pohled na vyhodnocen\u00ed jednotliv\u00fdch obchodn\u00edch p\u0159\u00edstup\u016f nab\u00edz\u00ed pohled na souhrnn\u00e9 v\u00fdsledky titulu IBM. P\u0159i pozorov\u00e1n\u00ed a vyhodnocen\u00ed na Close p\u0159i vyhl\u00e1\u0161en\u00ed Earnings si nejl\u00e9pe vedly<\/strong> op\u011bt Short Strangle s\u00a0opcemi na 2.SD<\/strong> a Backspread 2.SD+2*3SD<\/strong>, s t\u00e9m\u011b\u0159 podobn\u00fdm v\u00fdsledkem se tak\u00e9 da\u0159ilo strategii s\u00a0dv\u011bma Creditn\u00edmi Spready. IBM toti\u017e i p\u0159es zklam\u00e1n\u00ed s\u00a0o\u010dek\u00e1van\u00fdmi v\u00fdsledky m\u011bla tendenci z\u016fst\u00e1vat t\u011bsn\u011b po Earnings ve vyzna\u010den\u00fdch p\u00e1smech pravd\u011bpodobnosti. Creditn\u00edm Spread\u016fm pomohla obdob\u00ed, kdy zklam\u00e1n\u00ed z\u00a0v\u00fdsledk\u016f se nedostavilo, ale pohyb na podkladu byl velmi mal\u00fd. Nejlep\u0161\u00ed<\/strong> strategie Backspread 2.SD+2*3SD<\/strong><\/span> pak op\u011bt t\u011b\u017eila z\u00a0pohybu vyty\u010den\u00e9m dv\u011bma sm\u011brodatn\u00fdmi odchylkami, kdy pouze ve dvou p\u0159\u00edpadech byly k\u00a0u\u017eitku Long opce, jejich\u017e prora\u017een\u00edm a n\u00e1sledn\u00fdm prodejem bylo dod\u00e1no k\u00a0celkov\u00e9mu v\u00fdsledku pot\u0159ebn\u00e9 pr\u00e9mium, aby celkov\u00e1 jednotliv\u00e1 ztr\u00e1ta nebyla tak v\u00fdrazn\u00e1, jako by byla u Short Strangle s\u00a0opcemi ve 2.SD, kter\u00e1 byla tak\u00e9 \u00fasp\u011b\u0161nou strategi\u00ed, ov\u0161em vylep\u0161en\u00ed jako v\u00a0p\u0159\u00edpad\u011b Backspreadu 2.SD+2*3SD se j\u00ed ji\u017e nedostalo.<\/span><\/p>\n

\u00a0 Situace stejn\u00e9ho titulu IBM p\u0159i expirac\u00ed opc\u00ed jednotliv\u00fdch strategi\u00ed jakoby potvrzovala tvrzen\u00ed p\u0159edest\u0159en\u00e9 u titulu CAT. Pokra\u010dov\u00e1n\u00ed trendu<\/strong> dan\u00e9ho n\u00e1ladou po vyhl\u00e1\u0161en\u00ed Earnings se projevuje v\u00a0nefunk\u010dnosti v\u0161ech taktik, krom\u011b t\u011bch, kter\u00e9 pracuj\u00ed s\u00a0opcemi ve 2. a 3. sm\u011brodatn\u00e9 odchylky. Jasn\u011b nelep\u0161\u00ed<\/strong> je Backspread 2.SD+2*3SD<\/strong><\/span>, kter\u00fd z\u00a0celkov\u00e9 hodnoty zisku +961 USD v\u00a0den Earnings m\u00edrn\u011b klesl na kone\u010dn\u00fdch +858 USD. Short Strangle<\/strong> s\u00a0opcemi ve 2.SD<\/strong> z\u016fstal tak\u00e9 ve sv\u00e9m sou\u010dtu profitabiln\u00ed<\/strong>, kdy\u017e ze sv\u00e9ho v\u00fdkonu +631 USD v\u00a0den Earnings ubral na kone\u010dn\u00fdch +490 USD.<\/span><\/p>\n

NFLX (Netflix Com)<\/strong><\/span><\/h3>\n

\"\"<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 K\u00a0obr\u00e1zk\u016fm vyhodnocen\u00ed anal\u00fdzy na historick\u00fdch datech titulu NFLX jakoby nemuselo b\u00fdt nic dod\u00e1no<\/strong>. Zcela jasn\u00fd d\u016fkaz, jak kombinace jasn\u011b definovan\u00e9 ztr\u00e1ty<\/strong> a mo\u017enosti neomezen\u00e9ho profitu<\/strong> u t\u011b\u017ece nevyzpytateln\u00e9ho titulu p\u0159in\u00e1\u0161\u00ed \u201eobchodn\u00ed ovoce\u201c. Jasn\u00fdmi suver\u00e9ny jsou strategie Backspread 1.SD +2*2SD<\/strong> a Backspread 2.SD +2*3SD<\/strong>. Ob\u011b strategie v\u00a0obou obdob\u00edch \u2013 v\u00a0den Earnings i p\u0159i expirac\u00ed opc\u00ed \u2013 jasn\u011b t\u011b\u017e\u00ed z\u00a0profitu na prora\u017een\u00e9 ochrann\u00e9 Long opci<\/strong>, kter\u00e1 ve v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f hrav\u011b kryje p\u0159edem definovanou ztr\u00e1tu vytvo\u0159enou na Credit Spreadu. Proto\u017ee se op\u011bt potvrdilo, \u017ee trend podkladu, ur\u010den\u00fd trhem podle vyhl\u00e1\u0161en\u00fdch v\u00fdsledk\u016f p\u0159etrval od bezprost\u0159edn\u00edho vyhl\u00e1\u0161en\u00ed a\u017e do expirace opc\u00ed, ob\u011b strategie si tak v\u00a0v\u00a0obdob\u00ed expirace opc\u00ed polep\u0161ily oproti bezprost\u0159edn\u00edmu v\u00fdsledku p\u0159i Earnings. Konkr\u00e9tn\u011b Backspread 1.SD +2*2SD<\/strong> by si polep\u0161ilo z\u00a0celkov\u00fdch prvotn\u00edch +9.277 USD na +15.529 USD<\/strong> a Backspread 2.SD +2*3SD<\/strong> by si sv\u00fdch p\u016fvodn\u00edch \u201epoearnings\u201c +7.916 USD vylep\u0161ilo na \u201eexpira\u010dn\u00edch\u201c +12.045 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Za pov\u0161imnut\u00ed ov\u0161em stoj\u00ed jin\u00fd \u00fakaz. Strategie s Credit Spready na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce by byla ihned po vyhl\u00e1\u0161en\u00ed v\u00fdsledk\u016f tak\u00e9 v\u00a0profitu +827 USD a p\u0159i expiraci by skon\u010dila ztr\u00e1tou -1.757 USD, tato strategie toti\u017e tak\u00e9 pracuje s\u00a0p\u0159edem definovanou hodnotou ztr\u00e1ty<\/strong>. V\u0161echny ostatn\u00ed strategie by v\u00fdrazn\u011b, ale velmi v\u00fdrazn\u011b ztratily. Jedn\u00e1 se toti\u017e o strategie pracuj\u00edc\u00ed s\u00a0neomezenou mo\u017enost\u00ed ztr\u00e1ty zp\u016fsobenou vypisov\u00e1n\u00edm nekryt\u00fdch Short opc\u00ed na obou stran\u00e1ch Call i Put. V\u00a0kombinac\u00ed s\u00a0neur\u010ditost\u00ed o\u010dek\u00e1van\u00e9ho pohybu by to bylo pravd\u011bpodobn\u011b dosti drah\u00e9 zji\u0161t\u011bn\u00ed, \u017ee takto se tento titul (a jemu podobn\u00e9) obchodovat ned\u00e1. Strategie ATM Short Straddle, Short Strangle s\u00a0opcemi na strike na \u00farovni 1.SD nebo Short Strangle s\u00a0opcemi na strike na \u00farovni 2.SD by skon\u010dily ve v\u0161ech p\u0159\u00edpadech ztr\u00e1tou<\/strong> podstatn\u011b vy\u0161\u0161\u00ed ne\u017e je -10.000 USD<\/strong>.<\/span><\/p>\n

\n

\u00a0\u00a0 K obchodov\u00e1n\u00ed Earnings za pou\u017eit\u00ed vypisov\u00e1n\u00ed Short opc\u00ed je nutn\u00e9 p\u0159istupovat s\u00a0velkou obez\u0159etnost\u00ed a chladnou hlavou. Pokud bych vyhodnotil v\u00fd\u0161e uveden\u00e9 p\u0159\u00edstupy a srovnal je se strategiemi z\u00a0minul\u00e9ho \u010dl\u00e1nku, za\u010d\u00ednaj\u00ed se mi r\u00fdsovat jak\u00e9si podstatn\u00e9 vlastnosti op\u010dn\u00edch kombinac\u00ed, jak\u00e9 by mohly polo\u017eit z\u00e1klady dobr\u00e9ho obchodov\u00e1n\u00ed t\u00e9to fundament\u00e1ln\u00ed zpr\u00e1vy. Spolehnout se na zna\u010dn\u00fd pohyb a pokusit se jej zobchodovat pomoc\u00ed Long opc\u00ed vypad\u00e1, \u017ee nen\u00ed \u00fapln\u011b \u0161patn\u00e9, ale Long opce jsou t\u011bsn\u011b p\u0159ed Earnings dosti drah\u00e9. Naopak, spolehnout se na vypsan\u00e1 pr\u00e9mia Short opc\u00ed t\u011bsn\u011b p\u0159ed Earnings, kdy jsou tato pr\u00e9mia nejvy\u0161\u0161\u00ed, je zase velmi riskantn\u00ed a m\u016f\u017ee zp\u016fsobit opravdu z\u00e1vratn\u00e9 \u0161kody. Kombinace obou typu opc\u00ed je sch\u016fdn\u00e1 cesta, ale mus\u00ed se v\u00a0dan\u00fd okam\u017eik pou\u017e\u00edt ta spr\u00e1vn\u00e1 kombinace u spr\u00e1vn\u00e9ho typu obchodovan\u00e9 spole\u010dnosti. Tudy by mohla cesta v\u00e9st, to nevypad\u00e1 \u00fapln\u011b nejh\u016f\u0159. Z\u00e1kladn\u00edm kamenem zkouman\u00fdch p\u0159\u00edstup\u016f se ale zd\u00e1 celkem logick\u00e9 zji\u0161t\u011bn\u00ed, \u017ee nejl\u00e9pe a tak\u00e9 nejspolehliv\u011bji by mohly fungovat strategie<\/strong> maj\u00edc\u00ed jasn\u011b definovan\u00e9 riziko<\/strong> a jasn\u011b definovanou mo\u017enost profitu<\/strong> (nejl\u00e9pe profitu neomezen\u00e9ho). Uvid\u00edme, jestli se to v\u0161echno bude d\u00e1t je\u0161t\u011b o mal\u00fd kousek vylep\u0161it\u2026. :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":687,"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":[35],"tags":[36,18],"class_list":["post-671","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\/08\/E3.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-aP","jetpack-related-posts":[{"id":637,"url":"https:\/\/dobretrejdy.com\/?p=637","url_meta":{"origin":671,"position":0},"title":"Earnings – II.","author":"dobretrejdy :c)","date":"30.7.2017","format":false,"excerpt":"\u00a0 \u00a0\"Pr\u00e1ce hyzd\u00ed\u201c \u2013 prohl\u00e1sil Kr\u00e1sn\u00fd Princ v\u00a0poh\u00e1dce Byl jednou jeden kr\u00e1l. Pron\u00e9st tuto zcela holou v\u011btu si ov\u0161em mohl dovolit, asi proto, \u017ee se nach\u00e1zel v\u00a0poh\u00e1dkov\u00e9 \u0159\u00ed\u0161i a byl pravd\u011bpodobn\u011b poh\u00e1dkov\u011b zabezpe\u010den. Trading ale nen\u00ed proch\u00e1zka po Disneylandu nebo sledov\u00e1n\u00ed argentinsk\u00e9 telenovely, trading je p\u0159edev\u0161\u00edm velmi tvrd\u00e1 pr\u00e1ce. \u201eNev\u011b\u0159\u00edm\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\/E-ek2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/E-ek2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/E-ek2.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":614,"url":"https:\/\/dobretrejdy.com\/?p=614","url_meta":{"origin":671,"position":1},"title":"Earnings – I.","author":"dobretrejdy :c)","date":"17.7.2017","format":false,"excerpt":"\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\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\/E-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/E-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/E-1.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":783,"url":"https:\/\/dobretrejdy.com\/?p=783","url_meta":{"origin":671,"position":2},"title":"Earnings – VI.","author":"dobretrejdy :c)","date":"17.9.2017","format":false,"excerpt":"\u00a0 Zlat\u00e1 fyzika. Pokud pojedu z\u00a0Prahy do Brna a v\u00edm, \u017ee je to 200 km, tak pokud pojedu stovkou, budu tam za dv\u011b hodiny. K\u00a0tomu sta\u010d\u00ed pr\u016fm\u011brn\u00e9mu fyzikovi jednoduch\u00fd vzorec o vztahu rychlosti a vzd\u00e1lenosti mezi dv\u011bma pevn\u00fdmi body trasy. Pokud bych si, jako fyzik, takovou cestovatelskou ud\u00e1lost cht\u011bl modelovat,\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\/E-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":694,"url":"https:\/\/dobretrejdy.com\/?p=694","url_meta":{"origin":671,"position":3},"title":"Earnings – IV.","author":"dobretrejdy :c)","date":"30.8.2017","format":false,"excerpt":"\u00a0 \u00a0Vypad\u00e1 to, jako bych se vzdaloval p\u016fvodn\u00ed my\u0161lence o obchodov\u00e1n\u00ed volatility, jako element\u00e1rn\u00edmu prvku a z\u00e1kladn\u00edho stavebn\u00edho kamene op\u010dn\u00edch obchod\u016f a vytv\u00e1\u0159el ve sv\u00fdch dvou p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nc\u00edch jak\u00e9si komplikovan\u00e9 anal\u00fdzy na historick\u00fdch datech, kter\u00e9 nav\u00edc ukazuj\u00ed, \u017ee takov\u00e9 testovan\u00e9 obchodovan\u00e9 strategie n\u011bjak pou\u017eiteln\u011b nefunguj\u00ed. Pokud tvrd\u00edm \u201eA\u201c a existuje\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\/E4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/08\/E4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/08\/E4.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":733,"url":"https:\/\/dobretrejdy.com\/?p=733","url_meta":{"origin":671,"position":4},"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":551,"url":"https:\/\/dobretrejdy.com\/?p=551","url_meta":{"origin":671,"position":5},"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":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/671","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=671"}],"version-history":[{"count":7,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/671\/revisions"}],"predecessor-version":[{"id":7167,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/671\/revisions\/7167"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/687"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=671"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=671"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=671"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}