{"id":7175,"date":"2024-07-10T08:42:30","date_gmt":"2024-07-10T06:42:30","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7175"},"modified":"2024-08-18T17:14:19","modified_gmt":"2024-08-18T15:14:19","slug":"dluhopisy-xix","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7175","title":{"rendered":"Dluhopisy \u2013 XIX."},"content":{"rendered":"

\u00a0\u00a0 Dluhopisov\u00e1 deriv\u00e1tov\u00e1 j\u00edzda pokra\u010duje :c). V prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV.<\/strong><\/span> jsem popisoval existenci a vlastnosti \u201evelk\u00fdch\u201c<\/strong> Treasury futures<\/strong>, 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 futures odr\u00e1\u017eely cenu podkladov\u00fdch dluhopis\u016f s Face Value 100.000 USD s v\u00fdjimkou Treasury futures na dvou a t\u0159\u00edlet\u00e9 dluhopisy, kter\u00e9 p\u0159edstavovaly deriv\u00e1tovou investici do dluhopis\u016f s Face Value 200.000 USD. V \u010dl\u00e1nku Dluhopisy – XVIII.<\/a><\/strong><\/span> jsem popisoval jejich desetinov\u00e9 klony, tedy \u201emal\u00e9\u201c Treasury futures<\/strong>, kter\u00e9 p\u0159edstavovaly desetinovou expozici oproti \u201evelk\u00fdm\u201c Treasury futures s m\u00edrn\u011b odli\u0161n\u00fdmi vlastnostmi t\u011bchto kontrakt\u016f, op\u011bt se ale jednalo o mo\u017en\u00e9 zobchodov\u00e1n\u00ed cenov\u00e9ho pohybu podkladov\u00fdch dluhopis\u016f s dlouhou splatnost\u00ed, pouze s ni\u017e\u0161\u00ed kapit\u00e1lovou n\u00e1ro\u010dnost\u00ed. Mezi tyto \u010dl\u00e1nky o dluhopisov\u00fdch futures kop\u00edruj\u00edc\u00edch cenov\u00fd pohyb podkladov\u00fdch dluhopis\u016f jsem vlo\u017eil \u010dl\u00e1nek Dluhopisy \u2013 XVII.<\/a><\/strong><\/span>, kter\u00fd popisuje Yield futures<\/strong>, tedy dluhopisov\u00e9 futures, kter\u00e9 spekuluj\u00ed nikoliv na cenov\u00fd pohyb podkladov\u00fdch dluhopis\u016f, ale na pohyb jejich v\u00fdnos\u016f. Mohu tak investovat do mo\u017en\u00e9 zm\u011bny v\u00fdnos\u016f na dluhopisech se splatnost\u00ed 2, 5, 10 a 30 let a nemuset se zab\u00fdvat zm\u011bnou jejich ceny jako v p\u0159\u00edpad\u011b v\u00fd\u0161e popsan\u00fdch dluhopisov\u00fdch deriv\u00e1t\u016f. V\u0161echny popisovan\u00e9 dluhopisov\u00e9 instrumenty mohu obchodovat u sv\u00e9ho brokera Interactive Brokers, tak\u017ee mohu velmi jednodu\u0161e p\u0159etvo\u0159it teorii v praxi a pokusit se na\u010derpan\u00e9 znalosti tak\u00e9 prakticky monetizovat. Z doposud popsan\u00e9ho v minul\u00fdch \u010dl\u00e1nc\u00edch vypl\u00fdv\u00e1, \u017ee jsem se prozat\u00edm zam\u011b\u0159il pouze na deriv\u00e1ty \u2013 dluhopisov\u00e9 futures, kter\u00e9 sleduj\u00ed cenu nebo v\u00fdnos podkladov\u00fdch dluhopisov\u00fdch aktiv se splatnost\u00ed dva roky a v\u00edce, zcela jsem se prozat\u00edm vyhnul dluhopisov\u00fdm futures na podkladov\u00e9 dluhopisy s velmi kr\u00e1tkou dobou do splatnosti. Vypln\u011bn\u00ed t\u00e9to \u201emezery\u201c v pozn\u00e1n\u00ed pak bude p\u0159edm\u011btem tohoto \u010dl\u00e1nku a bude znamenat, \u017ee v \u010dl\u00e1nc\u00edch budu m\u00edt \u201ederiv\u00e1tov\u011b\u201c pokryt\u00e9 v\u0161echny splatnosti americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, od t\u011bch nejkrat\u0161\u00edch a\u017e po ty s nejdel\u0161\u00ed dobou do splatnosti.<\/span><\/p>\n

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T-Bills<\/strong><\/span><\/h1>\n

\u00a0\u00a0 O strukturu americk\u00e9ho dluhopisov\u00e9ho trhu jsem zavadil poprv\u00e9 v \u010dl\u00e1nku Dluhopisy \u2013 III.<\/a><\/strong><\/span>, podrobn\u011bji jsem se o trhu americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f zm\u00ednil v \u010dl\u00e1nku Dluhopisy \u2013 XI.<\/a><\/strong><\/span> , v\u00a0n\u011bm\u017e jsem se zam\u011b\u0159il na proceduru vzniku parametr\u016f a emitov\u00e1n\u00ed americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f v\u00a0dluhopisov\u00fdch aukc\u00edch. V\u00a0\u010dl\u00e1nc\u00edch jsem se v\u00edce v\u011bnoval dluhopis\u016fm s\u00a0del\u0161\u00ed dobou do splatnosti nebo dluhopis\u016fm s\u00a0plovouc\u00edm kup\u00f3nem (FRN) \u010di protiinfla\u010dn\u00edm dluhopis\u016fm (TIPS). Zcela jsem tak prozat\u00edm ignoroval dluhopisy s\u00a0ultrakr\u00e1tkou dobou do splatnosti maxim\u00e1ln\u011b jeden rok \u2013 T-Bills<\/strong>. K\u00a0proniknut\u00ed do vlastnost\u00ed futures na tyto kr\u00e1tkodob\u00e9 dluhopisy bude nezbytn\u00e9 prozkoumat nejd\u0159\u00edve z\u00e1kladn\u00ed vlastnosti podkladov\u00fdch T-Bills, pot\u00e9 bude snadn\u011bj\u0161\u00ed prozkoumat vlastnosti T-Bill futures kontrakt\u016f.<\/span><\/p>\n

\u00a0\u00a0 Prvn\u00ed z\u00e1kladn\u00ed vlastnost T-Bills, kter\u00e1 je odli\u0161uje od dal\u0161\u00edho zbytku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, je neexistence kup\u00f3nu<\/strong>. T-Bills se obchoduj\u00ed s\u00a0diskontem k\u00a0Face Value vyj\u00e1d\u0159en\u00fdm procentem k\u00a0nejmen\u0161\u00ed mo\u017en\u00e9 po\u0159izovac\u00ed hodnot\u011b T-Bills, kter\u00e1 \u010din\u00ed 100 USD.<\/span><\/p>\n

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\u00a0\u00a0 Pokud tedy vid\u00edm v m\u00e9 obchodn\u00ed platform\u011b nab\u00eddku T-Bills se splatnost\u00ed v listopadu 2024, tak cena T-Bills se splatnost\u00ed 7.11.2024 (\u010derven\u00e1 \u0161ipka) ve v\u00fd\u0161i 98.25007 p\u0159edstavuje 98.25007% ze 100% hodnoty Face Value (100 USD), ale proto\u017ee nejmen\u0161\u00ed mo\u017en\u00e9 mno\u017estv\u00ed po\u0159\u00edzen\u00ed tohoto dluhopisu u m\u00e9ho brokera Interactive Brokers p\u0159edstavuje 1.000 USD, vynalo\u017e\u00edm na n\u00e1kup tohoto dluhopisu \u010d\u00e1stku 982.5007 USD<\/strong>, aplikace TWS mi sou\u010dasn\u011b ukazuje, \u017ee tato cena p\u0159edstavuje v\u00fdnos ve v\u00fd\u0161i 5.309% p.a.<\/strong> a je reprezentov\u00e1na \u010d\u00e1stkou rozd\u00edlu mezi po\u0159izovac\u00ed cenou a \u010d\u00e1stkou 1.000,- USD obdr\u017eenou u splatnosti. Absence kup\u00f3nu pak \u0159ad\u00ed tyto dluhopisy mezi tzv. \u201ebezkup\u00f3nov\u00e9\u201c dluhopisy, v\u00fdhodou t\u011bchto bezkup\u00f3nov\u00fdch dluhopis\u016f pak je jejich jist\u00fd v\u00fdnos definovan\u00fd p\u0159i jejich po\u0159\u00edzen\u00ed, odpad\u00e1 tak riziko z reinvestov\u00e1n\u00ed kup\u00f3n\u016f za ni\u017e\u0161\u00ed \u00farokovou sazbu popisovan\u00e9 v p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch.<\/span><\/p>\n

Emise T-Bills<\/strong><\/span><\/h2>\n

\u00a0\u00a0 T-Bills<\/strong> jsou emitov\u00e1ny se splatnost\u00ed 4 t\u00fddny<\/strong>, 8 t\u00fddn\u016f<\/strong>, 13 t\u00fddn\u016f<\/strong>, 17 t\u00fddn\u016f<\/strong>, 26 t\u00fddn\u016f<\/strong> a 52 t\u00fddn\u016f<\/strong>, sv\u011btlo sv\u011bta spat\u0159\u00ed tyto T-Bills ka\u017ed\u00fd t\u00fdden<\/strong> v po\u0159\u00e1dan\u00fdch aukc\u00edch mimo T-Bills se splatnost\u00ed za 52 t\u00fddn\u016f, jejich\u017e aukce je po\u0159\u00e1d\u00e1na jednou m\u011bs\u00ed\u010dn\u011b. Mohu tak vypozorovat, \u017ee p\u0159\u00edle\u017eitost\u00ed, jak investovat do t\u011bchto kr\u00e1tkodob\u00fdch dluhopis\u016f je opravdu mnoho a je tak\u00e9 z \u010deho vyb\u00edrat. Nebudou m\u011b nyn\u00ed zaj\u00edmat T-Bills se splatnost\u00ed jeden rok (52 t\u00fddn\u016f), ale zam\u011b\u0159\u00edm se na skupinu T-Bills s t\u00fddenn\u00edm intervalem emitov\u00e1n\u00ed, co\u017e jsou vlastn\u011b v\u0161echny ostatn\u00ed splatnosti a z t\u011bchto splatnost\u00ed si pak vyberu k prozkoum\u00e1n\u00ed T-Bills<\/strong> se splatnost\u00ed za 13 t\u00fddn\u016f<\/strong>, kter\u00e9 jsou velmi t\u011bsn\u011b nav\u00e1z\u00e1ny pr\u00e1v\u011b na T-Bill futures<\/strong>. Mohu pak prozkoumat, jak konkr\u00e9tn\u011b prob\u00edh\u00e1 auk\u010dn\u00ed proces a jak\u00e9 v\u00fdsledky p\u0159inesl na tomto odkazu<\/a><\/strong><\/span>, kde mohu tato auk\u010dn\u00ed data zkoumat zp\u011btn\u011b a\u017e do roku 1997. K pochopen\u00ed \u010dasov\u00fdch souvislost\u00ed a zobrazovan\u00fdch dat pak zam\u011b\u0159\u00edm pozornost na T-Bills se splatnost\u00ed za 13 t\u00fddn\u016f, kde m\u016f\u017eu m\u00edt k dispozici (nap\u0159\u00edklad nyn\u00ed) data tak, jak jsou vyobrazena na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku:<\/span><\/p>\n

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

\u00a0\u00a0 Z\u00a0menu mohu rozkliknout pr\u00e1v\u011b T-Bills<\/strong> s\u00a0t\u0159in\u00e1cti t\u00fddny do splatnosti (1)<\/span><\/strong> a vypozorovat, \u017ee Announcement Day (2)<\/span><\/strong>, tedy den, kdy je zve\u0159ejn\u011bna \u201eauk\u010dn\u00ed vyhl\u00e1\u0161ka\u201c avizuj\u00edc\u00ed kon\u00e1n\u00ed aukce t\u011bchto T-Bills, prob\u00edh\u00e1 v\u017edy ve \u010dtvrtky. Pokud je \u010dtvrtek st\u00e1tn\u00edm sv\u00e1tkem, nap\u0159\u00edklad ve \u010dtvrtek 4.7.2024 byl Den nez\u00e1vislosti (Independent Day), tak je aukce avizov\u00e1na ve st\u0159edu p\u0159edch\u00e1zej\u00edc\u00ed tomuto sv\u00e1tku, tedy ve st\u0159edu 3.7.2024 (modr\u00e1 \u0161ipka v obr\u00e1zku). P\u0159\u00edslu\u0161n\u00fd soubor Announcement ve form\u00e1tu PDF s parametry chystan\u00e9 aukce lze st\u00e1hnou v \u0159\u00e1dku p\u0159\u00edslu\u0161n\u00e9 aukce (4)<\/strong><\/span>. Takto ohl\u00e1\u0161en\u00e1 aukce se pak kon\u00e1 v\u017edy nadch\u00e1zej\u00edc\u00ed pond\u011bl\u00ed (3)<\/span><\/strong>, kdy jsou ohl\u00e1\u0161eny tak\u00e9 jej\u00ed v\u00fdsledky (pokud je pond\u011bl\u00ed sv\u00e1tkem, konaj\u00ed se aukce v \u00fater\u00fd). Ka\u017ed\u00fd t\u00fdden je tak nab\u00edzena obrovsk\u00e1 v\u00e1rka americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f se splatnost\u00ed do jednoho roku, do kter\u00fdch mohu investovat. V\u00fdsledky aukce pak mohu op\u011bt prohl\u00ed\u017eet v PDF souboru sta\u017een\u00e9ho v \u0159\u00e1dku aukce ve sloupci Competitive Result (5)<\/span><\/strong>. Pokud bych cht\u011bl analyzovat v\u00fdsledek posledn\u00ed aukce T-Bills se splatnost\u00ed za 13 t\u00fddn\u016f, konan\u00e9 v pond\u011bl\u00ed 1.7.2024 (6)<\/span><\/strong>, mohu m\u00edt k dispozici ve \u010dtvrtek p\u0159edch\u00e1zej\u00edc\u00ed aukci tento dokument \u2013 Announcement \u2013 kter\u00fd celou pond\u011bln\u00ed aukci popisuje: \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Z nab\u00eddky vypl\u00fdv\u00e1, \u017ee parametry p\u0159ipravovan\u00e9 aukce byly zve\u0159ejn\u011bny opravdu ve \u010dtvrtek<\/strong> 27.6.2024 (1)<\/strong><\/span><\/span>, kter\u00fd p\u0159edch\u00e1z\u00ed pond\u011bln\u00ed aukci<\/strong> 13-ti t\u00fddenn\u00edch T-Bills (2)<\/strong><\/span>. V\u00a0t\u00e9to aukci je nab\u00edzen k\u00a0prodeji dluh ve v\u00fd\u0161i 73 miliard USD (3)<\/span><\/strong> a aukce se bude opravdu konat v pond\u011bl\u00ed<\/strong> 1.7.2024 (4)<\/span><\/strong>. S emitovan\u00fdmi T-Bills se bude n\u00e1sledn\u011b obchodovat v p\u00e1tek auk\u010dn\u00edho t\u00fddne<\/strong>, tedy 5.7.2024 (5)<\/strong><\/span>. Prob\u011bhl\u00e1 aukce podle t\u011bchto parametr\u016f se z\u00e1m\u011brem z\u00edskat 73 miliard USD je n\u00e1sledn\u011b reportov\u00e1na a vt\u011blena do v\u00fdsledku aukce ve sloupci Competitive Result<\/strong> pro p\u0159\u00edslu\u0161nou aukci, tuto mohu op\u011bt st\u00e1hnout ve form\u00e1tu PDF a vypozorovat jej\u00ed v\u00fdsledky:\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdsledek aukce zve\u0159ejn\u011bn\u00fd v\u00a0pond\u011bl\u00ed 1.7.2024 (1)<\/span><\/strong> se t\u00fdk\u00e1 aukce T-Bills se splatnost\u00ed za 90 dn\u016f, tedy za t\u0159in\u00e1ct t\u00fddn\u016f (2)<\/span><\/strong>. Mohu tak\u00e9 zjistit CUSIP dluhopisu (3)<\/span><\/strong>, jako jedine\u010dn\u00fd identifik\u00e1tor tohoto dluhov\u00e9ho cenn\u00e9ho pap\u00edru pro jeho vyhled\u00e1n\u00ed nap\u0159\u00edklad v\u00a0m\u00e9 obchodn\u00ed platform\u011b. High Rate<\/strong> v\u00a0aukci byla stanovena na \u00farove\u0148 5.240% (4)<\/span><\/strong> a znamen\u00e1 to, \u017ee pokud u\u010dinil \u00fa\u010dastn\u00edk aukce nab\u00eddku ni\u017e\u0161\u00ed nebo stejnou jako 5.240%, bude uspokojen z\u00edsk\u00e1n\u00edm t\u011bchto T-Bills s t\u00edmto v\u00fdnosem, nab\u00eddky, kter\u00e9 p\u0159edstavovaly vy\u0161\u0161\u00ed v\u00fdnos byly odm\u00edtnuty. Toto je do dal\u0161\u00edho \u010dten\u00ed nejd\u016fle\u017eit\u011bj\u0161\u00ed \u00fadaj, kter\u00fd mohu z v\u00fdsledku aukce pro pot\u0159eby zkoum\u00e1n\u00ed T-Bill futures z\u00edskat. High Rate je vygenerov\u00e1na na z\u00e1klad\u011b podan\u00fdch nab\u00eddek \u00fa\u010dastn\u00edk\u016f aukce, kte\u0159\u00ed ve sv\u00fdch nab\u00eddk\u00e1ch uvedli v\u017edy popt\u00e1van\u00e9 mno\u017estv\u00ed dluhu za po\u017eadovan\u00fd v\u00fdnos v % p.a., jejich nab\u00eddky jsou n\u00e1sledn\u011b se\u0159azeny od nejni\u017e\u0161\u00edho v\u00fdnosu po nejvy\u0161\u0161\u00ed. Z\u00e1m\u011brem aukce pak bylo prodat dluh za 73 miliard USD, tak\u017ee jsou p\u0159ijaty v\u0161echny nab\u00eddky do t\u00e9to popt\u00e1van\u00e9 v\u00fd\u0161e prod\u00e1van\u00e9ho dluhu od \u00fa\u010dastn\u00edk\u016f se\u0159azen\u00fdch podle nejni\u017e\u0161\u00edch nab\u00eddek v\u00fdnos\u016f k nejvy\u0161\u0161\u00edm. V takto se\u0159azen\u00e9m seznamu nab\u00eddek pak hodnota objemu ve v\u00fd\u0161i 73 miliard USD reprezentuje ur\u010ditou \u00farove\u0148 nab\u00eddky v\u00fdnosu v % p.a. a tato hodnota je pak hodnotou High Rate. Mohu pak vypozorovat, \u017ee byla uspokojena opravdu suma 73 miliard USD (5)<\/span><\/strong>, kdy\u017e ve vedlej\u0161\u00edm sloupci tohoto \u0159\u00e1dku mohu vypozorovat z\u00e1jem o tuto emisi dluhopis\u016f ve v\u00fd\u0161i 201 miliard USD (6)<\/span><\/strong>, kter\u00fd vede ke Bid-To-Cover Ratio ve v\u00fd\u0161i (201\/73) ve v\u00fd\u0161i 2.75 (pro porovn\u00e1n\u00ed – p\u0159edch\u00e1zej\u00edc\u00ed t\u00fdden p\u0159inesl v aukci BtC Ratio ve v\u00fd\u0161i 2.85, p\u0159ed rokem \u010dinil 3.01 a p\u0159ed p\u011bti lety byl na \u00farovni 2.66 – v\u0161e ve srovnateln\u00e9m term\u00ednu aukce v prvn\u00edm t\u00fddnu v \u010dervenci). \u00dasp\u011b\u0161n\u00fd \u00fa\u010dastn\u00edk aukce s v\u00fdsledkem 5.240% p.a. pak obdr\u017e\u00ed tento dluhopis za cenu 98.69%<\/strong> z Face Value (7)<\/span><\/strong>. Z v\u00fdsledku tak\u00e9 mohu vypozorovat, \u017ee medi\u00e1n nab\u00eddek \u00fa\u010dastn\u00edk\u016f aukce p\u0159edstavoval Median Rate (8)<\/span><\/strong> na \u00farovni 5.225%, tedy pades\u00e1t procent \u00fa\u010dastn\u00edk\u016f aukce nab\u00eddlo tuto nebo ni\u017e\u0161\u00ed sazbu po\u017eadovan\u00e9ho v\u00fdnosu v t\u00e9to aukci a dokonce 5% \u00fa\u010dastn\u00edk\u016f aukce nab\u00eddlo sazbu v\u00fdnosu ni\u017e\u0161\u00ed ne\u017e 5.140% – Low Rate (9)<\/span><\/strong>. Takto vysout\u011b\u017een\u00fd dluhopis bude emitov\u00e1n<\/strong> v p\u00e1tek po pond\u011bln\u00ed aukci<\/strong> dne 5.7.2024 (10)<\/strong><\/span> a jeho splatnost<\/strong> nastane za t\u0159i m\u011bs\u00edce ve \u010dtvrtek 3.10.2024<\/strong> (11)<\/strong><\/span>. P\u0159esto\u017ee byla tedy aukce v pond\u011bl\u00ed 1.7.2024, tak emise bude uvedena na trh a\u017e v p\u00e1tek 5.7.2024 a od t\u00e9 chv\u00edle b\u011b\u017e\u00ed 90-ti denn\u00ed doba do splatnosti, kter\u00e9 skon\u010d\u00ed pr\u00e1v\u011b ve \u010dtvrtek p\u0159esn\u011b za devades\u00e1t dn\u016f, tedy 3.10.2024 (11)<\/strong><\/span>. Shrnuto a podtr\u017eeno, aukce se vyhla\u0161uje ve \u010dtvrtek s t\u00edm, \u017ee prob\u011bhne n\u00e1sleduj\u00edc\u00ed pond\u011bl\u00ed. \u00dasp\u011b\u0161n\u00ed \u00fa\u010dastn\u00edci obdr\u017e\u00ed sv\u00e9 popt\u00e1van\u00e9 mno\u017estv\u00ed se stejn\u00fdm v\u00fdnosem ve v\u00fd\u0161i High Rate a s t\u011bmito dluhopisy se za\u010d\u00edn\u00e1 obchodovat v p\u00e1tek auk\u010dn\u00edho t\u00fddne. Tuto \u010d\u00e1st \u010dl\u00e1nku p\u00ed\u0161u v sobotu po p\u00e1te\u010dn\u00ed emisi t\u011bchto 13-ti t\u00fddenn\u00edch T-Bills a mohu vypozorovat, \u017ee v m\u00e9 obchodn\u00ed platform\u011b jsou ji\u017e tyto dluhopisy opravdu k dispozici:<\/span><\/p>\n

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T-Bill futures<\/strong><\/span><\/h1>\n

\u00a0\u00a0 T-Bill futures<\/strong> jsou term\u00ednovan\u00e9 kontrakty, kter\u00e9 kop\u00edruj\u00ed v\u00fdnos 13-ti t\u00fddenn\u00edch T-Bills<\/strong>, proto jsem v p\u0159edchoz\u00edch \u0159\u00e1dc\u00edch pr\u00e1v\u011b t\u011bmto konkr\u00e9tn\u00edm T-Bills v\u011bnoval pozornost. Tyto futures kontrakty mohu velmi pohodln\u011b obchodovat u m\u00e9ho brokera Interactive Brokers, je proto dobr\u00e9 t\u011bmto term\u00ednov\u00fdm kontrakt\u016fm alespo\u0148 m\u00edrn\u011b porozum\u011bt:<\/span><\/p>\n

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\u00a0\u00a0 T-Bill futures se neobchoduj\u00ed z historick\u00e9ho pohledu dlouho, obchodov\u00e1n\u00ed bylo spu\u0161t\u011bno 2.\u0159\u00edjna 2023, jejich existence se tedy d\u00e1 nyn\u00ed po\u010d\u00edtat v \u0159\u00e1dech m\u011bs\u00edc\u016f ne\u017e let, a p\u0159esto si tento deriv\u00e1t na\u0161el oblibu a obchoduje se v zaj\u00edmav\u00fdch objemech. Na obr\u00e1zku n\u00ed\u017ee je aktu\u00e1ln\u00ed objem obchod\u016f v grafick\u00e9m proveden\u00ed:<\/span><\/p>\n

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\u00a0\u00a0 Volume a Open Interest v \u0159\u00e1dech ni\u017e\u0161\u00edch tis\u00edc\u016f kontrakt\u016f m\u016f\u017ee sv\u011bd\u010dit o slu\u0161n\u00e9 likvidit\u011b, kdykoliv nakoupit a prodat tento futures kontrakt pak nebude patrn\u011b \u017e\u00e1dn\u00fd v\u00fdznamn\u00fd probl\u00e9m.<\/span><\/p>\n

\u00a0\u00a0 T-Bill futures<\/strong> jsou listov\u00e1ny se \u010dtvrtletn\u00ed expirac\u00ed<\/strong> \u2013 b\u0159ezen, \u010derven, z\u00e1\u0159\u00ed a prosinec, ke kter\u00fdm jsou p\u0159id\u00e1ny dal\u0161\u00ed dva futures kontrakty<\/strong> s\u00a0nejbli\u017e\u0161\u00ed m\u011bs\u00ed\u010dn\u00ed expirac\u00ed<\/strong>. Pro den, kdy p\u00ed\u0161u tuto \u010d\u00e1st \u010dl\u00e1nku (za\u010d\u00e1tek \u010dervence 2024) tak plat\u00ed, \u017ee jsou k dispozici \u010dty\u0159i \u010dtvrtletn\u00ed kontrakty SEP24, DEC24, MAR25 a JUN25 a dva kontrakty pro nejbli\u017e\u0161\u00ed kalend\u00e1\u0159n\u00ed m\u011bs\u00edce, tedy JUL24 a AUG24.<\/span><\/p>\n

\u00a0\u00a0 Pro pochopen\u00ed, co tyto T-Bill futures cenov\u011b kop\u00edruj\u00ed, je d\u016fle\u017eit\u00e9 v\u011bd\u011bt, jak jsou vypo\u0159\u00e1d\u00e1v\u00e1ny<\/strong>. T-Bill futures kop\u00edruj\u00ed v\u00fdnosy odpov\u00eddaj\u00edc\u00edch 13-ti t\u00fddenn\u00edch T-Bills a jejich obchodov\u00e1n\u00ed kon\u010d\u00ed v pond\u011bl\u00ed v t\u0159et\u00edm t\u00fddnu m\u011bs\u00edce ozna\u010den\u00e9 expirace T-Bill futures, v tento den jsou tak\u00e9 vypo\u0159\u00e1d\u00e1ny. Mohu pak tyto term\u00edny expirac\u00ed jednotliv\u00fdch aktu\u00e1ln\u00edch T-Bill futures kontrakt\u016f odez\u00edrat na str\u00e1nk\u00e1ch CME na tomto odkazu<\/a><\/strong><\/span>:<\/span><\/p>\n

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\u00a0\u00a0 T-Bill futures s\u00a0expirac\u00ed v\u00a0z\u00e1\u0159\u00ed 2024<\/strong> kon\u010d\u00ed obchodov\u00e1n\u00ed v\u00a0pond\u011bl\u00ed 16.9.2024<\/strong> a v\u00a0tento den je tak\u00e9 vypo\u0159\u00e1d\u00e1no<\/strong>, stejnou informaci mohu vid\u011bt tak\u00e9 v\u00a0aplikaci TWS m\u00e9ho brokera Interactive Brokers:<\/span><\/p>\n

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\u00a0\u00a0 Z t\u00e9to specifikace pak mohu vy\u010d\u00edst, \u017ee posledn\u00ed obchodn\u00ed den a den vypo\u0159\u00e1d\u00e1n\u00ed p\u0159ipadne na 16.9.2024 a \u017ee m\u016fj T-Bill futures kontrakt bude vypo\u0159\u00e1d\u00e1n v pen\u011bz\u00edch (Cash). Mohu tak\u00e9 pozorovat po\u017eadavek na margin u m\u00e9ho brokera ve spodn\u00ed \u010d\u00e1sti obr\u00e1zku.<\/span><\/p>\n

\u00a0\u00a0 Pokud jsou uveden\u00e9 T-Bill futures ozna\u010deny jako futures kontrakty na 13-ti t\u00fddenn\u00ed T-Bills, tak jejich vypo\u0159\u00e1d\u00e1n\u00ed bude odpov\u00eddat pr\u00e1v\u011b tomuto podkladu. Konec obchodov\u00e1n\u00ed<\/strong> a vypo\u0159\u00e1d\u00e1n\u00ed<\/strong> v t\u0159et\u00ed\u00a0pond\u011bl\u00ed<\/strong> expira\u010dn\u00edho m\u011bs\u00edce odpov\u00edd\u00e1 ka\u017edot\u00fddenn\u00ed pond\u011bln\u00ed aukci<\/strong> 13-ti t\u00fddenn\u00edch T-Bills a je tak\u00e9 z jejich v\u00fdsledku odvozeno, proto jsem t\u00e9to aukci v\u011bnoval zv\u00fd\u0161enou pozornost. Settlement cena<\/strong> expiruj\u00edc\u00edho futures bude toti\u017e odvozena od v\u00fdsledku pond\u011bln\u00ed aukce<\/strong> 13-ti t\u00fddenn\u00edch T-Bills v den expirace tohoto T-Bill futures. Dosa\u017een\u00e1 High Rate<\/strong> v t\u00e9to aukci pak bude z\u00e1kladem stanoven\u00ed vypo\u0159\u00e1dac\u00ed ceny T-Bill futures, a to jej\u00edm ode\u010dten\u00edm od hodnoty 100<\/strong>, tedy podle pravidel burzy CME takto:<\/span><\/p>\n

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\u00a0\u00a0 Jednodu\u0161e od hodnoty 100<\/strong> ode\u010dtu hodnotu High Rate<\/strong> dosa\u017eenou v\u00a0pond\u011bln\u00ed aukci T-Bills s\u00a013-t\u00fddenn\u00ed dobou do splatnosti a m\u00e1m vypo\u0159\u00e1dac\u00ed cenu<\/strong>. Pokud by 16.9.2024 byla v\u00a0aukci t\u011bchto T-Bills s\u00a013-t\u00fddenn\u00ed dobou do splatnosti dosa\u017eena High Rate ve v\u00fd\u0161i 4.859% p.a., tak vypo\u0159\u00e1dac\u00ed cena m\u00e9ho SEP24 futures by byla u jeho z\u00e1\u0159ijov\u00e9 expirace (100 – 4.859) s\u00a0hodnotou 95.141. Mohu tak jednodu\u0161e konstatovat, \u017ee po\u0159\u00edzen\u00ed T-Bill futures<\/strong> je s\u00e1zkou na v\u00fd\u0161ku v\u00fdnosu<\/strong> T-Bills s 13-ti t\u00fddenn\u00ed splatnost\u00ed dosa\u017een\u00e9ho v aukci<\/strong> po\u0159\u00e1dan\u00e9 v den expirace<\/strong> tohoto futures.<\/span><\/p>\n

\u00a0\u00a0 S odkazem na tento v\u00fdpo\u010det vypo\u0159\u00e1dac\u00ed ceny pak mohu velmi pohodln\u011b z ceny T-Bill futures odhadovat, jak\u00fd je n\u00e1hled trh\u016f na budouc\u00ed v\u00fdnos T-Bills se splatnost\u00ed 13 t\u00fddn\u016f v dnech, kdy tato p\u0159\u00edslu\u0161n\u00e1 T-Bill futures expiruj\u00ed. Do jejich aktu\u00e1ln\u00ed ceny se toti\u017e prom\u00edt\u00e1 o\u010dek\u00e1v\u00e1n\u00ed \u00fa\u010dastn\u00edk\u016f trh\u016f o v\u00fdsledku aukce T-Bills podle mechanismu popsan\u00e9ho v\u00fd\u0161e, mohu pak z cen jednotliv\u00fdch futures odhadovat, jak tato budouc\u00ed aukce dopadne:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0dosavadn\u00edho pozn\u00e1n\u00ed dluhopisov\u00fdch trh\u016f a pozorov\u00e1n\u00ed chov\u00e1n\u00ed z\u00e1vislosti jejich v\u00fdnos\u016f na aktu\u00e1ln\u00ed m\u011bnov\u00e9 politice americk\u00e9 centr\u00e1ln\u00ed banky se d\u00e1 usoudit, \u017ee \u010d\u00edm krat\u0161\u00ed je splatnost americk\u00e9ho vl\u00e1dn\u00edho dluhopisu, t\u00edm v\u00edce koresponduje jeho v\u00fdnos a aktu\u00e1ln\u00edm p\u00e1smem \u00farokov\u00fdch sazeb t\u00e9to autority. Nyn\u00ed se toto p\u00e1smo pohybuje v\u00a0rozmez\u00ed 5.25 % \u2013 5.50 % p.a. a mohu pak tuto skute\u010dnost vypozorovat na aktu\u00e1ln\u00ed cen\u011b T-Bill futures. Pokud bych analyzoval o\u010dek\u00e1v\u00e1n\u00ed v\u00fdsledku aukce 13-ti t\u00fddenn\u00edch T-Bills v\u00a0aukci po\u0159\u00e1dan\u00e9 v\u00a0pond\u011bl\u00ed 15.\u010dervence 2024 kdy expiruje aktu\u00e1ln\u011b nejbli\u017e\u0161\u00ed \u010dervencov\u00e9 T-Bill futures (1)<\/span><\/strong>, potom je patrn\u00e9, \u017ee (100 – 94.79 = 5.21) v\u00fdnos<\/strong> 13-ti t\u00fddenn\u00edch T-Bills dosa\u017een\u00fd v t\u00e9to aukci po\u0159\u00e1dan\u00e9 zhruba za \u010dtrn\u00e1ct dn\u016f se bude pohybovat na \u00farovn\u00ed v\u00fdsledku tohoto v\u00fdpo\u010dtu, tedy na \u00farovni 5.21% p.a<\/strong>.. Naopak, mohu prozkoumat n\u00e1hled trh\u016f na v\u00fdnos t\u0159in\u00e1ctit\u00fddenn\u00edch dluhopis\u016f za rok, tedy pro obdob\u00ed, kdy expiruje prozat\u00edm nejvzd\u00e1len\u011bj\u0161\u00ed futures. T-Bill futures<\/strong> s expirac\u00ed v \u010dervnu 2025 (2)<\/span><\/strong> se aktu\u00e1ln\u011b obchoduje za 95.92 bodu a z v\u00fdpo\u010dtu (100 \u2013 95.92 = 4.08) by pak vypl\u00fdvalo, \u017ee v\u00fdnos T-Bills s t\u0159in\u00e1ctit\u00fddenn\u00ed dobou do splatnosti bude za rok na \u00farovni 4.08% a bude patrn\u011b odr\u00e1\u017eet p\u00e1smo \u00farokov\u00e9 sazby americk\u00e9ho FEDu okolo t\u011bchto \u00farovn\u00ed, tuto \u00farokovou sazbu by pak m\u011bl p\u0159edstavovat v\u00fdnos 13-ti t\u00fddenn\u00edch T-Bills dosa\u017een\u00fd v aukci po\u0159\u00e1dan\u00e9 za rok, p\u0159esn\u011bji 16.6.2025 . Nutno ihned podotknout, \u017ee toto je pouze predikce vysledovan\u00e1 z ceny t\u011bchto futures a jako ka\u017ed\u00e9 o\u010dek\u00e1v\u00e1n\u00ed se samoz\u0159ejm\u011b nemus\u00ed zcela pln\u011b naplnit. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0 Hodnota jednoho bazick\u00e9ho bodu<\/strong> T-Bill futures je 25 USD<\/strong> a mohu pak toto v\u00fd\u0161e popsan\u00e9 o\u010dek\u00e1v\u00e1n\u00ed tak\u00e9 pomoc\u00ed t\u011bchto T-Bill futures zobchodovat. Mohu pak jednodu\u0161e vsadit na agresivn\u011bj\u0161\u00ed postup americk\u00e9 centr\u00e1ln\u00ed banky a p\u0159edpokl\u00e1dat, \u017ee sni\u017eov\u00e1n\u00ed \u00farokov\u00fdch sazeb nabude na progresi a v\u00fdnosy 13-ti t\u00fddenn\u00edch T-Bills za rok nebudou tak vysok\u00e9, jak o\u010dek\u00e1v\u00e1 trh podle aktu\u00e1ln\u00ed ceny ro\u010dn\u00edch T-Bill futures (tedy ve v\u00fd\u0161i 4,08% p.a.). P\u0159i cen\u011b TBF3<\/strong> (ticker pro toto nejvzd\u00e1len\u011bj\u0161\u00ed futures) s expirac\u00ed v \u010dervnu 2025 (2)<\/span><\/strong> bych mohl vstoupit do Long pozice na tomto futures kontraktu:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 P\u0159i cen\u011b na nyn\u011bj\u0161\u00ed \u00farovni 95.92 bodu bych mohl p\u0159i marginov\u00fdch po\u017eadavc\u00edch men\u0161\u00edch ne\u017e jeden tis\u00edc dolar\u016f pro jeden futures kontrakt o\u010dek\u00e1vat, \u017ee v\u00fdnosy T-Bills p\u0159i expiraci tohoto futures dne 16.6.2025 (cca za rok) nebudou \u010dinit o\u010dek\u00e1van\u00fdch 4.08% p.a.<\/strong>, ale budou se nach\u00e1zet v\u00fdrazn\u011b pod hladinou \u010dty\u0159 procent<\/strong>, nap\u0159\u00edklad na \u00farovni 3.850 % p.a.<\/strong> Pokud by se tak stalo a aukce T-Bills konan\u00e1 v pond\u011bl\u00ed 16.6.2025 by p\u0159inesla v\u00fdsledek 3.85% p.a., potom by cena m\u00e9ho futures kontraktu vzrostla a byla by vypo\u0159\u00e1d\u00e1na za (100 \u2013 3.85 = 96.15) settlement cenu 96.15 bodu<\/strong>. Mohly bych pak vypozorovat, \u017ee cena m\u00e9ho futures povyrostla o (96.15 \u2013 95.92) celkem +23 bod\u016f, kter\u00e9 reprezentuj\u00ed pokles v\u00fdnos\u016f<\/strong> podkladov\u00fdch 13-ti t\u00fddenn\u00edch T-Bills<\/strong> za dobu dr\u017een\u00ed m\u00e9ho futures pr\u00e1v\u011b o -23 bazick\u00fdch bod\u016f<\/strong> a na t\u00e9to transakci bych vyd\u011blal (+23*25 USD) \u010d\u00e1stku +575 USD<\/strong><\/span>. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 T-Bills jsou aktu\u00e1ln\u011b velmi zaj\u00edmavou a frekventovanou investic\u00ed p\u0159edstavuj\u00edc\u00ed slu\u0161n\u00fd a bezpe\u010dn\u00fd v\u00fdnos nad \u00farovn\u00ed 5% p.a. d\u00edky aktu\u00e1ln\u00ed m\u011bnov\u00e9 politice americk\u00e9 centr\u00e1ln\u00ed banky, kter\u00e1 dr\u017e\u00ed \u00farokov\u00e9 sazby v p\u00e1smu koresponduj\u00edc\u00ed s t\u011bmito v\u00fdnosy. Tato situace ale nen\u00ed nijak statick\u00e1 a zcela jist\u011b se zm\u011bn\u00ed, tuto zm\u011bnu bych pak mohl zobchodovat pr\u00e1v\u011b pomoc\u00ed t\u011bchto investi\u010dn\u00edch n\u00e1stroj\u016f \u2013 deriv\u00e1t\u016f T-Bills ve form\u011b futures kontrakt\u016f. Pokud bych se k takov\u00fdm obchod\u016fm nakonec neodhodlal, m\u00edrn\u00e9 pov\u011bdom\u00ed o struktu\u0159e jejich ceny a zp\u016fsobu jejich chov\u00e1n\u00ed pak mohu vyu\u017e\u00edt jako jeden ze skv\u011bl\u00fdch indik\u00e1tor\u016f n\u00e1hledu na dluhopisov\u00e9 trhy a jejich budouc\u00ed v\u00fdvoj. Co si mysl\u00ed \u00fa\u010dastn\u00edci dluhopisov\u00fdch trh\u016f a trh\u016f z jejich deriv\u00e1ty, jak si p\u0159edstavuj\u00ed jejich budoucnost prom\u00edtanou do ceny t\u011bchto investi\u010dn\u00edch n\u00e1stroj\u016f nemus\u00ed b\u00fdt nakonec v\u016fbec \u0161patn\u00e9\u2026:c)<\/span><\/p>\n

\u00a0 \u00a0Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a><\/strong><\/span>…:c)\u00a0<\/span><\/p>\n

\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7176,"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-7175","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\/07\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1RJ","jetpack-related-posts":[{"id":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":7175,"position":0},"title":"Dluhopisy \u2013 XVIII.","author":"dobretrejdy :c)","date":"20.5.2024","format":false,"excerpt":"\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\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\/05\/MF1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":7175,"position":1},"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":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7175,"position":2},"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":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":7175,"position":3},"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":[]},{"id":7416,"url":"https:\/\/dobretrejdy.com\/?p=7416","url_meta":{"origin":7175,"position":4},"title":"Dluhopisy \u2013 XXII.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"2.1.2025","format":false,"excerpt":"\u00a0\u00a0 Trvale vysok\u00e1 likvidita na americk\u00fdch vl\u00e1dn\u00edch dluhopisech s nejr\u016fzn\u011bj\u0161\u00edmi splatnostmi vytvo\u0159ila p\u0159\u00edle\u017eitost vytvo\u0159it na n\u011b nav\u00e1zan\u00e9 deriv\u00e1ty \u2013 dluhopisov\u00e9 futures kontrakty. V minul\u00fdch \u010dl\u00e1nc\u00edch tak byly pops\u00e1ny \u201evelk\u00e9\u201c dluhopisov\u00e9 Treasury futures a n\u00e1sledn\u011b jejich desetinov\u00e9 klony - Treasury Micro futures. Oba tyto futures kontrakty replikuj\u00ed zm\u011bnu ceny podkladov\u00fdch aktiv\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\/01\/Opt1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6900,"url":"https:\/\/dobretrejdy.com\/?p=6900","url_meta":{"origin":7175,"position":5},"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":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7175","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=7175"}],"version-history":[{"count":10,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7175\/revisions"}],"predecessor-version":[{"id":7332,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7175\/revisions\/7332"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7176"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7175"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7175"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7175"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}