{"id":7204,"date":"2024-07-22T14:09:18","date_gmt":"2024-07-22T12:09:18","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7204"},"modified":"2024-08-18T17:15:36","modified_gmt":"2024-08-18T15:15:36","slug":"dluhopisy-xx","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7204","title":{"rendered":"Dluhopisy XX."},"content":{"rendered":"

\u00a0 Vypad\u00e1 to, \u017ee p\u016fvodn\u011b zva\u017eovan\u00e1 minis\u00e9rie o porozum\u011bn\u00ed a z\u00e1kladech obchodov\u00e1n\u00ed dluhopis\u016f nem\u00e1 konce a stane se z n\u00ed nejdel\u0161\u00ed t\u00e9ma na tomto webu. Pr\u00e1vem. Aktu\u00e1ln\u00ed p\u0159\u00edle\u017eitosti na dluhopisov\u00fdch trz\u00edch a trz\u00edch jejich deriv\u00e1t\u016f mohou p\u0159in\u00e1\u0161et zaj\u00edmav\u00e9 obchody, nen\u00ed proto od v\u011bci t\u011bmto investi\u010dn\u00edm p\u0159\u00edle\u017eitostem v\u00edce p\u0159ij\u00edt na kloub, zejm\u00e9na kdy\u017e m\u016fj broker Interactive Brokers umo\u017e\u0148uje tyto t\u0159\u00eddy aktiv obchodovat, mohu tak na\u010derpan\u00e9 informace zapojit do konkr\u00e9tn\u00edch obchodn\u00edch postup\u016f. Prozat\u00edm jsem se v publikovan\u00e9 s\u00e9rii \u010dl\u00e1nk\u016f o dluhopisech v\u011bnoval obecn\u00e9mu popisu dluhopisov\u00fdch trh\u016f a n\u00e1sledn\u011b z\u00e1kladn\u00edm princip\u016fm oce\u0148ov\u00e1n\u00ed dluhov\u00fdch cenn\u00fdch pap\u00edr\u016f, kde nejv\u011bt\u0161\u00ed prostor jsem v\u011bnoval americk\u00fdm vl\u00e1dn\u00edm dluhopis\u016fm. Z pochopiteln\u00fdch d\u016fvod\u016f, jedn\u00e1 se o nejrozs\u00e1hlej\u0161\u00ed a nejlikvidn\u011bj\u0161\u00ed dluhopisov\u00fd trh, investice do t\u011bchto dluhopis\u016f je pak nav\u00edc pova\u017eov\u00e1na za velmi bezpe\u010dnou transakci. Popis t\u011bchto trh\u016f a vlastnost\u00ed jednotliv\u00fdch cenn\u00fdch pap\u00edr\u016f nyn\u00ed v \u010dl\u00e1nc\u00edch s dluhopisovou t\u00e9matikou pokra\u010duje t\u00e9maty o deriv\u00e1tech, kter\u00e9 jsou na tyto dluhopisy nav\u00e1z\u00e1ny. V minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> jsem popsal futures kontrakty na americk\u00e9 vl\u00e1dn\u00ed dluhopisy<\/strong> se splatnost\u00ed do jednoho roku<\/strong> (T-Bills) a t\u00edm jsem vy\u010derpal pomysln\u00e9 mikrot\u00e9ma deriv\u00e1t\u016f \u2013 term\u00ednovan\u00fdch futures kontrakt\u016f – nav\u00e1zan\u00fdch na americk\u00e9 vl\u00e1dn\u00ed dluhopisy s cel\u00fdm spektrem splatnost\u00ed<\/strong>. Mohu tak nyn\u00ed p\u0159em\u00fd\u0161let o investici jak do fyzick\u00fdch<\/em> dluhopis\u016f (p\u0159esto\u017ee jsou pouze v zaknihovan\u00e9 form\u011b, ale to pojmenov\u00e1n\u00ed \u201efyzick\u00e9\u201c se nyn\u00ed hod\u00ed) s nejr\u016fzn\u011bj\u0161\u00ed dobou do splatnosti nebo mohu jejich cenu nebo v\u00fdnos zachytit pomoc\u00ed popisovan\u00fdch deriv\u00e1t\u016f \u2013 p\u0159\u00edslu\u0161n\u00fdch futures kontrakt\u016f. Mohu tak\u00e9 samoz\u0159ejm\u011b vytv\u00e1\u0159et kombinace t\u011bchto investi\u010dn\u00edch n\u00e1stroj\u016f \u2013 dluhopis\u016f a futures kontrakt\u016f a zaji\u0161\u0165ovat \u010di jinak upravovat dluhopisov\u00e1 portfolia (o tomto t\u00e9matu n\u011bkdy pozd\u011bji).<\/span><\/p>\n

\u00a0\u00a0 Dluhopis jako cenn\u00fd pap\u00edr je n\u011bjak\u00fdm zp\u016fsobem ocen\u011bn a nese konkr\u00e9tn\u00ed v\u00fdnos, oboj\u00ed je velmi obecn\u011b kombinac\u00ed odrazu aktu\u00e1ln\u00ed situace na trz\u00edch \u00farokov\u00fdch sazeb a kredibility emitenta. Doposud popisovan\u00e9 futures kontrakty pak byly nav\u00e1z\u00e1ny na tyto konkr\u00e9tn\u00ed dluhopisy, kter\u00e9 mohu b\u011b\u017en\u011b nakoupit pomoc\u00ed m\u00e9 obchodn\u00ed platformy. Cena futures kontraktu pak n\u00e1sleduje cenu t\u011bchto podkladov\u00fdch dluhopis\u016f, kter\u00e9 slou\u017e\u00ed k dod\u00e1n\u00ed p\u0159i jejich vypo\u0159\u00e1d\u00e1n\u00ed, a\u0165 u\u017e se jedn\u00e1 nap\u0159\u00edklad o ko\u0161 dluhopis\u016f s ur\u010dit\u00fdmi vlastnostmi nebo t\u0159eba v\u00fdsledek jejich aktu\u00e1ln\u00ed aukce. Stejn\u011b tak jako cenu hromady p\u0161enice o ur\u010dit\u00e9 velikosti kop\u00edruje cena p\u0161eni\u010dn\u00e9ho futures kontraktu a jeho cena je utv\u00e1\u0159ena podle podm\u00ednek na trz\u00edch s p\u0161enic\u00ed (o\u010dek\u00e1v\u00e1n\u00ed \u00farody, po\u010das\u00ed, export\/import, velikost z\u00e1sob\u2026) je cena doposud popisovan\u00fdch dluhopisov\u00fdch futures nav\u00e1z\u00e1na na \u201ekonkr\u00e9tn\u00ed\u201c americk\u00fd vl\u00e1dn\u00ed dluhopis, kter\u00e9ho se mohu pomysln\u011b dotknout a jeho\u017e cena a v\u00fdnos je utv\u00e1\u0159ena nejr\u016fzn\u011bj\u0161\u00edmi tr\u017en\u00edmi vlivy. P\u0159ekvapiv\u011b tak dne\u0161n\u00ed \u010dl\u00e1nek bude poprv\u00e9 o deriv\u00e1tech, kter\u00e9 \u017e\u00e1dnou n\u00e1vaznost na konkr\u00e9tn\u00ed dluhopisy m\u00edt nebudou, nicm\u00e9n\u011b si sv\u00fdmi objemy obchod\u016f a v\u00fdznamem pro finan\u010dn\u00ed sektor zasluhuj\u00ed v\u00fdznamnou porci pozornosti. Podstatn\u00e9 pro m\u011b tak\u00e9 je, \u017ee tak\u00e9 tyto deriv\u00e1ty mohu pohodln\u011b obchodovat u sv\u00e9ho brokera Interactive Brokers.<\/span><\/p>\n

\n

SOFR<\/strong><\/span><\/h1>\n

\u00a0\u00a0 SOFR, Secured Overnight Financing Rate<\/strong>, je \u00farokov\u00e1 sazba, kter\u00e1 odr\u00e1\u017e\u00ed no\u010dn\u00ed sazbu<\/strong>, za kterou si finan\u010dn\u00ed instituce<\/strong> p\u016fj\u010duj\u00ed pen\u00edze na mezibankovn\u00edm trhu<\/strong>. Z\u00e1kladn\u00ed vlastnost\u00ed t\u011bchto p\u016fj\u010dek na tomto trhu je jejich zaji\u0161t\u011bn\u00ed cenn\u00fdmi pap\u00edry<\/strong>, zejm\u00e9na americk\u00fdmi vl\u00e1dn\u00edmi dluhopisy nebo dluhopisy vl\u00e1dn\u00edch agentur. Jedn\u00e1 se tak o tzv. repo operace, kdy jedna strana dod\u00e1v\u00e1 druh\u00e9 stran\u011b cenn\u00fd pap\u00edr v\u00fdm\u011bnou za p\u016fj\u010dku se z\u00e1vazkem, \u017ee tento cenn\u00fd pap\u00edr<\/strong> (americk\u00fd vl\u00e1dn\u00ed dluhopis) odkoup\u00ed v\u00a0budoucnosti zp\u011bt<\/strong> za ur\u010ditou cenu<\/strong>. Proto\u017ee se jedn\u00e1 o p\u016fj\u010dku, kter\u00e1 je zaji\u0161t\u011bna vysoce bonitn\u00edmi cenn\u00fdmi pap\u00edry, jsou tyto operace ozna\u010dov\u00e1ny jako \u201esecured<\/strong>\u201c, tedy zaji\u0161t\u011bn\u00e9 t\u00edmto typem kolater\u00e1lu. Rozd\u00edl mezi jeho prodejem a n\u00e1kupem zp\u011bt pak vytv\u00e1\u0159\u00ed v\u00fdnos<\/strong>, kter\u00fd p\u0159edstavuje ur\u010ditou \u00farokovou sazbu<\/strong> (repo sazba), kter\u00e1 p\u0159edstavuje z\u00e1klad tohoto deriv\u00e1tu<\/strong>. SOFR je tak \u201eamerickou\u201c n\u00e1hradou za LIBOR (London Interbank Offered Rate), proslulou (v ne tak d\u00e1vn\u00e9 minulosti) zaj\u00edmav\u00fdmi manipulacemi. LIBOR p\u0159edstavoval obecn\u011b \u201en\u00e1hled\u201c na v\u00fd\u0161i t\u011bchto sazeb optikou vybran\u00fdch p\u0159edn\u00edch sv\u011btov\u00fdch bank (\u201eHele, za kolik by sis tak dnes byl ochoten od n\u00e1s p\u016fj\u010dit dv\u011b miliardy euro?\u201c), nam\u00edsto SOFR<\/strong>, kter\u00fd vych\u00e1z\u00ed z opravdu uskute\u010dn\u011bn\u00fdch transakc\u00ed<\/strong> a n\u011bjak\u00e9 pohledy na trhy s \u00farokov\u00fdmi sazbami z tepl\u00fdch kancel\u00e1\u0159\u00ed bank\u00e9\u0159\u016f nejsou pro jej\u00ed stanoven\u00ed relevantn\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Stanoven\u00ed \u00farokov\u00e9 sazby, kter\u00e1 je ozna\u010dena jako SOFR, tak prob\u00edh\u00e1 zp\u011btn\u011b z\u00a0uskute\u010dn\u011bn\u00fdch finan\u010dn\u00edch transakc\u00ed ur\u010dit\u00e9ho typu, tedy t\u011bch, kter\u00e9 jsou zaji\u0161t\u011bny americk\u00fdmi vl\u00e1dn\u00edmi dluhov\u00fdmi cenn\u00fdmi pap\u00edry a kter\u00e9 se uskute\u010dnily v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm obchodn\u00edm dni. Sb\u011bratelem podklad\u016f a dat o t\u011bchto transakc\u00edch je New York FED<\/strong>, tato shroma\u017e\u010fuje ze v\u0161ech mo\u017en\u00fdch zdroj\u016f informace o t\u011bchto prob\u011bhl\u00fdch finan\u010dn\u00edch transakc\u00edch \u2013 p\u016fj\u010dek na mezibankovn\u00edm trhu na b\u00e1zi popisovan\u00e9ho zaji\u0161\u0165ovac\u00edho kolater\u00e1lu a na z\u00e1klad\u011b t\u011bchto transakc\u00ed stanovuje sazbu SOFR. Tuto zve\u0159ej\u0148uje na sv\u00fdch webov\u00fdch str\u00e1nk\u00e1ch v 8:00 ET v tomto um\u00edst\u011bn\u00ed<\/a><\/strong><\/span>. Zp\u016fsob jej\u00edho stanoven\u00ed je pom\u011brn\u011b jednoduch\u00fd. Po sesb\u00edr\u00e1n\u00ed dat o proveden\u00fdch transakc\u00edch (objem transakce a jeho \u00farokov\u00e1 sazba) jsou tyto transakce se\u0159azeny vzestupn\u011b podle objemu a je vyhled\u00e1n medi\u00e1n t\u011bchto transakc\u00ed<\/strong> podle jejich \u00farokov\u00fdch sazeb. Medi\u00e1nem je pak takov\u00e1 sazba, kdy polovina objemu transakc\u00ed je uskute\u010dn\u011bna s men\u0161\u00edm v\u00fdnosem ne\u017e je medi\u00e1n a druh\u00e1 polovina transakc\u00ed byla provedena s vy\u0161\u0161\u00edm v\u00fdnosem ne\u017e je tento medi\u00e1n. Medi\u00e1n<\/strong> je pot\u00e9 ozna\u010den za SOFR<\/strong>, tento je pro dan\u00fd den zve\u0159ejn\u011bn na str\u00e1nk\u00e1ch New York FED<\/a><\/strong><\/span>:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Aktu\u00e1ln\u011b mohu vypozorovat, \u017ee medi\u00e1n sazeb p\u016fj\u010dek na mezibankovn\u00edm trhu zaji\u0161t\u011bn\u00fd dluhov\u00fdmi cenn\u00fdmi pap\u00edry v p\u0159edch\u00e1zej\u00edc\u00edm obchodn\u00edm dni \u010dinil 5.34% p.a. (1)<\/span><\/strong> a je zji\u0161t\u011bn z \u00fadaj\u016f o uskute\u010dn\u011bn\u00fdch repo operac\u00edch v celkov\u00e9m objemu t\u00e9m\u011b\u0159 dva biliony USD (2)<\/span><\/strong>. Takto prezentov\u00e1na \u00farokov\u00e1 sazba je pak podkladem pro SOFR futures kontrakty. Mohu tak pomoc\u00ed t\u011bchto futures kontrakt\u016f spekulovat na jejich pohyb, na jej\u00ed v\u00fd\u0161i v\u00a0okam\u017eiku vypo\u0159\u00e1d\u00e1n\u00ed \u010di pozorovat, jak\u00fd je n\u00e1hled na v\u00fdvoj t\u00e9to \u00farokov\u00e9 sazby optikou \u00fa\u010dastn\u00edk\u016f trh\u016f s\u00a0t\u011bmito futures. SOFR je pak (jako n\u00e1hra\u017eka LIBORu) referen\u010dn\u00ed sazbou pro obrovsk\u00e9 mno\u017estv\u00ed dolarov\u00fdch finan\u010dn\u00edch produkt\u016f \u2013 komer\u010dn\u00edch i nekomer\u010dn\u00edch \u00fav\u011br\u016f, hypot\u00e9k, m\u011bnov\u00fdch a \u00farokov\u00fdch swap\u016f, fondov\u00fdch benchmark\u016f, dluhopis\u016f s\u00a0prom\u011bnliv\u00fdm v\u00fdnosem nav\u00e1zan\u00fdm na SOFR atd\u2026v\u0161ude, kde byl v\u00a0minulosti finan\u010dn\u00ed produkt nav\u00e1z\u00e1n na LIBOR je tato vazba nahrazov\u00e1na vztahem k\u00a0SOFR.<\/span><\/p>\n

SOFR Futures<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Trh SOFR futures je gigantick\u00fd, aktu\u00e1ln\u011b se obchoduj\u00ed dva z\u00e1kladn\u00ed typy t\u011bchto futures kontrakt\u016f \u2013 jednom\u011bs\u00ed\u010dn\u00ed SOFR futures<\/strong> a t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed SOFR futures<\/strong>. Na obr\u00e1zku n\u00ed\u017ee je denn\u00ed objem obchod\u016f s\u00a0t\u0159\u00edm\u011bs\u00ed\u010dn\u00edmi SOFR futures a objem otev\u0159en\u00fdch kontrakt\u016f:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Denn\u00ed objem obchod\u016f ve v\u00fd\u0161i ni\u017e\u0161\u00edch jednotek milion\u016f kontrakt\u016f sv\u011bd\u010d\u00ed o opravdu \u00factyhodn\u00e9 velikosti tohoto trhu, Open Interest ve v\u00fd\u0161i osciluj\u00edc\u00ed kolem deseti milion\u016f kontrakt\u016f nazna\u010duje jejich masivn\u00ed vyu\u017e\u00edvan\u00ed p\u0159i nejr\u016fzn\u011bj\u0161\u00edch m\u011bnov\u00fdch a \u00farokov\u00fdch operac\u00edch, o p\u0159\u00edpadnou ztr\u00e1tu likvidity na t\u011bchto trz\u00edch bych tak nem\u011bl \u017e\u00e1dn\u00e9 obavy. Co je pro m\u011b nem\u00e9n\u011b d\u016fle\u017eit\u00e9 je skute\u010dnost, \u017ee tyto SOFR futures kontrakty mohu obchodovat u sv\u00e9ho brokera Interactive Brokers, nemus\u00edm tak m\u00edt jen suchop\u00e1rn\u00e9 znalosti o t\u011bchto \u00farokov\u00fdch deriv\u00e1tech, ale mohu je zapojit do sv\u00fdch obchod\u016f. Mohu tak v\u00a0obr\u00e1zku n\u00ed\u017ee vid\u011bt aktu\u00e1ln\u00ed nab\u00eddku jednom\u011bs\u00ed\u010dn\u00edch SOFR futures<\/strong> v\u00a0m\u00e9 obchodn\u00ed platform\u011b:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Stejn\u011b tak mohu vypozorovat na obr\u00e1zku n\u00ed\u017ee \u010d\u00e1st nab\u00eddky t\u0159\u00edm\u011bs\u00ed\u010dn\u00edch SOFR futures<\/strong>:<\/span><\/p>\n

\"\"<\/p>\n

\n

Three-Month SOFR Futures (SR3)<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Posta\u010d\u00ed nyn\u00ed porozum\u011bt z\u00e1kladn\u00edm proces\u016fm kolem t\u011bchto term\u00ednovan\u00fdch kontrakt\u016f a u\u010dinit tak tyto investi\u010dn\u00ed n\u00e1stroje v\u00edce srozumiteln\u00fdmi a pou\u017eiteln\u011bj\u0161\u00edmi pro p\u0159\u00edpadn\u00e9 obchody. Pro popis vlastnost\u00ed t\u011bchto SOFR futures kontrakt\u016f se nyn\u00ed zam\u011b\u0159\u00edm na t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed SOFR futures, zejm\u00e9na proto, \u017ee jsem v minul\u00e9m \u010dl\u00e1nku Dluhopisy – XIX<\/a><\/strong><\/span>. popisoval futures kontrakty s podkladov\u00fdm aktivem 13-ti t\u00fddenn\u00edch T-Bills, tzv. T-Bill futures, proto nyn\u00ed nejd\u0159\u00edve<\/strong> setrv\u00e1m v popisu SOFR futures pr\u00e1v\u011b u t\u0159\u00edm\u011bs\u00ed\u010dn\u00edch SOFR futures<\/strong>, tedy kontrakt\u016f n\u00e1sleduj\u00edc\u00edch stejn\u011b dlouh\u00e9 \u010dasov\u00e9 obdob\u00ed.<\/span><\/p>\n

Ozna\u010den\u00ed a listing<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Pro\u010d d\u011blat v\u011bci jednodu\u0161e, kdy\u017e to jde slo\u017eit\u011bji. Zab\u011bhl\u00e1 praxe obchodn\u00edk\u016f s futures kontrakty stoj\u00ed na vypozorovan\u00fdch a zaveden\u00fdch pravidlech ozna\u010den\u00ed jednotliv\u00fdch futures kontrakt\u016f tak, \u017ee ozna\u010den\u00ed jednotliv\u00fdch futures kontrakt\u016f odpov\u00edd\u00e1 dob\u011b jejich expirace. ZCZ4 je prosincov\u00fd kuku\u0159i\u010dn\u00fd kontrakt s expirac\u00ed v prosinci 2024, ZNU4 je z\u00e1\u0159ijov\u00fd kontrakt na desetilet\u00e9 dluhopisy s expirac\u00ed v z\u00e1\u0159\u00ed 2024 a VXV4 je \u0159\u00edjnov\u00fd VIX futures kontrakt s expirac\u00ed v \u0159\u00edjnu 2024, nic nepochopiteln\u00e9ho, zaveden\u00e1 praxe m\u00e1 svou logiku – n\u00e1zev odpov\u00edd\u00e1 dob\u011b, kdy je s futures ukon\u010deno obchodov\u00e1n\u00ed a je vypo\u0159\u00e1d\u00e1no. Existuj\u00ed v\u00fdjimky, kdy je nutn\u00e9 s futures ukon\u010dit obchodov\u00e1n\u00ed d\u0159\u00edve, ne\u017e je futures vypo\u0159\u00e1d\u00e1v\u00e1no, zejm\u00e9na u komodit, kdy je p\u0159\u00edpadn\u00e9 fyzick\u00e9 dod\u00e1n\u00ed komodity specifick\u00e9. CLZ4 je prosincov\u00e9 ropn\u00e9 futures, kter\u00e9 expiruje o m\u011bs\u00edc d\u0159\u00edve, tedy v listopadu 2024, nicm\u00e9n\u011b subjekty, kter\u00e9 cht\u011bj\u00ed fyzick\u00e9 doru\u010den\u00ed podkladov\u00e9ho aktiva, se mus\u00ed na toto p\u0159evzet\u00ed p\u0159ipravit dokumenta\u010dn\u011b a logisticky \u2013 n\u00e1v\u0161t\u011bvou termin\u00e1lu v Cushing v Oklahom\u011b, kde je jim do cisterny na\u010depov\u00e1na p\u0159\u00edslu\u0161n\u00e1 d\u00e1vka podkladov\u00e9 ropy (obrazn\u011b), co\u017e je nutn\u00e9 n\u00e1le\u017eit\u011b \u201ezprocesovat\u201c v \u010dase po ukon\u010den\u00ed obchodov\u00e1n\u00ed dan\u00e9ho futures. P\u0159i ozna\u010den\u00ed ropn\u00e9ho futures kontraktu tedy mus\u00edm b\u00fdt na pozoru a v\u011bd\u011bt, \u017ee obchodov\u00e1n\u00ed s n\u00edm kon\u010d\u00ed v p\u0159edch\u00e1zej\u00edc\u00edm m\u011bs\u00edci, ne\u017e je n\u00e1zev tohoto futures. U t\u0159\u00edm\u011bs\u00ed\u010dn\u00edch SOFR futures<\/strong> je tomu ale jinak, n\u00e1zev tohoto futures ozna\u010duje m\u011bs\u00edc<\/strong>, od kter\u00e9ho b\u011b\u017e\u00ed t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed doba do jeho expirace<\/strong>:<\/span><\/p>\n

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\u00a0\u00a0 P\u0159esto\u017ee je nyn\u00ed ji\u017e \u010dervenec 2024<\/strong>, mohu nyn\u00ed ve sv\u00e9 platform\u011b vypozorovat aktivn\u00ed futures<\/strong> s\u00a0ozna\u010den\u00edm SR3 MAY24<\/strong>, tedy futures, kter\u00e9 by podle sv\u00e9ho ozna\u010den\u00ed m\u011blo m\u00edt ji\u017e d\u00e1vno po sv\u00e9 expiraci. Nen\u00ed tomu ale tak, proto\u017ee ozna\u010den\u00ed se v\u00e1\u017ee pr\u00e1v\u011b na ozna\u010den\u00ed m\u011bs\u00edce, ve kter\u00e9m za\u010d\u00edn\u00e1 b\u011b\u017eet t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed doba do jeho expirace, mohu tedy usoudit, \u017ee tato expirace nastane v\u00a0m\u011bs\u00edci srpnu 2024 (AUG24). Ze specifikace kontraktu z\u00a0m\u00e9 obchodn\u00ed platformy pak mohu vypozorovat, \u017ee je tomu opravdu tak:\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Mohu pak pro v\u0161echny aktu\u00e1ln\u011b obchodovan\u00e9 SOFR futures kontrakty sledovat jejich \u201ekritick\u00e9\u201c term\u00edny v kalend\u00e1\u0159i na str\u00e1nk\u00e1ch burzy CME zde<\/a><\/strong><\/span>.<\/span><\/p>\n

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\u00a0 \u00a0\u00dadaje ke kontraktu SR3 MAY24 pak odpov\u00eddaj\u00ed \u00fadaj\u016fm v m\u00e9 obchodn\u00ed platform\u011b. Tak\u00e9 jsem zde schopen pozorovat mno\u017estv\u00ed aktu\u00e1ln\u011b listovan\u00fdch SR3 futures kontrakt\u016f se zji\u0161t\u011bn\u00edm, \u017ee tyto jsou listov\u00e1ny op\u011bt ve \u010dtvrtletn\u00edch expirac\u00edch<\/strong> MAR, JUN, SEP a DEC pro celkem 39 n\u00e1sleduj\u00edc\u00edch \u010dtvrtlet\u00ed<\/strong> a k nim jsou p\u0159id\u00e1ny SR3 futures kontrakty pro \u0161est aktu\u00e1ln\u011b nejbli\u017e\u0161\u00edch m\u011bs\u00edc\u016f<\/strong>. Mohu tak nyn\u00ed v \u010dervenci 2024 vypozorovat, \u017ee m\u011bs\u00ed\u010dn\u00ed frekvence listovan\u00fdch futures kon\u010d\u00ed v prosinci 2024, n\u00e1sleduj\u00ed pouze \u010dtvrtletn\u00ed SR3 futures, kde nejvzd\u00e1len\u011bj\u0161\u00ed nese ozna\u010den\u00ed SR3 DEC 2033. Mohu tak pomoc\u00ed tohoto nejvzd\u00e1len\u011bj\u0161\u00edho<\/strong> SR3 DEC33 futures kontraktu spekulovat na v\u00fd\u0161i SOFR v m\u011bs\u00edci b\u0159eznu 2034, tedy s horizontem t\u00e9m\u011b\u0159 deset let<\/strong>.<\/span><\/p>\n

Cena SR3 futures kontrakt\u016f<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Kuri\u00f3zn\u00ed p\u0159\u00edstup k ozna\u010den\u00ed jednotliv\u00fdch SR3 futures kontrakt\u016f m\u00e1 tak sv\u016fj hlub\u0161\u00ed smysl a logika tohoto ozna\u010den\u00ed spo\u010d\u00edv\u00e1 v tvorb\u011b jeho ceny a zp\u016fsobu jej\u00edho vypo\u0159\u00e1d\u00e1n\u00ed. Mohu studiem specifikace tohoto futures kontraktu zjistit, \u017ee pro stanoven\u00ed jeho ceny<\/strong> je op\u011bt pou\u017eita metoda 100 \u2013 R<\/strong>, tedy \u201ehypotetickou aktu\u00e1ln\u00ed\u201c \u00farokovou sazbu (SOFR) ode\u010d\u00edt\u00e1m od hodnoty 100 a t\u00edm je dan\u00e1 aktu\u00e1ln\u00ed cena tohoto SR3 futures kontraktu, pokud tedy vid\u00edm v\u00a0platform\u011b cenu SR3 JAN25 na \u00farovni 95.30 znamen\u00e1 to, \u017ee \u00farokov\u00e1 sazba definuj\u00edc\u00ed cenu tohoto lednov\u00e9ho SR3 futures kontraktu je na \u00farovni (100 – 95.30) ve v\u00fd\u0161i 4.70% p.a.. Co ale tato cena znamen\u00e1, kdy\u017e se jedn\u00e1 o t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed futures kontrakt a mohu jej obchodovat s\u00a0p\u016flro\u010dn\u00edm p\u0159edstihem ji\u017e nyn\u00ed?\u00a0 Pro pochopen\u00ed tvorby ceny a stanoven\u00ed \u00farokov\u00e9 sazby, kterou budu ode\u010d\u00edtat od stovky, je d\u016fle\u017eit\u00e1 definice tzv. \u201ereferen\u010dn\u00edho \u010dtvrtlet\u00ed<\/strong>\u201c (Reference Quarter) pro ka\u017ed\u00fd z\u00a0obchodovan\u00fdch SR3 futures kontrakt\u016f. Toto referen\u010dn\u00ed \u010dtvrtlet\u00ed<\/strong> za\u010d\u00edn\u00e1 ka\u017edou t\u0159et\u00ed st\u0159edu v\u00a0kalend\u00e1\u0159n\u00edm m\u011bs\u00edci<\/strong> a kon\u010d\u00ed t\u0159et\u00ed st\u0159edu za t\u0159i kalend\u00e1\u0159n\u00ed m\u011bs\u00edce<\/strong>, pro preciznost definice za\u010dne Reference Quarter pro SR3 JAN25 futures kontrakt ve st\u0159edu 15.1.2025 a skon\u010d\u00ed ve st\u0159edu 16.4.2025, \u00fapln\u011b konkr\u00e9tn\u011b se v \u00fater\u00fd 15.4.2025 ukon\u010d\u00ed obchodov\u00e1n\u00ed s t\u00edmto SR3 JAN25 futures kontraktem a n\u00e1sleduj\u00edc\u00ed den, ve st\u0159edu 16.4.2025, bude toto futures vypo\u0159\u00e1d\u00e1no. Tak\u017ee abych m\u011bl jasno v n\u00e1zvoslov\u00ed, ozna\u010den\u00ed SR3 JAN25 znamen\u00e1 ozna\u010den\u00ed m\u011bs\u00edce, ve kter\u00e9m za\u010d\u00edn\u00e1 b\u011b\u017eet t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed perioda, tzv. \u201ereferen\u010dn\u00edho \u010dtvrtlet\u00ed\u201c.<\/span><\/p>\n

\u00a0\u00a0 Stanoven\u00ed a v\u00fdpo\u010det ceny \u00farokov\u00e9 sazby, kter\u00e1 tvo\u0159\u00ed cenu SR3 futures kontraktu (tu, kterou ode\u010d\u00edt\u00e1m od hodnoty 100) pak mohu rozd\u011blit na dv\u011b \u010dasov\u00e9 obdob\u00ed \u2013 obdob\u00ed p\u0159ed po\u010d\u00e1tkem b\u011bhu referen\u010dn\u00edho \u010dtvrtlet\u00ed a obdob\u00ed, kdy se budu \u010dasov\u011b nach\u00e1zet v\u00a0referen\u010dn\u00edm \u010dtvrtlet\u00ed. Mohu tak konstatovat, \u017ee pro dne\u0161n\u00ed den 18.7.2024 je futures s\u00a0ozna\u010den\u00edm SR3 JAN25 takov\u00fdm kontraktem, kde toto referen\u010dn\u00ed obdob\u00ed teprve za\u010dne (t\u0159et\u00ed st\u0159edu v\u00a0lednu 2025 \u2013 za p\u016fl roku) a SR3 JUN24 je naopak futures, kde ji\u017e toto referen\u010dn\u00ed \u010dtvrtlet\u00ed aktu\u00e1ln\u011b b\u011b\u017e\u00ed (proto\u017ee za\u010dalo t\u0159et\u00ed st\u0159edu v\u00a0\u010dervnu 2024 a skon\u010d\u00ed t\u0159et\u00ed st\u0159edu v\u00a0z\u00e1\u0159\u00ed 2024 a nyn\u00ed jsem \u010dasov\u011b uvnit\u0159 tohoto obdob\u00ed).<\/span><\/p>\n

\u00a0\u00a0 Stanoven\u00ed sazby \u201eR\u201c, utv\u00e1\u0159ej\u00edc\u00ed cenu jednotliv\u00fdch futures, je pak rozd\u00edln\u00e9 pr\u00e1v\u011b v\u00a0t\u011bchto dvou obdob\u00edch. Pokud u obchodovan\u00e9ho futures je\u0161t\u011b referen\u010dn\u00ed \u010dtvrtlet\u00ed nezapo\u010dalo<\/strong>, je jeho hodnota zcela na z\u00e1klad\u011b tr\u017en\u00edch o\u010dek\u00e1v\u00e1n\u00ed a nen\u00ed nijak exaktn\u011b podlo\u017eena, je tak zat\u00ed\u017eena zna\u010dnou m\u00edrou nejistoty<\/strong>, kde se nakonec u vypo\u0159\u00e1d\u00e1n\u00ed bude nach\u00e1zet. Pokud se ale plynut\u00edm \u010dasu posune nab\u00edzen\u00e9 SR3 futures do obdob\u00ed, kdy po\u010dne b\u011b\u017eet jeho referen\u010dn\u00ed \u010dtvrtlet\u00ed<\/strong>, bude se cena \u201eR\u201c odv\u00edjet \u010d\u00e1ste\u010dn\u011b od skute\u010dn\u00e9 ceny SOFR<\/strong> zve\u0159ej\u0148ovan\u00e9 s\u00a0jednodenn\u00edm zpo\u017ed\u011bn\u00edm na str\u00e1nk\u00e1ch New York FEDu a ve zbytku bude utv\u00e1\u0159ena tr\u017en\u00edmi o\u010dek\u00e1v\u00e1n\u00edmi<\/strong>, jak\u00e1 bude tato sazba SOFR ke dni vypo\u0159\u00e1d\u00e1n\u00ed. Jak mohu toto konstatov\u00e1n\u00ed vysv\u011btlit bude patrn\u00e9 z\u00a0metody, jak se SOFR futures kontrakty vypo\u0159\u00e1d\u00e1vaj\u00ed.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

Settlement SR3 futures kontrakt\u016f<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Vypo\u0159\u00e1d\u00e1n\u00ed SR3 futures kontrakt\u016f ve t\u0159et\u00ed st\u0159edu m\u011bs\u00edce, kdy kon\u010d\u00ed jeho obchodov\u00e1n\u00ed, je uskute\u010dn\u011bno za cenu slo\u017eenou z v\u00fdpo\u010dtu jednotliv\u00fdch SOFR \u00farokov\u00fdch sazeb<\/strong> postupn\u011b zve\u0159ej\u0148ovan\u00fdch za cel\u00e9 referen\u010dn\u00ed \u010dtvrtlet\u00ed<\/strong> vypo\u0159\u00e1d\u00e1van\u00e9ho futures. Na rozd\u00edl nap\u0159\u00edklad od T-Bill futures z minul\u00e9ho \u010dl\u00e1nku tak nen\u00ed vypo\u0159\u00e1dac\u00ed cenou hodnota v\u00fdnosu 13-ti t\u00fddenn\u00edch T-Bills dosa\u017een\u00e1 v aukci v den vypo\u0159\u00e1d\u00e1n\u00ed nebo aktu\u00e1ln\u00ed hodnota nejvhodn\u011bj\u0161\u00edho (Cheapest-To-Delivery) podkladov\u00e9ho dluhopisu u vypo\u0159\u00e1d\u00e1v\u00e1n\u00ed Treasury futures \u010di aktu\u00e1ln\u00ed v\u00fdnos p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed Yield futures, ale \u201en\u011bjak\u00fdm\u201c zp\u016fsobem vypo\u010dtena hodnota \u00farokov\u00e9 sazby SOFR za cel\u00e9 referen\u010dn\u00ed \u010dtvrtlet\u00ed. Tento v\u00fdpo\u010det tak bezesporu zasluhuje svou pozornost, proto\u017ee odr\u00e1\u017e\u00ed zcela jin\u00fd pohled na cenotvorbu t\u011bchto futures a zcela jin\u00fd p\u0159\u00edstup p\u0159i vypo\u0159\u00e1d\u00e1v\u00e1n\u00ed tohoto futures. Vzorec pro v\u00fdpo\u010det vypo\u0159\u00e1dac\u00ed ceny je tento:<\/span><\/p>\n

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\u00a0\u00a0 Vypad\u00e1 to hrozn\u011b, ale nen\u00ed tomu tak. Sta\u010d\u00ed pohopit strukturu vzorce a v\u00fdznam jeho prom\u011bnn\u00fdch a \u010dlen\u016f a podstata stanoven\u00ed ceny p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed a princip tvorby ceny SR3 futures je snadno pochopiteln\u00e1. Pokud je tedy v\u00fdpo\u010det sestaven se SOFR<\/strong> sazeb pr\u016fb\u011b\u017en\u011b zve\u0159ej\u0148ovan\u00fdch<\/strong> za cel\u00e9 referen\u010dn\u00ed \u010dtvrtlet\u00ed, potom je asi jasn\u00e9, \u017ee v\u00a0sobotu, ned\u011bli <\/strong>a o burzovn\u00edch sv\u00e1tc\u00edch<\/strong> se neobchoduje<\/strong> a SOFR sazba se nezve\u0159ej\u0148uje, nicm\u00e9n\u011b pro tyto dny se po\u010d\u00edt\u00e1 se sazbou SOFR, kter\u00e1 byla dosa\u017eena v\u00a0pracovn\u00ed den p\u0159edch\u00e1zej\u00edc\u00ed t\u011bmto voln\u016fm<\/strong>. Hodnota d<\/span><\/em><\/strong> tak ur\u010duje, pro kolik dn\u016f uveden\u00e1 sazba vstupuj\u00edc\u00ed do v\u00fdpo\u010dtu plat\u00ed, m\u016f\u017eu tak vypozorovat, \u017ee pro p\u00e1tek<\/strong> bude „d<\/em><\/span>“ s hodnotou 3, proto\u017ee je to sazba SOFR platn\u00e1 pro p\u00e1tek, sobotu a ned\u011bli. Pro b\u011b\u017en\u00fd obchodn\u00ed den<\/strong>, po kter\u00e9m nen\u00e1sleduje volno tak bude m\u00edt \u201ed<\/em><\/span>\u201c hodnotu 1 a pokud by se nap\u0159\u00edklad ve st\u0159edu vyskytnul den, na kter\u00fd p\u0159ipadnou burzovn\u00ed pr\u00e1zdniny<\/strong>, bude m\u00edt p\u0159edch\u00e1zej\u00edc\u00ed \u00fater\u00fd \u201ed<\/em><\/span>\u201c hodnotu 2. Hodnota \u201er<\/strong><\/span><\/em>\u201c ve vzorci je pr\u00e1v\u011b zve\u0159ej\u0148ovanou sazbou SOFR<\/strong> pro ka\u017ed\u00fd pr\u016fb\u011b\u017en\u011b p\u0159edch\u00e1zej\u00edc\u00ed den v referen\u010dn\u00edm \u010dtvrtlet\u00ed, kterou mohu pozorovat na str\u00e1nk\u00e1ch New York FEDu, v\u00fdraz \u201evelk\u00e9 P\u00ed<\/em><\/span><\/strong>\u201c je pak ozna\u010den\u00edm, \u017ee v\u00fdrazy za z\u00e1vorkou, kter\u00e1 za n\u00edm n\u00e1sleduje, budu mezi sebou n\u00e1sobit. Hodnota \u201eD<\/strong><\/em><\/span>\u201c je pak po\u010dtem kalend\u00e1\u0159n\u00edch dn\u016f za referen\u010dn\u00ed \u010dtvrtlet\u00ed.<\/span><\/p>\n

Settlement prakticky<\/strong><\/span><\/h2>\n

\u00a0 Jak se vzorcem prakticky nalo\u017eit a jak\u00e9 jsou v\u00fd\u0161e popsan\u00e9 principy v\u00fdpo\u010dtu mohu demonstrovat na SOFR futures, kter\u00e9mu za\u010dalo b\u011b\u017eet referen\u010dn\u00ed \u010dtvrtlet\u00ed ve st\u0159edu dne 17.4.2024 a obchodov\u00e1n\u00ed s t\u00edmto SOFR futures zakon\u010dilo v t\u0159et\u00ed \u00fater\u00fd za t\u0159i m\u011bs\u00edce a n\u00e1sleduj\u00edc\u00ed den, tedy ve st\u0159edu 17.7.2024, bylo vypo\u0159\u00e1d\u00e1no. Jednalo se tak o SR3 APR24 futures<\/strong>, kter\u00e9 se nyn\u00ed ji\u017e neobchoduje, proto\u017ee obchodov\u00e1n\u00ed s n\u00edm bylo ukon\u010deno a toto futures bylo vypo\u0159\u00e1d\u00e1no. Na obr\u00e1zku n\u00ed\u017ee je uvedena jeho vypo\u0159\u00e1dac\u00ed cena, tak jak jsou jednotliv\u00e9 settlement ceny zobrazov\u00e1ny na str\u00e1nk\u00e1ch CME zde<\/a><\/strong><\/span>.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku mohu vypozorovat, \u017ee p\u0159i v\u00fdb\u011bru vypo\u0159\u00e1d\u00e1vac\u00ed st\u0159edy 17.7.2024<\/strong> (1)<\/strong><\/span> mohu pro SR3 APR24 futures (2)<\/span><\/strong> vypozorovat Settlement cenu<\/strong> na \u00farovni 94.6427 (3)<\/span><\/strong>. Budu tak nyn\u00ed v textu pokra\u010dovat ve zji\u0161\u0165ov\u00e1n\u00ed, jak\u00fdm zp\u016fsobem se k t\u00e9to settlement cen\u011b do\u0161lo a jak byl pro jej\u00ed stanoven\u00ed aplikov\u00e1n v\u00fd\u0161e uveden\u00fd matematick\u00fd vzorec. Za\u010dnu tak, \u017ee data o jednotliv\u00fdch SOFR sazb\u00e1ch v tomto referen\u010dn\u00edm \u010dtvrtlet\u00ed mohu st\u00e1hnout p\u0159\u00edmo na str\u00e1nk\u00e1ch New York Fedu<\/a><\/strong><\/span> zad\u00e1n\u00edm po\u017eadovan\u00e9ho rozsahu dat:<\/span><\/p>\n

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\u00a0\u00a0 Tato data je pak mo\u017eno ve form\u00e1tu Excel d\u00e1le zpracov\u00e1vat podle vzorce pro v\u00fdpo\u010det Settlement ceny. V\u00a0obr\u00e1zku n\u00ed\u017ee je patrn\u00e9, jak jsem se sta\u017een\u00fdmi daty SOFR v\u00a0referen\u010dn\u00edm \u010dtvrtlet\u00ed graficky nalo\u017eil:<\/span><\/p>\n

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\u00a0\u00a0 Pro p\u0159ehlednost jsem tabulku uspo\u0159\u00e1dal do dvou blok\u016f<\/strong> (byla by moc dlouh\u00e1), proto mohu vid\u011bt v\u0161echny data o SOFR (2)<\/span><\/strong> za referen\u010dn\u00ed \u010dtvrtlet\u00ed se\u0159azen\u00e1 od 17.4.2024 (1)<\/span><\/strong> s\u00a0p\u0159esunem do druh\u00e9ho bloku (3)<\/strong><\/span> kon\u010d\u00edc\u00edm dnem, kdy je toto futures vypo\u0159\u00e1d\u00e1no dne 17.7.2024 (4)<\/span><\/strong>. Zastav\u00edm se nejd\u0159\u00edve u stanoven\u00ed hodnoty \u201ed<\/strong><\/span><\/em>\u201c, tedy po\u010dtu dn\u00ed, pro kter\u00e9 bude platit zve\u0159ejn\u011bn\u00e1 SOFR sazba, jak bylo nast\u00edn\u011bno v textu v\u00fd\u0161e:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku a obchodn\u00ed praxe je patrn\u00e9, \u017ee referen\u010dn\u00ed \u010dtvrtlet\u00ed bude obsahovat dny, kdy se neobchoduje, zejm\u00e9na soboty a ned\u011ble, p\u0159\u00edpadn\u011b sv\u00e1tky, kter\u00e9 znamenaj\u00ed burzovn\u00ed pr\u00e1zdniny. V\u00a0obr\u00e1zku pak mohu b\u011b\u017en\u00fd obchodn\u00ed den<\/strong>, pro kter\u00fd byla zve\u0159ejn\u011bna sazba SOFR a po kter\u00e9m n\u00e1sleduje dal\u0161\u00ed obchodn\u00ed den<\/strong> se stejnou akc\u00ed zve\u0159ejn\u011bn\u00ed dal\u0161\u00edho n\u00e1sleduj\u00edc\u00edho SOFR, vid\u011bt ozna\u010den (1)<\/strong><\/span>, kdy po tomto \u00fater\u00fd n\u00e1sleduje b\u011b\u017en\u00e1 obchodn\u00ed st\u0159eda, sazba SOFR je tak platn\u00e1 pouze pro tento jedin\u00fd den a v\u00a0bu\u0148ce pro dal\u0161\u00ed v\u00fdpo\u010dty se pak objevuje hodnota \u201ed\u201c s\u00a0jedni\u010dkou. Pokud se jedn\u00e1 o v\u00edkend<\/strong>, potom plat\u00ed, \u017ee pro oba voln\u00e9 v\u00edkendov\u00e9 dny plat\u00ed hodnota SOFR zve\u0159ejn\u011bn\u00e1 v\u00a0p\u00e1tek, kter\u00fd mu p\u0159ech\u00e1z\u00ed (2)<\/span><\/strong>, proto je hodnota p\u00e1te\u010dn\u00edho SOFR platn\u00e1 pro p\u00e1tek, sobotu i ned\u011bli a potom \u201ed\u201c m\u00e1 hodnotu t\u0159i. Pro p\u00e1tek, kter\u00fd pokra\u010duje v\u00edkendem<\/strong> a je\u0161t\u011b je v pond\u011bl\u00ed po tomto v\u00edkendu je sv\u00e1tek<\/strong> (pond\u011bl\u00ed 27.5.2024 – Memorial Day), je pro tento p\u00e1tek (3)<\/span><\/strong> hodnota \u201ed\u201c na \u00farovni \u010dty\u0159ky. Z t\u00e9to logiky pak vypl\u00fdv\u00e1, \u017ee pokud je sv\u00e1tek<\/strong> a neobchoduje se uprost\u0159ed t\u00fddne<\/strong>, m\u00e1 den p\u0159edch\u00e1zej\u00edc\u00ed tomuto sv\u00e1tku \u201ed\u201c na hodnot\u011b dva (\u010dtvrtek 4.7.2024 \u2013 Independence Day) (4)<\/span><\/strong>. Takto p\u0159ipraven\u00e9 referen\u010dn\u00ed \u010dtvrtlet\u00ed pak mohu podrobit v\u00fdpo\u010dt\u016fm settlement ceny podle vzorce v\u00fd\u0161e v textu:<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0ka\u017ed\u00e9m \u0159\u00e1dku referen\u010dn\u00edho m\u011bs\u00edce provedu \u010d\u00e1st v\u00fdpo\u010dtu se vzorce ze z\u00e1hlav\u00ed tabulky. Ka\u017edou hodnotu \u201ed<\/em><\/span>\u201c vyd\u011bl\u00edm hodnotou 360 (1)<\/strong><\/span> d\u00edky konvenci p\u0159ijat\u00e9 k\u00a0t\u011bmto v\u00fdpo\u010dt\u016fm, kde se za rok pova\u017euje obdob\u00ed trvaj\u00edc\u00ed 360 kalend\u00e1\u0159n\u00edch dn\u016f (sloupec E). Ve vedlej\u0161\u00edm sloupci tabulky (F) vypo\u010d\u00edt\u00e1m dal\u0161\u00ed \u010d\u00e1st vzorce, kterou p\u0159evedu sazbu SOFR na desetinn\u00e9 \u010d\u00edslo<\/strong> po\u017eadovan\u00e9ho tvaru (2)<\/strong><\/span>. V\u00a0dal\u0161\u00edm sloupci pak ob\u011b p\u0159edchoz\u00ed hodnoty mezi sebou vyn\u00e1sob\u00edm a p\u0159i\u010dtu k\u00a0nim jedni\u010dku (3)<\/strong><\/span>, t\u00edm m\u00e1m vy\u0159e\u0161eno \u201ej\u00e1dro vzorce\u201c pro v\u00fdpo\u010det settlement ceny, pokud to takto provedu pro ka\u017ed\u00fd \u0159\u00e1dek tabulky. Zb\u00fdv\u00e1 v\u00fdpo\u010det zkompletovat:<\/span><\/p>\n

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\u00a0\u00a0 Posledn\u00ed sloupce z tabulky v\u00fd\u0161e (sloupce „G“ a „O“) p\u0159edstavuj\u00ed p\u0159edp\u0159ipraven\u00e9 v\u00fdpo\u010dty pro ka\u017ed\u00fd obchodn\u00ed den referen\u010dn\u00edm \u010dtvrtlet\u00ed, podle nadepsan\u00e9ho vzorce pak sta\u010d\u00ed tyto jednotliv\u00e9 hodnoty mezi sebou vyn\u00e1sobit (velk\u00e9 P\u00ed ze vzorce), toto provedu v excelu funkc\u00ed =IMPRODUCT<\/em> do kter\u00e9 zad\u00e1m oblast dat, kter\u00e1 chci mezi sebou vyn\u00e1sobit (1)<\/span><\/strong>. Od tohoto sou\u010dinu, souhlasn\u011b se vzorcem, ode\u010dtu hodnotu jedna (2)<\/span><\/strong>. Takto z\u00edskanou hodnotu podrob\u00edm anualizaci (3)<\/span><\/strong>, budu tedy tuto hodnotu n\u00e1sobit pod\u00edlem d\u00e9lky kalend\u00e1\u0159n\u00edho roku podle konvence (360 dn\u016f) a po\u010dtu dn\u016f – trv\u00e1n\u00ed kalend\u00e1\u0159n\u00edho \u010dtvrtlet\u00ed (91 dn\u016f), za kter\u00e9 hled\u00e1m sv\u016fj v\u00fdpo\u010det, toto je\u0161t\u011b vyn\u00e1sob\u00edm stovkou. V\u00fdsledn\u00e9 \u010d\u00edslo zaokrouhl\u00edm na jednu setinu bazick\u00e9ho bodu (4)<\/span><\/strong>. Ode\u010dten\u00edm od stovky z\u00edsk\u00e1m Settlement cenu<\/strong> na \u00farovni 94,6427 (5)<\/span><\/strong>, tedy p\u0159esn\u011b stejnou cenu, kterou vid\u00edm na str\u00e1nk\u00e1ch CME, za tuto cenu bylo toto SR3 APR24 futures vypo\u0159\u00e1d\u00e1no, toto ov\u011b\u0159eno tak\u00e9 vlastn\u00edm manu\u00e1ln\u00edm v\u00fdpo\u010dtem.<\/span><\/p>\n

\u00a0\u00a0 Pro\u010d takov\u00e9 zkoum\u00e1n\u00ed vlastn\u011b prov\u00e1d\u011bt a pro\u010d se nakonec nespokojit pouze s n\u00e1v\u0161t\u011bvou webu CME a zjistit settlement cenu a m\u00e1m po starostech s excelovsk\u00fdmi v\u00fdpo\u010dty? Odpov\u011bd\u00ed je pak konstatov\u00e1n\u00ed v\u00fd\u0161e v textu, \u017ee stanoven\u00ed ceny jak\u00e9hokoliv SOFR futures mohu rozd\u011blit na dv\u011b obdob\u00ed, na obdob\u00ed, kdy se obchodovan\u00e9 futures nach\u00e1z\u00ed v referen\u010dn\u00edm \u010dtvrtletn\u00ed nebo je\u0161t\u011b takov\u00e9 \u010dtvrtlet\u00ed u n\u011bj neza\u010dalo. U SOFR futures se vzd\u00e1lenou expirac\u00ed mimo referen\u010dn\u00ed \u010dtvrtlet\u00ed jeho cena odr\u00e1\u017e\u00ed n\u00e1hled na SOFR sazby s obrovskou d\u00e1vkou nejistoty a je tak utv\u00e1\u0159ena pouze tr\u017en\u00edmi silami nab\u00eddky a popt\u00e1vky, v p\u0159\u00edpad\u011b, \u017ee se ji\u017e takov\u00e9 SOFR futures ocitne v referen\u010dn\u00edm \u010dtvrtlet\u00ed, vstupuje do jeho ceny ji\u017e bl\u00edzkost okam\u017eiku vypo\u0159\u00e1d\u00e1n\u00ed a za\u010d\u00edn\u00e1 b\u011b\u017eet v\u00fdpo\u010det settlement ceny podle algoritmu nazna\u010den\u00e9ho v excelovsk\u00e9 tabulce. Tak, jak se bl\u00ed\u017e\u00ed doba do expirace, je cena obchodovan\u00e9ho futures st\u00e1le v\u00edce p\u0159itahov\u00e1na k cen\u011b, kter\u00e1 je podrobov\u00e1na tomuto v\u00fdpo\u010dtu, aby nakonec s vypo\u010d\u00edt\u00e1vanou cenou za cel\u00e9 referen\u010dn\u00ed \u010dtvrtlet\u00ed splynula. Mohu tak konstatovat, \u017ee m\u00edra nejistoty se sm\u011brem k vypo\u0159\u00e1d\u00e1n\u00ed vytr\u00e1c\u00ed a v\u00edce vstupuje do hry pr\u00e1v\u011b proveden\u00fd v\u00fdpo\u010det, mohu pak sledovat, jak\u00fdm zp\u016fsobem se p\u016fsoben\u00ed tr\u017en\u00edho prost\u0159ed\u00ed projevuje v cen\u011b obchodovan\u00e9ho \u010dtvrtlet\u00ed a nakolik je podstata ceny ji\u017e dan\u00e1 nadepsan\u00fdm v\u00fdpo\u010dtem. <\/span>Na obr\u00e1zku n\u00ed\u017ee je cena SR3 JUN24 futures tak, jak se obchoduje v\u00a0m\u00e9 obchodn\u00ed platform\u011b nyn\u00ed 19.7.2024 (p\u00e1tek):<\/span><\/p>\n

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\u00a0\u00a0 Toto SR3 JUN24 futures<\/strong>, vzhledem k\u00a0tomu \u017ee je polovina \u010dervence, se nach\u00e1z\u00ed v\u00a0referen\u010dn\u00ed \u010dtvrtlet\u00ed<\/strong>, kter\u00e9 zapo\u010dalo ve st\u0159edu 12.6.2024 a bude expirovat ve st\u0159edu 17.9.2024. Jeho cena je aktu\u00e1ln\u011b 94.63 bod\u016f<\/strong>. Z\u00a0tohoto referen\u010dn\u00edho \u010dtvrtlet\u00ed ub\u011bhlo k\u00a0dne\u0161n\u00edmu dni 37 obchodn\u00edch dn\u016f<\/strong>. Mohu si pak zp\u016fsobem stejn\u00fdm jako v\u00a0uk\u00e1zkov\u00e9m p\u0159\u00edkladu v\u00fd\u0161e po\u0159\u00eddit data SOFR za toto b\u011b\u017e\u00edc\u00ed \u010dtvrtlet\u00ed (za dosavadn\u00edch 37 dn\u016f) a zjistit, jak\u00e1 by byla nyn\u00ed vypo\u0159\u00e1dac\u00ed cena podle v\u00fdpo\u010dtu a nakolik se li\u0161\u00ed od aktu\u00e1ln\u00ed tr\u017en\u00ed ceny.\u00a0 \u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Sta\u017een\u00e1 data ze str\u00e1nek newyorsk\u00e9ho FEDu za obdob\u00ed 37 dn\u016f pak vygeneruj\u00ed obdobn\u00fdm v\u00fdpo\u010dtem tuto aktu\u00e1ln\u00ed hodnotu:<\/span><\/p>\n

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\u00a0\u00a0 Pokud v\u00a0\u0159\u00e1dku ozna\u010den\u00e9m \u010dervenou \u0161ipkou anualizujeme v\u00fdpo\u010det d\u011blen\u00edm hodnotou 37 (d\u00e9lka aktu\u00e1ln\u00edho nam\u011b\u0159en\u00e9ho obdob\u00ed), zjist\u00edme, \u017ee pokud by byl tento futures kontrakt nyn\u00ed vypo\u0159\u00e1d\u00e1v\u00e1n, tak jeho settlement cena<\/strong> by byla 94.6561<\/strong>. Aktu\u00e1ln\u00ed cena 94.63 (konkr\u00e9tn\u011b Last cena byla 94.6275) by se tak li\u0161ila<\/strong> (94.6561 \u2013 94.6275) o 0.0286 bodu<\/strong>, konkr\u00e9tn\u011b o 2.86 bazick\u00fdch bod\u016f. Hodnota bazick\u00e9ho bodu u SR3 futures<\/strong> je 25 USD<\/strong>, mohu tak nyn\u00ed tuto cenovou diskrepanci ohodnotit na (25 USD*2.86) \u010d\u00e1stku 71.50 USD a tato \u010d\u00e1stka p\u0159edstavuje nyn\u00ed \u201em\u00edru nejistoty\u201c kterou trhy oce\u0148uj\u00ed p\u0159\u00edpadnou zm\u011bnu aktu\u00e1ln\u00ed ceny futures sm\u011brem k\u00a0budouc\u00ed settlement cen\u011b vypo\u010d\u00edtan\u00e9 p\u0159i expiraci ve st\u0159edu 17.9.2024 za necel\u00e9 dva m\u011bs\u00edce.\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 T\u0159\u00edm\u011bs\u00ed\u010dn\u00ed SOFR futures nen\u00ed mo\u017en\u00e9 ignorovat a lze je vyu\u017e\u00edt k hed\u017eov\u00e1n\u00ed investi\u010dn\u00edch a pen\u011b\u017en\u00edch n\u00e1stroj\u016f nav\u00e1zan\u00fdch na tuto \u00farokovou sazbu a t\u011bchto investi\u010dn\u00edch instrument\u016f je opravdu obrovsk\u00e9 mno\u017estv\u00ed. Je mo\u017en\u00e9 je vyu\u017e\u00edt ke spreadov\u00fdm obchod\u016fm s pou\u017eit\u00edm jin\u00fdch (nap\u0159\u00edklad ji\u017e poznan\u00fdch) dluhopisov\u00fdch futures, kter\u00fdm budu v budoucnosti v\u011bnovat samostatn\u00fd \u010dl\u00e1nek nebo mohu svou pozornost zam\u011b\u0159it na samotnou \u010dasovou strukturu t\u011bchto SOFR futures a pokusit se zobchodovat aktu\u00e1ln\u00ed tvar v\u00fdnosov\u00e9 k\u0159ivky. Na obr\u00e1zku n\u00ed\u017ee je term structure SR3 futures kontrakt\u016f v porovn\u00e1n\u00ed s tvarem t\u00e9to k\u0159ivky p\u0159ed m\u011bs\u00edcem.<\/span><\/p>\n

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\u00a0\u00a0 Mysl\u00edte, \u017ee aktu\u00e1ln\u011b inverzn\u00ed tvar v\u00fdnosov\u00e9 k\u0159ivky vykreslovan\u00fd SR3 futures kontrakty (\u017elut\u00e1 k\u0159ivka) najde sv\u016fj \u201eobvykl\u00fd tvar\u201c, tedy cena bli\u017e\u0161\u00edch SR3 futures bude ni\u017e\u0161\u00ed ne\u017e cena vzd\u00e1len\u011bj\u0161\u00edch SR3 futures? Vsad\u00edte, \u017ee americk\u00e1 centr\u00e1ln\u00ed banky sn\u00ed\u017e\u00ed \u00farokov\u00e9 sazby a toto povede k poklesu ceny nejbli\u017e\u0161\u00edch futures kontrakt\u016f? Je pravd\u011bpodobn\u00e9, \u017ee klesne cena bli\u017e\u0161\u00edch SR3 futures kontrakt\u016f v\u00edce ne\u017e klesne cena vzd\u00e1len\u011bj\u0161\u00edch SR3 kontrakt\u016f? Ka\u017edou tuto obchodn\u00ed \u00favahu m\u016f\u017eete kapitalizovat pomoc\u00ed po\u0159\u00edzen\u00ed vhodn\u00e9ho SR3 futures nebo jejich kombinace, obchodn\u00ed fantazii se meze nekladou, nedostate\u010dn\u00e1 likvidita zcela jist\u011b nebude v tomto p\u0159\u00edpad\u011b tou podstatnou p\u0159ek\u00e1\u017ekou :c)\u00a0<\/span><\/p>\n

\u00a0\u00a0 Nemus\u00edm nakonec nutn\u011b prov\u00e1d\u011bt \u017e\u00e1dn\u00e9 obchody se SOFR futures, ale mohu na zji\u0161t\u011bn\u00e9 a popsan\u00e9 vlastnosti t\u011bchto kontrakt\u016f vyu\u017e\u00edt k vyhodnocen\u00ed, jak\u00fd je n\u00e1hled \u00fa\u010dastn\u00edk\u016f trh\u016f s t\u011bmito futures kontrakty na jejich budouc\u00ed v\u00fdvoj. Pokud aktu\u00e1ln\u00ed cena SOFR futures odr\u00e1\u017e\u00ed settlement cenu vypo\u010dtenou za referen\u010dn\u00ed \u010dtvrtlet\u00ed v budoucnosti a tato hodnota odr\u00e1\u017e\u00ed \u00farokovou sazbu na mezibankovn\u00edm trhu, mohu odhadovat, jak\u00e1 bude hodnota SOFR \u2013 tedy cena \u201edlouh\u00fdch\u201c pen\u011bz. Vzhledem k existenci SOFR futures se \u010dtvrtletn\u00ed expirac\u00ed s desetiletou budoucnost\u00ed pak mohu nyn\u00ed z jejich cen odhadovat, jak\u00fd je dne\u0161n\u00ed pohled na jejich v\u00fd\u0161i na tomto \u010dasov\u00e9m horizontu. Pokud je SOFR indik\u00e1torem a benchmarkem pro zna\u010dn\u011b \u0161irokou \u0161k\u00e1lu finan\u010dn\u00edch produkt\u016f, mohu pomoc\u00ed SOFR odhadovat, jakou cenu tyto investi\u010dn\u00ed n\u00e1stroje nav\u00e1zan\u00e9 na SOFR mohou m\u00edt v budoucnosti.\u00a0 \u00a0<\/span><\/p>\n

\n

One-Month SOFR Futures (SR3)<\/strong><\/span><\/h1>\n

\u00a0\u00a0 SOFR futures kontrakty jsou dvoj\u00edho typu \u2013 t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed SOFR futures (SR3), kter\u00fdm jsem v\u011bnoval p\u0159edch\u00e1zej\u00edc\u00ed \u0159\u00e1dky a jednom\u011bs\u00ed\u010dn\u00ed SOFR futures (SR1), kter\u00fdm se budu v\u011bnovat nyn\u00ed. Nebude to nic objevn\u00e9ho pokud jsem pochopil z\u00e1kladn\u00ed vlastnosti \u201edel\u0161\u00edho\u201c SOFR sourozence, nicm\u00e9n\u011b budou se zde vyskytovat n\u011bkter\u00e9 podstatn\u00e9 rozd\u00edly, o kter\u00fdch je nutno v\u011bd\u011bt. Z\u00e1kladn\u00edm parametrem d\u016fvod\u016f pozn\u00e1n\u00ed tohoto investi\u010dn\u00edho n\u00e1stroje je ji\u017e poznan\u00e1 skute\u010dnost z \u00favodu \u010dl\u00e1nku, \u017ee mohu toto SR1 futures obchodovat u m\u00e9ho brokera Interactive Brokers:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Prvn\u00ed odli\u0161nost\u00ed viditelnou na prvn\u00ed pohled, p\u0159i zobrazen\u00ed v\u0161ech dostupn\u00fdch expirac\u00ed v m\u00e9 obchodn\u00ed platform\u011b, je \u201eskromn\u011bj\u0161\u00ed\u201c listov\u00e1n\u00ed jednotliv\u00fdch kontrakt\u016f, kdy\u017e k dispozici je v\u017edy 13 po sob\u011b jdouc\u00edch futures<\/strong> kontrakt\u016f podle po sob\u011b jdouc\u00edch kontraktn\u00edch m\u011bs\u00edc\u00edch.<\/span><\/p>\n

\u00a0\u00a0 Z\u00e1kladn\u00ed odli\u0161nost\u00ed je pak tak\u00e9 hodnota<\/strong> pohybu jednoho bazick\u00e9ho bodu<\/strong> SR1 futures, kter\u00fd \u010din\u00ed 41.67 USD<\/strong>. Nikoliv tedy 25 USD, jako je tomu u SR3 (nebo T-Bill futures), ale takto \u201epodivn\u00e1\u201c hodnota. Pohyb jednoho cel\u00e9ho bodu tohoto jednom\u011bs\u00ed\u010dn\u00edho SR1 futures tak bude p\u0159edstavovat \u010d\u00e1stku +\/- 4167 USD.<\/span><\/p>\n

\u00a0\u00a0 Stejn\u011b jako u SR3 je cena<\/strong> tohoto SR1 futures<\/strong> zobrazov\u00e1na jako 100 \u2013 R<\/strong>, kdy za R m\u016f\u017eu pova\u017eovat budouc\u00ed n\u00e1hled na SOFR sazbu vypo\u010d\u00edtanou ze zve\u0159ej\u0148ovan\u00fdch ka\u017edodenn\u00edch sazeb na webov\u00fdch str\u00e1nk\u00e1ch New York FEDu pro obdob\u00ed vypo\u0159\u00e1d\u00e1n\u00ed tohoto jednom\u011bs\u00ed\u010dn\u00edho futures. Z n\u00e1zvu tohoto kontraktu pak vypl\u00fdv\u00e1, \u017ee referen\u010dn\u00edm obdob\u00edm<\/strong> pro stanoven\u00ed vypo\u0159\u00e1dac\u00ed ceny<\/strong> bude jeden m\u011bs\u00edc<\/strong> p\u0159edch\u00e1zej\u00edc\u00ed settlement procedu\u0159e. Tento referen\u010dn\u00ed m\u011bs\u00edc je kalend\u00e1\u0159n\u00ed m\u011bs\u00edc nesouc\u00ed ozna\u010den\u00ed p\u0159\u00edslu\u0161n\u00e9ho SR1 futures kontraktu, pro SR1 JUN24 futures kontrakt jsou pak pro stanoven\u00ed settlement ceny ur\u010duj\u00edc\u00ed zve\u0159ej\u0148ovan\u00e9 sazby SOFR za m\u011bs\u00edc \u010derven 2024. Referen\u010dn\u00ed m\u011bs\u00edc za\u010d\u00edn\u00e1 prvn\u00edm dnem v tomto m\u011bs\u00edci a kon\u010d\u00ed posledn\u00ed kalend\u00e1\u0159n\u00ed den v dan\u00e9m m\u011bs\u00edci, konkr\u00e9tn\u011b pro \u010dervnov\u00fd SR1 JUN24 futures kontrakt je referen\u010dn\u00edm m\u011bs\u00edcem<\/strong> obdob\u00ed od 1.6.2024<\/strong> do 30.6.2024<\/strong>, posledn\u00ed den v m\u011bs\u00edci (30.6.2024) kon\u010d\u00ed obchodov\u00e1n\u00ed s t\u00edmto futures kontraktem a na z\u00e1klad\u011b v\u00fdpo\u010dtu settlement ceny je n\u00e1sleduj\u00edc\u00ed den 1.7.2024 toto \u010dervnov\u00e9 futures vypo\u0159\u00e1d\u00e1no.<\/span><\/p>\n

Settlement cena<\/strong><\/span><\/h2>\n

\u00a0\u00a0 V\u00fdhodou v\u00fdpo\u010dtu settlement ceny u m\u011bs\u00ed\u010dn\u00edch SOFR futures je neexistence slo\u017eit\u00e9ho vzorce v\u00fdpo\u010dtu jako v\u00a0p\u0159\u00edpad\u011b t\u0159\u00edm\u011bs\u00ed\u010dn\u00edho SOFR futures, ale settlement cena<\/strong> se vypo\u010d\u00edt\u00e1 jako aritmetick\u00fd pr\u016fm\u011br<\/strong>\u00a0jednotliv\u00fdch zve\u0159ej\u0148ovan\u00fdch cen SOFR pro dan\u00fd referen\u010dn\u00ed m\u011bs\u00edc<\/strong>. Mohu tak pro SR1 JUN24 futures kontrakt vypo\u010d\u00edtat settlement cenu podle n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Stejn\u011b jako pro sestaven\u00ed tabulky pro v\u00fdpo\u010det settlement ceny za referen\u010dn\u00ed \u010dtvrtlet\u00ed plat\u00ed, \u017ee v\u00a0dny, kdy se neobchoduje a nen\u00ed zve\u0159ej\u0148ov\u00e1na SOFR sazba (v\u00edkendy a st\u00e1tn\u00ed sv\u00e1tky) plat\u00ed pro tyto dny SOFR zve\u0159ejn\u011bn\u00fd v\u00a0p\u0159edch\u00e1zej\u00edc\u00ed posledn\u00ed obchodn\u00ed den. V\u00a0p\u0159\u00edpad\u011b \u010dervnov\u00e9 tabulky jsou sazby zve\u0159ejn\u011bn\u00e9 pro v\u0161echny p\u00e1tky (1)<\/span><\/strong> platn\u00e9 pro nadch\u00e1zej\u00edc\u00ed v\u00edkend<\/strong> a sazba SOFR pro sv\u00e1tek<\/strong> 19.6.2024<\/strong> (st\u0159eda) je ur\u010dena sazbou pro p\u0159edch\u00e1zej\u00edc\u00ed obchodn\u00ed den \u2013 \u00fater\u00fd 18.6.2024 (2)<\/span><\/strong>. Sestaven\u00e1 tabulka pak poskytuje z\u00e1klad pro v\u00fdpo\u010det pr\u016fm\u011bru za m\u011bs\u00edc \u010derven ze v\u0161ech \u0159\u00e1dk\u016f, kdy vypo\u010d\u00edtan\u00fd pr\u016fm\u011br m\u00e1 hodnotu 5.325 bodu (3)<\/span><\/strong>. Z t\u00e9to hodnoty pr\u016fm\u011brn\u00e9 SOFR za m\u011bs\u00edc \u010derven 2024 je pak ur\u010dena vypo\u0159\u00e1dac\u00ed cena<\/strong> (100 \u2013 5.325), kter\u00e1 \u010din\u00ed 94.675<\/strong>, za tuto cenu bude m\u00e1 p\u0159\u00edpadn\u00e1 investice do tohoto konkr\u00e9tn\u00edho futures kontraktu prvn\u00ed obchodn\u00ed den n\u00e1sleduj\u00edc\u00edho m\u011bs\u00edce (1.7.2024) vypo\u0159\u00e1d\u00e1na. Po\u0159\u00edzen\u00ed SR1 za cenu nap\u0159\u00edklad 94.800 by pak znamenalo ztr\u00e1tu (94.675 \u2013 94.800) ve v\u00fd\u0161i -0.125 bodu, tedy ve v\u00fd\u0161i -12.5 bazick\u00fdch bod\u016f, d\u00edky cen\u011b 41.67 USD za jeden bazick\u00fd bod by pak ztr\u00e1ta p\u0159edstavovala \u010d\u00e1stku (-12.5*41.67 USD) ve v\u00fd\u0161i -520.875 USD.<\/span><\/p>\n

\n

\u00a0 Pozn\u00e1n\u00ed SOFR, co znamen\u00e1, kde se publikuje a jak se obchoduj\u00ed o\u010dek\u00e1v\u00e1n\u00ed jej\u00edho v\u00fdvoje do budoucnosti pomoc\u00ed futures kontrakt\u016f bylo p\u0159edm\u011btem v\u00fd\u0161e napsan\u00e9ho textu. P\u0159esto\u017ee jsem text um\u00edstil do s\u00e9rie o dluhopisech a tato \u00farokov\u00e1 sazba a na ni nav\u00e1zan\u00e9 futures kontrakty jakoby nemaj\u00ed s konkr\u00e9tn\u00edmi dluhopisy mnoho spole\u010dn\u00e9ho, nen\u00ed ur\u010dit\u011b k zahozen\u00ed tyto \u00farokov\u00e9 deriv\u00e1ty poznat a hloub\u011bji jim porozum\u011bt. Trh t\u011bchto deriv\u00e1t\u016f je obrovsk\u00fd a m\u016f\u017ee vyb\u00edzet k mnoha \u00favah\u00e1m a k zapojen\u00ed do obchod\u016f, ve kter\u00fdch mohu p\u0159em\u00fd\u0161let o budouc\u00edm v\u00fdvoji tr\u017en\u00edch \u00farokov\u00fdch sazeb a pota\u017emo budouc\u00edch v\u00fdnosech dluhov\u00fdch cenn\u00fdch pap\u00edr\u016f, mohu obchodovat o\u010dek\u00e1v\u00e1n\u00ed spojen\u00e1 s tvarem k\u0159ivky v\u00fdnos\u016f cenn\u00fdch pap\u00edr\u016f podle jejich splatnosti, mohu jednotliv\u00e9 poznan\u00e9 futures kontrakty kombinovat mezi sebou, mo\u017enost\u00ed je opravdu mnoho :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)<\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 Vypad\u00e1 to, \u017ee p\u016fvodn\u011b zva\u017eovan\u00e1 minis\u00e9rie o porozum\u011bn\u00ed a z\u00e1kladech obchodov\u00e1n\u00ed dluhopis\u016f nem\u00e1 konce a stane se z n\u00ed nejdel\u0161\u00ed t\u00e9ma na tomto webu. Pr\u00e1vem. Aktu\u00e1ln\u00ed p\u0159\u00edle\u017eitosti na dluhopisov\u00fdch trz\u00edch a trz\u00edch jejich deriv\u00e1t\u016f mohou p\u0159in\u00e1\u0161et zaj\u00edmav\u00e9 obchody, nen\u00ed proto od v\u011bci t\u011bmto investi\u010dn\u00edm p\u0159\u00edle\u017eitostem v\u00edce p\u0159ij\u00edt na kloub, Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7205,"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-7204","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-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1Sc","jetpack-related-posts":[{"id":6439,"url":"https:\/\/dobretrejdy.com\/?p=6439","url_meta":{"origin":7204,"position":0},"title":"Dluhopisy – X. \u00a0","author":"dobretrejdy :c)","date":"24.6.2023","format":false,"excerpt":"\u00a0 \u00a0Z\u00edskat z\u00e1kladn\u00ed p\u0159ehled o dluhopisov\u00fdch trz\u00edch, pochopit a popsat z\u00e1kladn\u00ed pojmy spojen\u00e9 s\u00a0dluhov\u00fdmi cenn\u00fdmi pap\u00edry, zamyslet se nad v\u00fdpo\u010dtem v\u00fdnosu dluhopisu nebo prozkoumat mo\u017enost obchodovat tyto cenn\u00e9 pap\u00edry u brokera Interactive Brokers bylo, mimo dal\u0161\u00ed drobnosti, p\u0159edm\u011btem p\u0159edch\u00e1zej\u00edc\u00edch text\u016f dluhopisov\u00e9ho seri\u00e1lu. Co se aktu\u00e1ln\u011b na dluhopisov\u00fdch trz\u00edch d\u011bje a\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\/06\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/06\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/06\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":6742,"url":"https:\/\/dobretrejdy.com\/?p=6742","url_meta":{"origin":7204,"position":1},"title":"Dluhopisy \u2013 XIII.","author":"dobretrejdy :c)","date":"28.10.2023","format":false,"excerpt":"\u00a0\u00a0 Poznat a pochopit dluhopisov\u00fd trh, porozum\u011bt z\u00e1kladn\u00edm princip\u016fm spojen\u00fdch s nakl\u00e1d\u00e1n\u00ed s dluhopisy a zjednodu\u0161en\u00fd vhled do mo\u017enost\u00ed, jak je u sv\u00e9ho brokera nakoupit a co to m\u016f\u017ee pro m\u011b znamenat, bylo p\u0159edm\u011btem p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f. Nabyt\u00e9 poznatky pak mohu aplikovat na zapojen\u00ed dluhopis\u016f do sv\u00e9ho obchodov\u00e1n\u00ed a nemus\u00ed to\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\/10\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":6900,"url":"https:\/\/dobretrejdy.com\/?p=6900","url_meta":{"origin":7204,"position":2},"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":6234,"url":"https:\/\/dobretrejdy.com\/?p=6234","url_meta":{"origin":7204,"position":3},"title":"Dluhopisy \u2013 VII.","author":"dobretrejdy :c)","date":"22.3.2023","format":false,"excerpt":"\u00a0 Vypad\u00e1 to doposud, jakoby obchodov\u00e1n\u00ed s\u00a0dluhopisy bylo bezpe\u010dnou proch\u00e1zkou les\u00edkem, sta\u010d\u00ed m\u00edt pouze p\u0159im\u011b\u0159en\u00e9 oble\u010den\u00ed, hezk\u00e9 po\u010das\u00ed a dobrou n\u00e1ladu a pocit celkov\u00e9ho \u0161t\u011bst\u00ed m\u011b pot\u00e9 nem\u016f\u017ee minout. Stejn\u011b jako u jin\u00fdch obchodovan\u00fdch t\u0159\u00edd aktiv plat\u00ed, \u017ee v\u00fd\u0161e podstupovan\u00e9ho rizika je odm\u011b\u0148ov\u00e1na adekv\u00e1tn\u00ed porc\u00ed mo\u017en\u00e9ho profitu, je takto formulovan\u00e1\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\/03\/F2.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6292,"url":"https:\/\/dobretrejdy.com\/?p=6292","url_meta":{"origin":7204,"position":4},"title":"Dluhopisy – VIII.","author":"dobretrejdy :c)","date":"10.4.2023","format":false,"excerpt":"\u00a0 \u00a0Lep\u0161\u00ed okam\u017eik pro naps\u00e1n\u00ed tohoto \u010dl\u00e1nku jsem si ani nemohl p\u0159\u00e1t. Lehk\u00e9 n\u00e1znaky bankovn\u00ed krize vypl\u00fdvaj\u00edc\u00ed z podivn\u00e9 likvidity speci\u00e1ln\u00edch bankovn\u00edch dom\u016f opep\u0159en\u00e9 koment\u00e1\u0159i jejich v\u00edce \u010di m\u00e9n\u011b schopn\u00fdch p\u0159edstavitel\u016f p\u0159in\u00e1\u0161ej\u00ed na p\u0159elomu m\u011bs\u00edce b\u0159ezna a dubna 2023 skv\u011bl\u00fd r\u00e1mec pro t\u00e9ma tohoto \u010dl\u00e1nku. Jakou roli v t\u00e9to \u0161lamastyce\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\/04\/F1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/F1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/F1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7204,"position":5},"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":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7204","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=7204"}],"version-history":[{"count":12,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7204\/revisions"}],"predecessor-version":[{"id":7333,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7204\/revisions\/7333"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7205"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7204"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7204"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7204"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}