{"id":7097,"date":"2024-05-20T11:48:17","date_gmt":"2024-05-20T09:48:17","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7097"},"modified":"2024-08-18T17:12:56","modified_gmt":"2024-08-18T15:12:56","slug":"dluhopisy-xviii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7097","title":{"rendered":"Dluhopisy \u2013 XVIII."},"content":{"rendered":"

\u00a0\u00a0 Sv\u011bt dluhopisov\u00fdch deriv\u00e1t\u016f je v\u00edce ne\u017e flexibiln\u00ed. V minul\u00fdch \u010dl\u00e1nc\u00edch jsem popisoval existenci a z\u00e1kladn\u00ed mo\u017enosti nakl\u00e1d\u00e1n\u00ed s \u201evelk\u00fdm\u201c dluhopisov\u00fdm US Treasury futures<\/strong> kontraktem, jeho\u017e podkladov\u00fdm aktivem p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed je p\u0159\u00edslu\u0161n\u00fd americk\u00fd vl\u00e1dn\u00ed dluhopis s Face Value 100.000 USD vybran\u00fd z ko\u0161e odpov\u00eddaj\u00edc\u00edch emis\u00ed (Delivery Basket) upraven\u00fd o koeficient nazvan\u00fd Conversion Factor. Proto\u017ee je mo\u017enost obchodov\u00e1n\u00ed zalo\u017eena na podkladov\u00e9m aktivu – americk\u00e9m vl\u00e1dn\u00edm dluhopisu, jeho\u017e cena se pohybuje v p\u0159\u00edpad\u011b dod\u00e1n\u00ed kolem 100.000,- USD, zd\u00e1lo se, \u017ee takto vysok\u00e1 suma pro p\u0159\u00edpadn\u00e9 obchody s kombinacemi dluhopis vers. futures, kter\u00e9 jsem v \u010dl\u00e1nc\u00edch popisoval, se zd\u00e1la pro ni\u017e\u0161\u00ed a nejb\u011b\u017en\u011bj\u0161\u00ed tradersk\u00e9 \u00fa\u010dty nemo\u017en\u00e1 pr\u00e1v\u011b pro tuto kapit\u00e1lovou n\u00e1ro\u010dnost. Pouze pro dopln\u011bn\u00ed a zopakov\u00e1n\u00ed je\u0161t\u011b p\u0159ipomenu, \u017ee hodnota Treasury futures kop\u00edruje cenu<\/strong> podkladov\u00e9ho aktiva \u2013 p\u0159\u00edslu\u0161n\u00e9ho podkladov\u00e9ho americk\u00e9ho vl\u00e1dn\u00edho dluhopisu, tedy nikoliv jeho v\u00fdnos, a to nejv\u011brn\u011bji takov\u00e9ho dluhopisu z mo\u017en\u00e9 mno\u017einy dod\u00e1van\u00fdch dluhopis\u016f, kter\u00fd je aktu\u00e1ln\u011b pro toto dod\u00e1n\u00ed nejvhodn\u011bj\u0161\u00ed (Cheapest-To-Delivery). Tuto mechaniku jsem konkr\u00e9tn\u011b popisoval v prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV<\/a><\/strong><\/span>. Vy\u0161\u0161\u00ed kapit\u00e1lov\u00e1 n\u00e1ro\u010dnost v p\u0159\u00edpad\u011b, \u017ee chci Treasury futures hed\u017eovat dluhopisy nebo dluhopisy hed\u017eovat Treasury futures byla nahrazena pozn\u00e1n\u00edm popsan\u00fdm v p\u0159edch\u00e1zej\u00edc\u00edm \u010dl\u00e1nku Dluhopisy \u2013 XVII.<\/a><\/strong><\/span>, kdy jsem se pokou\u0161el popsat jin\u00fd dluhopisov\u00fd deriv\u00e1t \u2013 Yield futures<\/strong>, kter\u00fd kop\u00edruje<\/strong> nikoliv cenu podkladov\u00fdch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, ale jejich aktu\u00e1ln\u00ed v\u00fdnos<\/strong>. Mohu tak nakl\u00e1dat s americk\u00fdmi vl\u00e1dn\u00edmi dluhopisy s daleko men\u0161\u00ed kapit\u00e1lovou n\u00e1ro\u010dnost\u00ed a p\u0159itom se mohu sna\u017eit o stejn\u00e9 obchody, tedy pokusit se zobchodovat pohyby v\u00fdnos\u016f t\u011bchto dluhopis\u016f nikoliv formou zachycen\u00ed zm\u011bny ceny podkladov\u00e9ho dluhopisu, ale pr\u00e1v\u011b pouze prov\u00e1d\u011bt obchody na b\u00e1zi zm\u011bny jejich v\u00fdnos\u016f. P\u0159esto\u017ee jsou tyto Yield futures pom\u011brn\u011b mlad\u00fdm dluhopisov\u00fdm deriv\u00e1tem a jejich obliba v\u00fdznamn\u011b roste, p\u0159i\u0161la CME, z\u0159ejm\u011b na z\u00e1klad\u011b stesk\u016f a po\u017eadavk\u016f m\u00e9n\u011b kapitalizovan\u00fdch trader\u016f, s dal\u0161\u00edmi dluhopisov\u00fdmi deriv\u00e1ty \u2013 Micro Ultra 10-Year U.S. Treasury Note Futures<\/strong> a Micro Ultra U.S. Treasury Bond Futures<\/strong>. 25.3.2024, tedy p\u0159ed dv\u011bma m\u011bs\u00edci z pohledu \u010dasu, kdy p\u00ed\u0161u tento \u010dl\u00e1nek, bylo spou\u0161t\u011bno obchodov\u00e1n\u00ed s t\u011bmito deriv\u00e1ty a pokud jsem v minul\u00e9m \u010dl\u00e1nku Dluhopisy \u2013 XVII.<\/a><\/strong><\/span> varoval, \u017ee Yield futures nejsou v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b desetinou \u201evelk\u00fdch\u201c Treasury futures, tak pr\u00e1v\u011b tyto nov\u011b spu\u0161t\u011bn\u00e9 Micro futures kontrakty jimi p\u0159esn\u011b jsou. T\u0159et\u00ed dluhopisov\u00fd deriv\u00e1t si ur\u010dit\u011b najde sv\u00e9 m\u00edsto v\u00a0obchodn\u00ed praxi stejn\u011b, jako si je na\u0161ly Yield futures, mysl\u00edm tedy, \u017ee nebude na \u0161kodu tento nov\u00fd produkt prozkoumat v\u00edce do hloubky, zejm\u00e9na s\u00a0ohledem na skute\u010dnost, \u017ee tyto Micro futures mohu obchodovat u sv\u00e9ho brokera Interactive Brokers, jak je ostatn\u011b patrn\u00e9 z\u00a0obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Je tak na prvn\u00ed pohled patrn\u00e9, \u017ee ka\u017ed\u00e9 z nov\u011b vytvo\u0159en\u00e9ho Micro futures m\u00e1 prozat\u00edm k dispozici \u010dasovou strukturu obsahuj\u00edc\u00ed pouze dva kontrakty<\/strong>, tedy nyn\u00ed aktu\u00e1ln\u00ed JUN24 a n\u00e1sledn\u00fd SEP24. N\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku budou v\u00edcem\u00e9n\u011b encyklopedick\u00fdm sezn\u00e1men\u00edm se s t\u011bmito deriv\u00e1tov\u00fdmi novinkami, jejich p\u0159\u00edpadn\u00e9 zapojen\u00ed do praxe pak aktu\u00e1ln\u011b ponech\u00e1m na fantazii ka\u017ed\u00e9ho \u010dten\u00e1\u0159e, nicm\u00e9n\u011b ve sv\u011btle budouc\u00edho pozn\u00e1n\u00ed dal\u0161\u00edch dluhopisov\u00fdch deriv\u00e1t\u016f, zejm\u00e9na dluhopisov\u00fdch opc\u00ed, je nevyhnuteln\u00e9, aby popis t\u011bchto deriv\u00e1t\u016f na t\u011bchto webov\u00fdch str\u00e1nk\u00e1ch nechyb\u011bl.<\/span><\/p>\n

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\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0Micro Ultra 10-Year U.S. Treasury Note Futures<\/strong><\/span><\/h1>\n

\u00a0 \u00a0P\u0159ed prohl\u00e1\u0161en\u00edm, \u017ee Micro Ultra 10-Year U.S. Treasury Note Futures<\/strong> je jednou desetinou<\/strong> \u201evelk\u00e9ho\u201c dluhopisov\u00e9ho destilet\u00e9ho Treasury futures<\/strong> stoj\u00ed za prozkoum\u00e1n\u00ed, kter\u00fd to vlastn\u011b je. Na burze CME a pota\u017emo v m\u00e9 obchodn\u00ed platform\u011b toti\u017e mohu obchodovat dv\u011b \u201evelk\u00e1\u201c desetilet\u00e1 Treasury futures:<\/span><\/p>\n

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\u00a0\u00a0 Klasick\u00e9<\/strong> desetilet\u00e9 Treasury futures s\u00a0ozna\u010den\u00edm ZN<\/strong> se aktu\u00e1ln\u011b v\u00a0cen\u011b zna\u010dn\u011b odli\u0161uje od Ultra<\/strong> desetilet\u00e9ho Treasury futures s\u00a0ozna\u010den\u00edm TN<\/strong>, p\u0159i\u010dem\u017e rozd\u00edl je v\u00edce ne\u017e t\u0159i body, tedy v\u00edce ne\u017e t\u0159i tis\u00edce dolar\u016f, tak\u017ee prozkoum\u00e1n\u00ed, \u010deho je aktu\u00e1ln\u011b popisovan\u00e9 desetilet\u00e9 Micro futures desetinou je zcela jist\u011b na m\u00edst\u011b. Pokud se vr\u00e1t\u00edm ke specifikaci jednotliv\u00fdch \u201evelk\u00fdch\u201c futures Treasury kontrakt\u016f obchodovan\u00fdch na CME, mohu pak vypozorovat n\u00e1sleduj\u00edc\u00ed skute\u010dnosti:<\/span><\/p>\n

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\u00a0\u00a0 Desetilet\u00e9 futures (ZN) se od Ultra desetilet\u00e9ho futures (TN) li\u0161\u00ed p\u0159edev\u0161\u00edm rozsahem ko\u0161e dod\u00e1van\u00fdch dluhopis\u016f<\/strong>, kter\u00e9 toto ka\u017ed\u00e9 jednotliv\u00e9 futures n\u00e1sleduje. ZN futures<\/strong> je mo\u017en\u00e9 vypo\u0159\u00e1dat z\u00a0ko\u0161e americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f se splatnost\u00ed 6 a p\u016fl a\u017e osm let<\/strong>, kde\u017eto Ultra futures<\/strong> s\u00a0ozna\u010den\u00edm TN<\/strong> bude vypo\u0159\u00e1d\u00e1no americk\u00fdmi vl\u00e1dn\u00edmi dluhopisy se splatnost\u00ed 9-5\/12 a\u017e deset let<\/strong>. Odli\u0161nost rozsahu Delivery Basket, tedy skupiny dluhopis\u016f, kter\u00e9 ka\u017ed\u00e9 toto futures sleduje, se pak samoz\u0159ejm\u011b projevuje do odli\u0161n\u00fdch vlastnost\u00ed t\u011bchto desetilet\u00fdch futures. Micro Ultra 10-Year U.S. Treasury Note Futures<\/strong>, tedy Micro futures, kter\u00e9 nyn\u00ed popisuji, pak je desetinou Ultra \u201evelk\u00e9ho\u201c desetilet\u00e9ho dluhopisov\u00e9ho futures<\/strong> s\u00a0ozna\u010den\u00edm TN<\/strong> a nikoliv klasick\u00e9ho (a v\u00edce obchodovan\u00e9ho) desetilet\u00e9ho Treasury futures s\u00a0ozna\u010den\u00edm ZN. Mohu pak pro jednoduchost prohl\u00e1sit, \u017ee Ultra desetilet\u00e9 futures, d\u00edky ko\u0161i dluhopis\u016f s\u00a0del\u0161\u00ed splatnost\u00ed ne\u017e jsou dluhopisy ur\u010den\u00e9 pro vypo\u0159\u00e1d\u00e1n\u00ed ZN futures, budou m\u00edt v\u011bt\u0161\u00ed citlivost na pohyb tr\u017en\u00edch \u00farokov\u00fdch sazeb<\/strong> na dluhopisech s\u00a0desetiletou splatnost\u00ed, co\u017e by se m\u011blo projevovat zejm\u00e9na vy\u0161\u0161\u00ed durac\u00ed a tedy vy\u0161\u0161\u00ed hodnotou DV01<\/strong> (Dollar Value of A One-Basis Point Change). Mohu si tuto skute\u010dnost ov\u011b\u0159it na str\u00e1nk\u00e1ch CME v sekci Treasury Analytics<\/a><\/strong><\/span>: \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Klasick\u00e9<\/strong> desetilet\u00e9 Treasury futures ZN<\/strong> aktu\u00e1ln\u011b vykazuje DV01 ve v\u00fd\u0161i 62,72 USD a jednodu\u0161e to znamen\u00e1, \u017ee pohyb \u00farokov\u00fdch sazeb na dluhopisech s desetiletou splatnost\u00ed o jeden bazick\u00fd bod zm\u011bn\u00ed cenu tohoto ZN futures o +\/-62.72 USD. Mohu pak stejn\u011b prozkoumat hodnotu DV01 pro Ultra desetilet\u00e9ho Treasury futures<\/strong> s ozna\u010den\u00edm TN<\/strong>, jeho\u017e desetinou je pr\u00e1v\u011b popisovan\u00e9 Micro futures:<\/span><\/p>\n

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\u00a0\u00a0 Ultra desetilet\u00e9 Treasury futures<\/strong> vykazuje DV01<\/strong> s\u00a0hodnotou 84,73 USD<\/strong> a bude to pak znamenat (na rozd\u00edl od DV01 pro futures ZN s hodnotou 62,72 USD), \u017ee pohyb na \u00farokov\u00fdch sazb\u00e1ch pro desetilet\u00e9 splatnosti o jeden bazick\u00fd bod bude ocen\u011bno zm\u011bnou TN futures o +\/- 84,73 USD, tedy v\u00edce o ne\u017e o dvacet dolar\u016f v\u00edce ne\u017e desetilet\u00e9 futures ZN, volatilita ceny tohoto dluhopisov\u00e9ho futures pak bude vzhledem k pohyb\u016fm tr\u017en\u00edch \u00farokov\u00fdch sazeb daleko vy\u0161\u0161\u00ed. Mus\u00edm m\u00edt proto na pam\u011bti, \u017ee Micro Ultra 10-Year U.S. Treasury Note Futures je desetinnou frakc\u00ed volatiln\u011bj\u0161\u00edho \u201evelk\u00e9ho\u201c dluhopisov\u00e9ho Treasury futures s ozna\u010den\u00edm TN a nikoliv b\u011b\u017en\u011bj\u0161\u00edho a obchodovan\u011bj\u0161\u00edho Treasury futures kontraktu s ozna\u010den\u00edm ZN.<\/span><\/p>\n

\u00a0\u00a0 Micro Ultra 10-Year U.S. Treasury Note Futures je tak t\u0159et\u00edm dluhopisov\u00fdm deriv\u00e1tem, kter\u00fd zde na webu popisuji a pokus\u00edm se nyn\u00ed podle obr\u00e1zku z CME zachytit z\u00e1kladn\u00ed vlastnosti v\u0161ech t\u0159\u00ed investi\u010dn\u00edch n\u00e1stroj\u016f tak, jak jej do tohoto zobrazen\u00ed popsali jeho tv\u016frci:<\/span><\/p>\n

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\u00a0 Mimo informace v obr\u00e1zku by pak m\u011blo b\u00fdt logick\u00e9, \u017ee pokud jsou listov\u00e1ny kontrakty na desetilet\u00e9m dluhopisov\u00e9m Treasury futures s expirac\u00ed v MAY<\/strong>, JUN<\/strong>, SEP a DEC<\/strong>, tedy ve \u010dtvrtletn\u00edm cyklu, budou m\u00edt stejnou \u010detnost expirac\u00ed<\/strong> tak\u00e9 jejich desetinov\u00e9 Micro futures<\/strong>. Se stejnou logikou pak bude platit, \u017ee pokud pohyb o jeden bod<\/strong> na velk\u00e9m desetilet\u00e9m Treasury futures TN p\u0159edstavoval pohyb o +\/-1.000 USD<\/strong>, bude stejn\u00fd pohyb o jeden cel\u00fd bod u Micro futures<\/strong> p\u0159edstavovat pohyb +\/-100 USD<\/strong>. V prvn\u00edm sloupci obr\u00e1zku (1)<\/strong><\/span> jsou zachyceny vlastnosti Ultra 10-Year Treasury futures kontraktu, jeho\u017e desetinov\u00fd klon – Micro Ultra 10-Year U.S. Treasury Note Futures – je zobrazen ve vedlej\u0161\u00edm sloupci v \u010derven\u00e9m r\u00e1me\u010dku, v posledn\u00edm sloupci (2)<\/strong><\/span> jsou zachyceny vlastnosti desetilet\u00e9ho Yield futures<\/strong> ( tato jsem popisoval v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span>).<\/span><\/p>\n

Settlement (3)<\/span><\/span><\/strong><\/h3>\n

\u00a0\u00a0 Hlavn\u00edm rozd\u00edlem mezi \u201evelk\u00fdm\u201c a \u201emal\u00fdm\u201c futures spo\u010d\u00edv\u00e1 v\u00a0metod\u011b vypo\u0159\u00e1d\u00e1n\u00ed<\/strong> Micro Ultra 10-Year U.S. Treasury Note Futures (3)<\/span><\/strong>. \u201eVelk\u00fd\u201c Ultra 10-Year Treasury futures kontrakt je vypo\u0159\u00e1d\u00e1v\u00e1n dod\u00e1n\u00edm podkladov\u00e9ho dluhopisu s p\u0159edem ur\u010den\u00e9ho ko\u0161e vhodn\u00fdch dluhopis\u016f, tuto proceduru nakonec ale stejn\u011b nemohu u m\u00e9ho brokera absolvovat, proto\u017ee mi takov\u00e9 fyzick\u00e9 dod\u00e1n\u00ed neumo\u017e\u0148uje a j\u00e1 mus\u00edm nejpozd\u011bji v p\u0159edem stanovenou dobu p\u0159ed procedurou settlement po\u0159\u00edzen\u00fd futures kontrakt uzav\u0159\u00edt jeho likvidac\u00ed na voln\u00e9m trhu. Z\u00e1sadn\u00edm rozd\u00edlem je pak skute\u010dnost, \u017ee Micro Ultra 10-Year U.S. Treasury Note Futures<\/strong>\u00a0(p\u0159edstavuj\u00edc\u00ed desetinu tohoto velk\u00e9ho futures) jsou vypo\u0159\u00e1d\u00e1v\u00e1ny v pen\u011bz\u00edch<\/strong>. Z obr\u00e1zku v\u00fd\u0161e vypl\u00fdv\u00e1, \u017ee vypo\u0159\u00e1d\u00e1n\u00ed<\/strong> je prov\u00e1d\u011bno za cenu<\/strong> pro „velk\u00e9“ Ultra desetilet\u00e9 Treasury Futures<\/strong> s tickerem TN (4)<\/strong><\/span>. Ze specifikace Micro futures pak vypl\u00fdv\u00e1 n\u00ed\u017ee uveden\u00e9:<\/span><\/p>\n

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\u00a0\u00a0 Procedura vypo\u0159\u00e1d\u00e1n\u00ed je ale v t\u00e9to specifikaci velmi obecn\u00e1 a je tak zapot\u0159eb\u00ed jej\u00edmu na\u010dasov\u00e1n\u00ed v\u00edce porozum\u011bt. Je patrn\u00e9, \u017ee se vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00fdch Micro Ultra 10-Year U.S. Treasury Note Futures bude odv\u00edjet od ceny Ultra 10-Year Treasury futures kontraktu a \u017ee konec obchodov\u00e1n\u00ed<\/strong> Micro Ultra 10-Year U.S. Treasury Note Futures spojen\u00e9 s jeho vypo\u0159\u00e1d\u00e1n\u00edm bude o dva obchodn\u00ed dny d\u0159\u00edve<\/strong> ne\u017e je tomu u velk\u00e9ho futures ozna\u010den\u00e9ho stejn\u00fdm m\u011bs\u00edcem dod\u00e1n\u00ed. Pokud tedy pozoruji nyn\u011bj\u0161\u00ed dluhopisov\u00e9 Micro Ultra 10-Year U.S. Treasury Note Futures MTN JUN24, bude jeho vypo\u0159\u00e1d\u00e1n\u00ed nav\u00e1z\u00e1no na \u201evelk\u00e9\u201c Ultra 10-Year Treasury futures s ozna\u010den\u00edm TN JUN24. Na obr\u00e1zku n\u00ed\u017ee jsou ob\u011b futures zobrazena v platform\u011b TWS brokera Interactive Brokers:<\/span><\/p>\n

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\u00a0\u00a0 Zb\u00fdv\u00e1 nyn\u00ed odhalit, v jak\u00e9m konkr\u00e9tn\u00edm \u010dase doch\u00e1z\u00ed k ukon\u010den\u00ed obchodov\u00e1n\u00ed a vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho Micro Ultra 10-Year U.S. Treasury Note Futures kontraktu vzhledem k ukon\u010den\u00ed obchodov\u00e1n\u00ed „velk\u00e9ho“ Ultra 10-Year Treasury futures kontraktu. Na obr\u00e1zku n\u00ed\u017ee je projekce tohoto term\u00ednu pr\u00e1v\u011b pro aktu\u00e1ln\u011b obchodovan\u00e9 Micro Ultra 10-Year U.S. Treasury Note Futures MTN JUN 24 a dal\u0161\u00ed do budoucnosti listovan\u00e9 Micro Ultra 10-Year U.S. Treasury Note Futures:<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee pro kontraktn\u00ed m\u011bs\u00edc JUN 24 (1)<\/span><\/strong> je ukon\u010deno obchodov\u00e1n\u00ed dne 30.5.2024 (2)<\/span><\/strong>, co\u017e odpov\u00edd\u00e1 a p\u0159edch\u00e1z\u00ed dvoudenn\u00edmu zpo\u017ed\u011bn\u00ed term\u00ednu \u201eFirst Delivery Day\u201c<\/strong> pro „velk\u00fd“ Ultra 10-Year Treasury futures kontrakt<\/strong> ozna\u010den\u00fd TN JUN24<\/strong>, kter\u00fd je ur\u010den na 3.6.2024 (3)<\/span><\/strong>. Pro potvrzen\u00ed First Delivery Day pro jak\u00e9koliv dluhopisov\u00e9 Ultra 10-Year Treasury futures v budoucnosti mohu vyu\u017e\u00edt specifikaci tohoto kontraktu na str\u00e1nk\u00e1ch CME<\/a><\/strong><\/span>.\u00a0Mohu pak m\u00edt k dispozici n\u00e1sleduj\u00edc\u00ed obr\u00e1zek s term\u00edny First Delivery Day pro „velk\u00e9“ desetilet\u00e9 dluhopisov\u00e9 futures:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Term\u00edny ukon\u010den\u00ed obchodov\u00e1n\u00ed Micro Ultra 10-Year U.S. Treasury Note Futures pak mohu v budoucnosti velmi snadno stanovovat podle tohoto kalend\u00e1\u0159e \u201ev\u00fdznamn\u00fdch dn\u016f\u201c \u017eivota velk\u00fdch Ultra 10-Year Treasury futures kontrakt\u016f, jeho\u017e jsou desetinou. Tento kalend\u00e1\u0159 je pak k dispozici na str\u00e1nk\u00e1ch CME pro ka\u017ed\u00e9 „velk\u00e9“ Treasury futures. Pro u\u017eivatele obchodn\u00ed platformy TWS brokera Interactive Brokers je pak mo\u017en\u00e9 toto ukon\u010den\u00ed obchodov\u00e1n\u00ed pozorovat pouh\u00fdm klinut\u00edm na specifikaci Micro Ultra 10-Year U.S. Treasury Note Futures v \u0159\u00e1dku platformy:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Settlement cena je pak zve\u0159ejn\u011bna na str\u00e1nk\u00e1ch CME zde<\/a><\/strong><\/span>, zobrazen\u00ed t\u00e9to hodnoty by pak mohlo vypadat n\u00e1sledovn\u011b:\u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Vypo\u0159\u00e1d\u00e1n\u00ed je provedeno podle settlement ceny \u201evelk\u00e9ho\u201c Ultra 10-Year Treasury futures kontraktu pro dan\u00fd kontraktn\u00ed m\u011bs\u00edc pro den, kdy odpov\u00eddaj\u00edc\u00ed Micro Ultra 10-Year U.S. Treasury Note Futures expiruje. Pokud by dnem expirace byl den, kter\u00fd je zn\u00e1zorn\u011bn na obr\u00e1zku, tak vypo\u0159\u00e1dac\u00ed cena pro Micro Ultra 10-Year U.S. Treasury Note Futures MTN JUN24 by byla 111.230. Mohu pak pro nakoupen\u00e9 Micro Ultra 10-Year U.S. Treasury Note Futures nap\u0159\u00edklad za cenu 108.850 konstatovat, \u017ee jsem na t\u00e9to investici vyd\u011blal (111.230 \u2013 108.850 = 2.380) \u010d\u00e1stku (2.380*100 USD) ve v\u00fd\u0161i +238 USD.<\/span><\/p>\n

DV01 (5)<\/span><\/strong><\/span><\/h3>\n

\u00a0\u00a0 Dolarov\u00e1 hodnota pohybu jednoho bazick\u00e9ho bodu<\/strong> (DV01) je pro Micro Ultra 10-Year U.S. Treasury Note Futures odvozena od DV01 \u201evelk\u00e9ho\u201c Ultra 10-Year Treasury futures kontraktu. Pokud jsem na obr\u00e1zku v\u00fd\u0161e vypozoroval, \u017ee DV01 pro Ultra 10-Year Treasury futures kontrakt s expirac\u00ed JUN24 byla 84.73 USD, potom DV01 p\u0159\u00edslu\u0161n\u00e9ho Micro Ultra 10-Year U.S. Treasury Note Futures s expirac\u00ed JUN 24 bude desetinov\u00e1, tedy na \u00farovni 8.473 USD. Pohyb o jeden bazick\u00fd bod na tr\u017en\u00edch \u00farokov\u00fdch sazb\u00e1ch s desetiletou splatnost\u00ed bude znamenat zm\u011bnu cenu Micro Ultra 10-Year U.S. Treasury Note Futures kontraktu JUN 24 o +\/-8.473 USD.<\/span><\/p>\n

\n

Micro Ultra U.S. Treasury Bond Futures<\/strong><\/span><\/h1>\n

\u00a0\u00a0V encyklopedick\u00e9m popisu aktu\u00e1ln\u00ed novinky na CME pak mohu pokra\u010dovat tak\u00e9 s Micro futures na americk\u00e9 bondy, tedy americk\u00e9 vl\u00e1dn\u00ed dluhopisy se splatnost\u00ed v\u00edce ne\u017e 25 let. Toto \u201edesetinov\u00e9\u201c Micro futures pak mus\u00edm nejd\u0159\u00edve podrobit zkoum\u00e1n\u00ed, \u010deho je vlastn\u011b desetinou. V tomto p\u0159\u00edpad\u011b je to jednodu\u0161\u0161\u00ed ne\u017e u desetilet\u00fdch Treasury futures, proto\u017ee popisovan\u00e9 Micro Ultra U.S. Treasury Bond futures<\/strong> je desetinou \u201evelk\u00e9ho\u201c Ultra U.S Treasury Bond Futures<\/strong> z\u00a0obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Micro Ultra U.S Treasury Bond Futures je zcela identick\u00fdm desetinov\u00fdm klonem \u201evelk\u00e9ho\u201c Ultra U.S Treasury Bond Futures, kter\u00e9 kop\u00edruje americk\u00e9 vl\u00e1dn\u00ed dluhopisy se splatnost\u00ed od 25 do 30 let. Mohu pak, stejn\u011b jako u v\u00fd\u0161e popisovan\u00e9ho desetilet\u00e9ho Micro futures odhalit z\u00e1kladn\u00ed rozd\u00edly mezi \u201evelk\u00fdm\u201c Ultra U.S Treasury Bond Futures a jeho desetinovou variantou.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Z obr\u00e1zku mohu vypozorovat, \u017ee z\u00e1kladn\u00ed vlastnosti, kter\u00e9 bych m\u011bl o t\u011bchto Micro Ultra U.S Treasury Bond Futures v\u011bd\u011bt, jsou obdobn\u00e9 jako u desetilet\u00fdch Micro futures. Z\u00e1kladn\u00ed a nejv\u00fdrazn\u011bj\u0161\u00ed vlastnost\u00ed je vypo\u0159\u00e1d\u00e1n\u00ed<\/strong> tohoto Micro Ultra U.S Treasury Bond Futures<\/strong>, kter\u00e9 op\u011bt prob\u00edh\u00e1 v pen\u011bz\u00edch (1)<\/span><\/strong>. Nedod\u00e1v\u00e1m tak jako v p\u0159\u00edpad\u011b \u201evelk\u00e9ho\u201c Ultra U.S Treasury Bond Futures fyzick\u00e9 americk\u00e9 vl\u00e1dn\u00ed dluhopisy s Delivery Basket vhodn\u00fdch dluhopis\u016f, ale Micro Ultra U.S Treasury Bond Futures je vypo\u0159\u00e1d\u00e1no u konce sv\u00e9ho obchodov\u00e1n\u00ed a expirace za settlement cenu<\/strong> \u201evelk\u00e9ho\u201c Ultra U.S Treasury Bond Futures v tento konkr\u00e9tn\u00ed den (2)<\/strong><\/span>. Desetinov\u00e9 napodobov\u00e1n\u00ed je pak odra\u017eeno tak\u00e9 v hodnot\u011b DV01<\/strong> Micro Ultra U.S Treasury Bond Futures, kter\u00e9 je desetkr\u00e1t men\u0161\u00ed<\/strong>, ne\u017e jeho hodnota pro \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures (3)<\/strong><\/span>. Pokud v obr\u00e1zku vid\u00edm hodnotu DV01 ve v\u00fd\u0161i 20.47 USD, pak je to aktu\u00e1ln\u00ed hodnota ke dni, kdy byl tento obr\u00e1zek vytvo\u0159en, jeho p\u0159esnou aktu\u00e1ln\u00ed hodnotu pak mohu op\u011bt vypozorovat na str\u00e1nk\u00e1ch Treasury Analytics<\/a><\/strong><\/span>:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pokud m\u00e1 ke dni, kdy p\u00ed\u0161u tento \u010dl\u00e1nek, \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures hodnotu DV01 na \u00farovni 198.06 USD, bude m\u00edt toto Micro futures<\/a> hodnotu DV01 na odpov\u00eddaj\u00edc\u00ed \u00farovni 19.806 USD. Ka\u017ed\u00fd pohyb na \u00farokov\u00fdch sazb\u00e1ch pro americk\u00e9 vl\u00e1dn\u00ed dluhopisy se splatnost\u00ed 25+ let o jeden bazick\u00fd bod pak pohne cenou tohoto Micro Ultra U.S Treasury Bond Futures o +\/-19.806 USD.<\/span><\/p>\n

\u00a0\u00a0 Ukon\u010den\u00ed obchodov\u00e1n\u00ed a vypo\u0159\u00e1d\u00e1n\u00ed Micro Ultra U.S Treasury Bond Futures je pak stejn\u00e9 jako u desetilet\u00e9ho Micro futures, obchodov\u00e1n\u00ed kon\u010d\u00ed a Micro Ultra U.S Treasury Bond Futures expiruje dva obchodn\u00ed dny p\u0159ed First Delivery Date pro \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures. Mohu se tak op\u011bt pod\u00edvat do \u201ekalend\u00e1\u0159e akc\u00ed\u201c pro \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures zde<\/a><\/strong><\/span>, abych zjistil, \u017ee pro aktu\u00e1ln\u00ed JUN 24 \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures je t\u00edmto dnem op\u011bt 3.6.2024 (stejn\u011b jako u desetilet\u00e9ho JUN 24 futures), proto bude s Micro Ultra U.S Treasury Bond Futures ukon\u010deno obchodov\u00e1n\u00ed podle tohoto dvoudenn\u00edho \u010dasov\u00e9ho kl\u00ed\u010de ke dni 30.5.2024.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Datum ukon\u010den\u00ed obchodov\u00e1n\u00ed pak mohu tak\u00e9 kontrolovat nebo p\u0159\u00edmo zji\u0161\u0165ovat v m\u00e9 platform\u011b TWS brokera Interactive Brokers ve specifikaci tohoto Micro Ultra U.S Treasury Bond Futures:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Settlement cena pak bude odvozena od settlement ceny pro \u201evelk\u00e9\u201c Ultra U.S Treasury Bond Futures pro tento den. Pokud by Micro Ultra U.S Treasury Bond Futures expirovalo nyn\u00ed, mohl bych tyto hodnoty pozorovat na str\u00e1nk\u00e1ch CME zde<\/a><\/strong><\/span>:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pokud bych tedy po\u0159\u00eddil Micro Ultra U.S Treasury Bond Futures za cenu 121.450 bodu a settlement cena by byla podle obr\u00e1zku na \u00farovni 124,050 bodu, \u010dinil by m\u016fj profit (124,050 \u2013 121,450)*100 USD \u010d\u00e1stku +260 USD.<\/span><\/p>\n

\n

\u00a0\u00a0 Zcela popisn\u00fd \u010dl\u00e1nek m\u011bl za \u00fakol uk\u00e1zat a p\u0159ibl\u00ed\u017eit t\u0159et\u00ed dluhopisov\u00fd deriv\u00e1t, kter\u00fd mohu velmi jednodu\u0161e a pohodln\u011b obchodovat. Mohu tak v kr\u00e1tk\u00e9m souhrnu konstatovat, \u017ee m\u00e1m nyn\u00ed z\u00e1kladn\u00ed pojem o dluhopisov\u00fdch \u201evelk\u00fdch\u201c Treasury Futures<\/strong>, tato se obchoduj\u00ed pro r\u016fznou splatnost podkladov\u00fdch dluhopis\u016f. Mohu tak pozorovat dluhopisov\u00e9 futures kontrakty pro 2-Year US Treasury Note, 3-Year US Treasury Note, 5-Year US Treasury Note, 10-Year US Treasury Note, Ultra 10-US Year Treasury Note, US Treasury Bond, 20-Year US Treasury Bond a Ultra US Treasury Bond.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Tyto dluhopisov\u00e9 futures kop\u00edruj\u00ed cenu podkladov\u00fdch dluhopis\u016f<\/strong> podle jejich splatnost\u00ed s Face Value 100.000 USD, mimo 2-Year US Treasury Note a 3-Year US Treasury Note, kter\u00e9 kop\u00edruj\u00ed pohyb podkladov\u00fdch dluhopis\u016f s Face Value ve v\u00fd\u0161i 200.000 USD.<\/span><\/p>\n

\u00a0\u00a0\u00a0 K t\u011bmto velk\u00fdm futures p\u0159ibyl nyn\u00ed dal\u0161\u00ed deriv\u00e1t popisovan\u00fd v tomto \u010dl\u00e1nku, dv\u011b desetinov\u00e1 Micro futures<\/strong> – Micro Ultra 10-Year U.S. Treasury Note Futures a Micro Ultra U.S Treasury Bond Futures. Destinov\u00fdm kontraktem tak nedisponuj\u00ed v\u0161echna v\u00fd\u0161e uveden\u00e1 \u201evelk\u00e1\u201c Treasury futures, ale pouze dluhopisov\u00e9 Ultra 10-US Year Treasury Note Futures a dluhopisov\u00e9 Ultra US Treasury Bond Futures. Ob\u011b tyto zmen\u0161eniny napodobuj\u00ed jejich velk\u00e9 vzory, z\u00e1kladn\u00ed odli\u0161nost\u00ed je pouze jejich vypo\u0159\u00e1d\u00e1n\u00ed v pen\u011bz\u00edch. Stejn\u011b jako u \u201evelk\u00fdch\u201c futures je jejich po\u0159\u00edzen\u00ed s\u00e1zkou na pohyb ceny podkladov\u00fdch dluhopis\u016f<\/strong>, v obou p\u0159\u00edpadech ale pouze z Face Value 10.000 USD. \u00a0Ob\u011b Micro Treasury futures mohu tak\u00e9 obchodovat u sv\u00e9ho brokera: \u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 T\u0159et\u00edm deriv\u00e1tem popisovan\u00fdm v \u010dl\u00e1nku Dluhopisy \u2013 XVII.<\/a><\/strong><\/span> jsou dluhopisov\u00e9 Yield Futures<\/strong>. Tyto dluhopisov\u00e9 futures nekop\u00edruj\u00ed ceny podkladov\u00fdch dluhopis\u016f, ale jejich v\u00fdnos<\/strong>. Mohu aktu\u00e1ln\u011b spekulovat na pohyb \u00farokov\u00fdch sazeb dluhopis\u016f se splatnostmi odr\u00e1\u017eej\u00edc\u00edmi se v\u00a0n\u00e1zvu t\u011bchto Yield Futures, tedy 2-Year Treasury Yield, 5-Year Treasury Yield, 10-Year Treasury Yield a 30-Year Treasury Yield. V\u0161echy \u010dty\u0159i dluhopisov\u00e9 Yield futures mohu tak\u00e9 obchodovat u sv\u00e9ho brokera:<\/span><\/p>\n

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

\u00a0\u00a0 Pozn\u00e1n\u00ed t\u011bchto druh\u016f dluhopisov\u00fdch deriv\u00e1t\u016f je v\u00fdznamn\u00e9 pro dal\u0161\u00ed obchodn\u00ed souvislosti. Mohu tak ji\u017e nyn\u00ed vyhodnotit luxus existence podkladov\u00e9ho aktiva \u2013 podkladov\u00fdch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, kter\u00e9 tyto dluhopisov\u00e1 futures sleduj\u00ed. Mohu tak, na rozd\u00edl od jin\u00fdch futures kontrakt\u016f, tato podkladov\u00e1 aktiva aktivn\u011b po\u0159izovat a moci upravovat rizika z t\u011bchto p\u0159\u00edpadn\u00fdch deriv\u00e1tov\u00fdch pozic. T\u011b\u017eko mohu tohoto dos\u00e1hnou v p\u0159\u00edpad\u011b kuku\u0159ice, hov\u011bz\u00edho dobytka nebo nap\u0159\u00edklad ropy, po\u0159izovat podkladov\u00e9 pozice na t\u011bchto kontraktech je pro obchodn\u00edka zcela nemo\u017en\u00e9\u2026:c) \u00a0\u00a0<\/span><\/p>\n

\u00a0 \u00a0Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a><\/span>\u00a0<\/strong>:c)\u00a0\u00a0\u00a0 \u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Sv\u011bt dluhopisov\u00fdch deriv\u00e1t\u016f je v\u00edce ne\u017e flexibiln\u00ed. V minul\u00fdch \u010dl\u00e1nc\u00edch jsem popisoval existenci a z\u00e1kladn\u00ed mo\u017enosti nakl\u00e1d\u00e1n\u00ed s \u201evelk\u00fdm\u201c dluhopisov\u00fdm US Treasury futures kontraktem, jeho\u017e podkladov\u00fdm aktivem p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed je p\u0159\u00edslu\u0161n\u00fd americk\u00fd vl\u00e1dn\u00ed dluhopis s Face Value 100.000 USD vybran\u00fd z ko\u0161e odpov\u00eddaj\u00edc\u00edch emis\u00ed (Delivery Basket) upraven\u00fd o koeficient Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7098,"comment_status":"closed","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_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":[60],"tags":[61],"class_list":["post-7097","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-dluhopisy","tag-dluhopisy"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1Qt","jetpack-related-posts":[{"id":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7097,"position":0},"title":"Dluhopisy \u2013 XIV. \u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"7.12.2023","format":false,"excerpt":"\u00a0 \u00a0Pravd\u011bpodobn\u011b nejv\u00fdznamn\u011bj\u0161\u00edmi dluhopisov\u00fdmi deriv\u00e1ty jsou dluhopisov\u00e9 futures. Napodobit dr\u017een\u00ed dluhopis\u016f (v tomto \u010dl\u00e1nku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f), ani\u017e bych se jich jen dotknul, mi pom\u016f\u017ee existence tzv. \u201eTreasury Futures\u201c kontrakt\u016f. Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=700%2C400 2x"},"classes":[]},{"id":6900,"url":"https:\/\/dobretrejdy.com\/?p=6900","url_meta":{"origin":7097,"position":1},"title":"Dluhopisy \u2013 XV.\u00a0","author":"dobretrejdy :c)","date":"31.1.2024","format":false,"excerpt":"\u00a0 \u00a0Popisem a principem ur\u010den\u00ed ceny dluhopisov\u00fdch futures kontrakt\u016f jsem se zab\u00fdval v minul\u00e9m \u010dl\u00e1nku, poskytuje se mi tak z\u00e1kladn\u00ed n\u00e1hled na z\u00e1kladn\u00ed dluhopisov\u00fd deriv\u00e1t, kter\u00fd se vyzna\u010duje v\u00fdznamn\u00fdmi objemy obchod\u016f a z toho odvozenou zna\u010dnou likviditou. Jak mohu ale toto dluhopisov\u00e9 futures vyu\u017e\u00edt prakticky by mohlo b\u00fdt n\u00e1pln\u00ed n\u00e1sleduj\u00edc\u00edch\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":7097,"position":2},"title":"Dluhopisy \u2013 XXIV.","author":"dobretrejdy :c)","date":"27.11.2025","format":false,"excerpt":"\u00a0 \u00a0Neuv\u011b\u0159iteln\u00fdch osm m\u011bs\u00edc\u016f od naps\u00e1n\u00ed posledn\u00edho \u010dl\u00e1nku nic neubralo na v\u00fdznamu zji\u0161t\u011bn\u00ed, \u017ee \u201edluhopisov\u00e9 opce\u201c opravdu nejsou \u201eopce na dluhopisy\u201c, tedy jejich podkladov\u00fdm aktivem nen\u00ed jak\u00e1koliv konkr\u00e9tn\u00ed emise dluhopis\u016f, ale tyto dluhopisov\u00e9 opce jsou nav\u00e1z\u00e1ny na futures kontrakty, kter\u00e9 ale ji\u017e souvisej\u00ed s konkr\u00e9tn\u00edmi dluhopisov\u00fdmi emisemi nebo \u00farokov\u00fdmi sazbami.\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":6561,"url":"https:\/\/dobretrejdy.com\/?p=6561","url_meta":{"origin":7097,"position":3},"title":"Dluhopisy \u2013 XI.","author":"dobretrejdy :c)","date":"26.8.2023","format":false,"excerpt":"\u00a0\u00a0Dluhopisov\u00fd seri\u00e1l pokra\u010duje, p\u00ed\u0161e se jeho dal\u0161\u00ed d\u00edl. Pokud se zd\u00e1, \u017ee se podrobn\u011b a mo\u017en\u00e1 zbyte\u010dn\u011b v\u011bnuji americk\u00fdm vl\u00e1dn\u00edm dluhopis\u016fm, tak tento \u010dl\u00e1nek op\u011bt nebude o ni\u010dem jin\u00e9m, n\u011b\u017e pr\u00e1v\u011b o t\u00e9to kategorii dluhov\u00fdch cenn\u00fdch pap\u00edr\u016f. Pro\u010d tomu tak je vypl\u00fdv\u00e1 z m\u00e9ho praktick\u00e9ho pohledu na v\u011bc. Krom\u011b toho,\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":7097,"position":4},"title":"Dluhopisy \u2013 XIX.","author":"dobretrejdy :c)","date":"10.7.2024","format":false,"excerpt":"\u00a0\u00a0 Dluhopisov\u00e1 deriv\u00e1tov\u00e1 j\u00edzda pokra\u010duje :c). V prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV. jsem popisoval existenci a vlastnosti \u201evelk\u00fdch\u201c Treasury futures, kter\u00e9 p\u0159edstavovaly term\u00ednov\u00e9 kontrakty, jejich\u017e podkladov\u00fdmi aktivy byly dluhopisy se splatnost\u00ed 2 a v\u00edce let podle jednotliv\u00e9 specifikace pro ka\u017ed\u00fd typ tohoto futures kontraktu. Tyto \u201evelk\u00e9\u201c Treasury\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":7097,"position":5},"title":"Dluhopisy \u2013 XVII.","author":"dobretrejdy :c)","date":"21.3.2024","format":false,"excerpt":"\u00a0\u00a0 Pocit \u00fanavy ze slo\u017eitosti p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku s popisem derivac\u00ed cenov\u00e9 funkce kup\u00f3nov\u00e9ho dluhopisu a mo\u017en\u00e9 frustrace z nemo\u017enosti aplikovat zji\u0161t\u011bnou dolarovou hodnotu jednoho bazick\u00e9ho bodu na stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio s hed\u017eov\u00e1n\u00edm pomoc\u00ed stotis\u00edcov\u00e9ho dluhopisov\u00e9ho futures, proto\u017ee t\u011bchto sto tis\u00edc dolar\u016f prost\u011b nem\u00e1m, by mohly vykompenzovat n\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku, kter\u00e9\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=525%2C300 1.5x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7097","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=7097"}],"version-history":[{"count":14,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7097\/revisions"}],"predecessor-version":[{"id":7331,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7097\/revisions\/7331"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7098"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7097"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7097"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7097"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}