{"id":7416,"date":"2025-01-02T10:36:37","date_gmt":"2025-01-02T08:36:37","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7416"},"modified":"2025-01-14T15:49:18","modified_gmt":"2025-01-14T13:49:18","slug":"dluhopisy-xxii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7416","title":{"rendered":"Dluhopisy \u2013 XXII.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0"},"content":{"rendered":"

\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<\/strong> a n\u00e1sledn\u011b jejich desetinov\u00e9 klony – Treasury Micro futures<\/strong>. Oba tyto futures kontrakty replikuj\u00ed zm\u011bnu ceny podkladov\u00fdch aktiv \u2013 americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f vyb\u00edran\u00fdch z p\u0159edem definovan\u00e9ho ko\u0161e aktu\u00e1ln\u00edch emis\u00ed. Zvl\u00e1\u0161tn\u00ed \u010dl\u00e1nek jsem pak v\u011bnoval 13-Weeks U.S. Treasusury Bill futures<\/strong> kontrakt\u016fm, kter\u00e9 sleduj\u00ed zm\u011bnu ceny americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f se splatnost\u00ed t\u0159in\u00e1ct t\u00fddn\u016f, tedy bezkup\u00f3nov\u00fdch T-Bills, kter\u00e9 se po\u0159izuj\u00ed s diskontem k jejich Face Value. Do\u0161lo tak\u00e9 na prozkoum\u00e1n\u00ed speci\u00e1ln\u00edch futures kontrakt\u016f – Yield futures<\/strong>, tedy futures kontrakty odr\u00e1\u017eej\u00edc\u00ed nikoliv cenu podkladov\u00fdch dluhopis\u016f s odpov\u00eddaj\u00edc\u00ed splatnost\u00ed, ale jejich v\u00fdnos. K t\u011bmto deriv\u00e1t\u016fm, term\u00ednovan\u00fdm kontrakt\u016fm na podkladov\u00e1 aktiva ve form\u011b americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, jsem pak p\u0159idal popis deriv\u00e1t\u016f nav\u00e1zan\u00fdch nikoliv na konkr\u00e9tn\u00ed americk\u00e9 vl\u00e1dn\u00ed dluhopisy, ale na tr\u017en\u00ed \u00farokov\u00e9 sazby \u2013 SOFR (Secured Overnight Financing Rate) futures<\/strong> a 30-ti denn\u00ed Fed Funds Rate futures<\/strong>. V\u0161echny popisovan\u00e9 futures kontrakty se t\u011b\u0161\u00ed zna\u010dn\u00e9 obchodn\u00ed oblib\u011b a jejich trhy jsou zna\u010dn\u011b rozs\u00e1hl\u00e9 a likvidn\u00ed. Mohu tak jejich prost\u0159ednictv\u00edm obchodovat p\u0159\u00edslu\u0161n\u00e9 zm\u011bny na podkladov\u00fdch aktivech nebo zm\u011bny jejich v\u00fdnos\u016f a \u00fa\u010dastnit se tak obchod\u016f bez nutnosti dr\u017eet tato podkladov\u00e1 aktiva (\u00farokov\u00e9 sazby \u201efyzicky\u201c dr\u017eet stejn\u011b nejde), mohu tak\u00e9 tato podkladov\u00e1 aktiva s t\u011bmito deriv\u00e1ty kombinovat nebo mohu obchodovat kombinace t\u011bchto deriv\u00e1t\u016f mezi sebou (spreadov\u00e9 obchody). Zd\u00e1lo by se, \u017ee toho je ke zkoum\u00e1n\u00ed a obchodov\u00e1n\u00ed celkem dost, nicm\u00e9n\u011b paleta mo\u017enost\u00ed, jak obchodovat dluhopisy a jejich deriv\u00e1ty je pravd\u011bpodobn\u011b nekone\u010dn\u00e1, pokud mohu do sv\u00fdch p\u0159edstav zapojit dal\u0161\u00ed v\u00fdznamnou skupinu aktiv spojen\u00fdch s dluhopisy, a to „dluhopisov\u00e9 opce<\/strong>„.<\/span><\/p>\n

\u00a0 Dluhopisov\u00e9 op\u010dn\u00ed kontrakty<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Ve smyslu dal\u0161\u00edho \u010dten\u00ed a zkoum\u00e1n\u00ed mus\u00edm hned na \u00favod upozornit, \u017ee dluhopisov\u00e9 opce nejsou \u201eopce na dluhopisy\u201c, p\u0159esto\u017ee by jejich v\u017eit\u00e9 pojmenov\u00e1n\u00ed mohlo k t\u00e9to p\u0159edstav\u011b sv\u00e1d\u011bt. Op\u010dn\u00ed kontrakty na dluhopisov\u00e9 emise samoz\u0159ejm\u011b existuj\u00ed, jejich existence je ale situov\u00e1na mimo ve\u0159ejn\u011b obchodovan\u00e9 trhy. Mohu si pak p\u0159edstavit situaci, kdy jako investor nakupuji do sv\u00e9ho portfolia zna\u010dn\u011b velk\u00fd objem americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, municip\u00e1ln\u00edch dluhopis\u016f nebo korpor\u00e1tn\u00edch dluhopis\u016f s n\u011bjak\u00fdm p\u0159ijateln\u00fdm ratingem a chci toto dr\u017een\u00ed zajistit nap\u0159\u00edklad proti riziku pohybu tr\u017en\u00edch \u00farokov\u00fdch sazeb a k tomuto zaji\u0161t\u011bn\u00ed by se mi hodil p\u0159ijateln\u00fd op\u010dn\u00ed kontrakt. Mohu pak oslovit n\u011bjakou odpov\u00eddaj\u00edc\u00ed investi\u010dn\u00ed entitu (nap\u0159\u00edklad n\u011bjak\u00e9ho v\u00fdznamn\u00e9ho dluhopisov\u00e9ho dealera), kter\u00e1 by byla ochotna mi takov\u00fd op\u010dn\u00ed kontrakt vytvo\u0159it \u201ena m\u00edru\u201c a j\u00e1 jej mohl po\u0159\u00eddit k ochran\u011b m\u00e9 dluhopisov\u00e9 investice. Vzhledem k existenci obrovsk\u00e9ho mno\u017estv\u00ed emis\u00ed americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f a dluhopis\u016f korporac\u00ed by pravd\u011bpodobn\u011b trh s op\u010dn\u00edmi kontrakty na tyto jednotliv\u00e9 konkr\u00e9tn\u00ed emise byl zna\u010dn\u011b nep\u0159ehledn\u00fd a tak\u00e9 mo\u017en\u00e1 i m\u00edrn\u011b nelikvidn\u00ed, ne ka\u017ed\u00fd z investor\u016f do dluhopis\u016f by s\u00e1hl rovn\u011b\u017e po takto definovan\u00e9m op\u010dn\u00edm deriv\u00e1tu. Nab\u00edz\u00ed se mi pak srovn\u00e1n\u00ed s op\u010dn\u00edmi kontrakty na akciov\u00e9 tituly, kde mohu pozorovat velmi \u010dil\u00e9 obchodov\u00e1n\u00ed s t\u011bmito op\u010dn\u00edmi kontrakty, velmi likvidn\u00ed op\u010dn\u00ed obchody na akciov\u00e9 tituly se ale d\u011bj\u00ed tak\u00e9 pouze pro akcie se zna\u010dnou likviditou a objemem obchodov\u00e1n\u00ed, kter\u00e9 mohu pozorovat u titul\u016f, kter\u00fdch je v \u0159\u00e1du stovek, pro zna\u010dnou \u010d\u00e1st akciov\u00e9ho trhu jsou pak listovan\u00e9 op\u010dn\u00ed kontrakty v\u00fdznamn\u011b nelikvidn\u00ed nebo neexistuj\u00ed. Mohu ale tak\u00e9 op\u011bt vyu\u017e\u00edt slu\u017eeb investi\u010dn\u00edch spole\u010dnost\u00ed nebo bank a v p\u0159\u00edpad\u011b v\u00fdznamn\u00e9 investice do akciov\u00e9ho titulu aktu\u00e1ln\u011b nezn\u00e1m\u00e9 a m\u00e1lo likvidn\u00ed spole\u010dnosti mohu popt\u00e1vat vytvo\u0159en\u00ed over-the-counter speci\u00e1ln\u00edho op\u010dn\u00edho kontraktu u\u0161it\u00e9ho na m\u00edru m\u00e9 investice.<\/span><\/p>\n

\u00a0\u00a0 Dluhopisov\u00fd trh je rozs\u00e1hlej\u0161\u00ed ne\u017e akciov\u00fd trh a je sou\u010dasn\u011b zna\u010dn\u011b rozt\u0159\u00ed\u0161t\u011bn\u00fd. Plat\u00ed tak\u00e9, \u017ee n\u011bkter\u00e9 z\u00a0emis\u00ed jsou zna\u010dn\u011b likvidn\u00ed, ale mnoho emis\u00ed trp\u00ed zna\u010dn\u00fdm nedostatkem t\u00e9to likvidity. Pokud tedy budu uva\u017eovat o po\u017e\u00edv\u00e1n\u00ed term\u00ednu \u201edluhopisov\u00e9 opce\u201c<\/strong> budu t\u00edm m\u00edt na mysli op\u010dn\u00ed kontrakty nikoliv na jednotliv\u00e9 dluhopisov\u00e9 emise<\/strong>, ale op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 na dluhopisov\u00e9 futures kontrakty<\/strong>, a to zejm\u00e9na ty, kter\u00fdmi jsem se zab\u00fdval v minul\u00fdch \u010dl\u00e1nc\u00edch. Pro dal\u0161\u00ed \u0159\u00e1dky tak bude platit, \u017ee dluhopisov\u00e9 opce se budou t\u00fdkat dluhopisov\u00fdch futures sleduj\u00edc\u00edch americk\u00e9 vl\u00e1dn\u00ed dluhopisy a americk\u00e9 tr\u017en\u00ed \u00farokov\u00e9 sazby.<\/span><\/p>\n

Pro\u010d dluhopisov\u00e9 opce na dluhopisov\u00e9 futures?<\/strong><\/span><\/h2>\n

\u00a0\u00a0 P\u0159edstava, \u017ee dluhopisov\u00e9 opce by byly konkr\u00e9tn\u011b spojeny s ur\u010ditou dluhopisovou emis\u00ed, m\u016f\u017ee trp\u011bt skute\u010dnostmi, kter\u00e9 doprov\u00e1zej\u00ed obchodov\u00e1n\u00ed s dluhopisy a je odli\u0161n\u00e9 od obchodov\u00e1n\u00ed s akciemi nebo futures kontrakty. Mohu se pak pokusit popsat z\u00e1kladn\u00ed probl\u00e9my, kter\u00e9 by mohly tyto op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 p\u0159\u00edmo na konkr\u00e9tn\u00ed dluhopisov\u00e9 emise komplikovat, sou\u010dasn\u011b by pak mohlo b\u00fdt jasn\u011bj\u0161\u00ed, pro\u010d jsou dluhopisov\u00e9 opce zejm\u00e9na nav\u00e1z\u00e1ny na dluhopisov\u00e9 futures.<\/span><\/p>\n

\u00a0\u00a0 Cena op\u010dn\u00edho kontraktu se odv\u00edj\u00ed (mimo jin\u00e9) od ceny podkladov\u00e9ho aktiva, aby mohla b\u00fdt v \u010dase tato cena kontinu\u00e1ln\u011b k dispozici je zapot\u0159eb\u00ed, aby podkladov\u00e9 aktivum m\u011blo pot\u0159ebn\u00e9 tr\u017en\u00ed obchodn\u00ed objemy a jeho cena byla v\u017edy v\u00edcem\u00e9n\u011b f\u00e9rov\u011b trhy ocen\u011bna. Mo\u017en\u00fd nedostatek likvidity<\/strong> na dluhopisov\u00fdch emis\u00edch<\/strong> by mohl zp\u016fsobit, \u017ee tato cena podkladov\u00e9ho aktiva nebude v\u017edy k dispozici a nebude tak mo\u017en\u00e9 stanovit aktu\u00e1ln\u00ed f\u00e9rovou cenu op\u010dn\u00edho kontraktu. Sou\u010dasn\u011b, jakou cenu podkladov\u00e9ho aktiva pak m\u016f\u017ee (v t\u00e9to souvislosti) o\u010dek\u00e1vat tv\u016frce trhu nebo investor, kter\u00fd bude cht\u00edt nakoupen\u00fd nebo prodan\u00fd op\u010dn\u00ed kontrakt zajistit pot\u0159ebn\u00fdm mno\u017estv\u00edm podkladov\u00e9ho aktiva? Ceny futures kontrakt\u016f jsou naopak na dluhopisov\u00fdch trz\u00edch kontinu\u00e1ln\u011b k dispozici a jejich likvidita je ohromn\u00e1, tento cenotvorn\u00fd probl\u00e9m tak u dluhopisov\u00fdch futures odpad\u00e1.<\/span><\/p>\n

\u00a0\u00a0 Drtiv\u00e1 v\u011bt\u0161ina dluhopis\u016f s del\u0161\u00ed dobou do splatnosti je obda\u0159ena kup\u00f3nem<\/strong> s r\u016fznou, ale p\u0159ev\u00e1\u017en\u011b p\u016flro\u010dn\u00ed frekvenc\u00ed jeho v\u00fdplaty. Nen\u00ed nakonec podstatn\u00e9, jak \u010dast\u00e1 je frekvence t\u00e9to v\u00fdplaty, d\u016fle\u017eit\u00e1 je jistota, \u017ee p\u0159i zm\u011bn\u011b vlastn\u00edka kup\u00f3nov\u00e9ho dluhopisu putuje k jeho prodejci \u010d\u00e1st kup\u00f3nu, kter\u00fd na tomto dluhopisu nab\u011bhl ke dni jeho prodeje (Accrued Interest<\/a><\/strong><\/span>) od jeho posledn\u00ed v\u00fdplaty. Mohu si pak p\u0159edstavit komplikaci, kdy dr\u017eitel Call opce na dluhopis s\u00a0kup\u00f3nem p\u0159i v\u00fdkonu pr\u00e1va uplatnit tuto opci a z\u00edskat tak podkladov\u00e9 aktivum \u2013 kup\u00f3nov\u00fd dluhopis \u2013 mus\u00ed jeho dodavateli kompenzovat \u010d\u00e1st \u00faroku, kter\u00fd na t\u00e9to dluhopisov\u00e9 emisi nab\u011bhl ke dni uplatn\u011bn\u00ed op\u010dn\u00edho kontraktu. Dluhopisov\u00e9 futures \u017e\u00e1dn\u00fd kup\u00f3n nep\u0159in\u00e1\u0161\u00ed a tato cenotvorn\u00e1 a obchodn\u00ed komplikace se tak p\u0159i p\u0159\u00edpadn\u00e9m vypo\u0159\u00e1d\u00e1n\u00ed op\u010dn\u00edho kontraktu do podkladov\u00e9ho aktiva nijak nem\u016f\u017ee projevit.<\/span><\/p>\n

\u00a0\u00a0 Nedostatek likvidity na dluhopisov\u00fdch trz\u00edch m\u016f\u017ee v\u00e9st nejen k ji\u017e popisovan\u00e9mu cenov\u00e9mu zkreslen\u00ed aktu\u00e1ln\u00ed objektivn\u00ed ceny t\u011bchto m\u00e9n\u011b likvidn\u00edch emis\u00ed z d\u016fvodu mal\u00fdch obchodn\u00edch objem\u016f, kter\u00e9 by stanovily jejich skute\u010dnou tr\u017en\u00ed cenu, ale tak\u00e9 k jejich men\u0161\u00ed dostupnosti<\/strong> p\u0159i p\u0159\u00edpadn\u00e9m vypo\u0159\u00e1d\u00e1n\u00ed op\u010dn\u00edho kontraktu<\/strong>. Pokud bych m\u011bl p\u0159i expiraci povinnost, nap\u0159\u00edklad jako prodejce (vypisovatel) op\u010dn\u00edho kontraktu, dodat protistran\u011b podkladov\u00e9 aktivum ve form\u011b kup\u00f3nov\u00e9ho dluhopisu a tento nebudu m\u00edt na sv\u00e9m \u00fa\u010dtu, mohu jeho popt\u00e1vkou na voln\u00e9m dluhopisov\u00e9m trhu vyvolat zkreslen\u00ed jeho ceny pr\u00e1v\u011b z titulu nedostate\u010dn\u00e9ho mno\u017estv\u00ed t\u011bchto dluhopis\u016f. P\u0159i velk\u00fdch op\u010dn\u00edch objemech a jejich vypo\u0159\u00e1d\u00e1v\u00e1n\u00ed by tak mohl nastat probl\u00e9m s tlakem na cenu t\u011bchto podkladov\u00fdch dluhopis\u016f a jejich nef\u00e9rov\u00e9mu ocen\u011bn\u00ed z d\u016fvodu takto strukturovan\u00e9 okam\u017eit\u00e9 popt\u00e1vky nevypl\u00fdvaj\u00edc\u00ed z touhy vlastnit tento dluhopis pro jeho fundament\u00e1ln\u00ed vlastnosti. P\u0159i ohromn\u00e9m objemu dluhopisov\u00fdch futures kontrakt\u016f pak takov\u00e1 situace nehroz\u00ed a dod\u00e1v\u00e1n\u00ed podkladov\u00fdch futures prob\u00edh\u00e1 hladce a bez jak\u00fdchkoliv cenov\u00fdch zkreslen\u00ed. \u00a0\u00a0<\/span><\/p>\n

Z\u00e1kladn\u00ed orientace<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Mohu nyn\u00ed konstatovat, \u017ee \u201edluhopisov\u00e9\u201c op\u010dn\u00ed kontrakty se ve smyslu dal\u0161\u00edch \u0159\u00e1dk\u016f budou t\u00fdkat pouze podklad\u016f, kter\u00fdmi jsou dluhopisov\u00e9 futures nebo futures na \u00farokov\u00e9 sazby, kter\u00e9 jsem popisoval v p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nc\u00edch. Budou m\u011b tak zaj\u00edmat pouze standardizovan\u00e9 op\u010dn\u00ed kontrakty, kter\u00e9 se obchoduj\u00ed na burze CME, kde se tak\u00e9 obchoduj\u00ed p\u0159\u00edslu\u0161n\u00e1 podkladov\u00e1 aktiva, se kter\u00fdmi jsem se ji\u017e v minulosti sezn\u00e1mil. Pozoruji tak, \u017ee po sezn\u00e1men\u00ed se s trhem dluhopis\u016f a na nich nav\u00e1zan\u00fdch deriv\u00e1t\u016f \u2013 dluhopisov\u00fdch futures a sou\u010dasn\u00e9ho zji\u0161t\u011bn\u00ed existence futures kontrakt\u016f souvisej\u00edc\u00edch s tr\u017en\u00edmi \u00farokov\u00fdmi sazbami, se m\u00e9 poznatky o t\u00e9to \u010d\u00e1sti finan\u010dn\u00edch trh\u016f rozr\u016fstaj\u00ed do dal\u0161\u00edho rozm\u011bru \u2013 op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na tyto term\u00ednovan\u00e9 futures kontrakty. V p\u0159edch\u00e1zej\u00edc\u00ed \u010dl\u00e1nc\u00edch (nyn\u00ed pro rekapitulaci a rychl\u00e9 odkazy na konkr\u00e9tn\u00ed \u010dl\u00e1nky) jsem se pak zejm\u00e9na v\u011bnoval nejzn\u00e1m\u011bj\u0161\u00edm a nejstar\u0161\u00edm Treasury futures<\/a><\/strong><\/span> a pot\u00e9 jejich \u201edesetinov\u00e9 zmen\u0161enin\u011b\u201c Micro Treasury futures.<\/a><\/strong><\/span> Spekulaci nikoliv na cenu dluhopisu, ale na jeho v\u00fdnos, mohu elegantn\u011b prov\u00e9st pomoc\u00ed popisovan\u00e9ho Yield futures<\/a><\/strong><\/span> a nakonec obchodovat vlastnosti americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f s kr\u00e1tkou dobou do splatnosti (T-Bills) se mohu pokusit pomoc\u00ed T-Bill futures<\/a><\/strong><\/span>. Tr\u017en\u00ed \u00farokov\u00e9 sazby vygenerovan\u00e9 p\u016fj\u010dov\u00e1n\u00edm kapit\u00e1lu na americk\u00fdch trz\u00edch pak mohu obchodovat pomoc\u00ed SOFR futures kontrakt\u016f<\/a><\/strong><\/span> \u00a0nebo 30-ti denn\u00edch Fed Funds futures<\/a><\/strong><\/span>. Z t\u011bchto \u0161esti popsan\u00fdch mo\u017enost\u00ed, jak se zapojit do obchodov\u00e1n\u00ed t\u011bchto typ\u016f dluhopisov\u00fdch a \u00farokov\u00fdch aktiv, pak mohu s \u00falevou konstatovat, \u017ee polovina z nich – Micro Treasury futures, Yield futures a T-Bill futures \u017e\u00e1dn\u00e9 op\u010dn\u00ed kontrakty listov\u00e1ny nem\u00e1. Mohu se tedy zam\u011b\u0159it pouze na \u201evelk\u00e9\u201c Treasury futures op\u010dn\u00ed kontrakty jako na term\u00ednovan\u00e9 kontrakty nav\u00e1zan\u00e9 na americk\u00e9 vl\u00e1dn\u00ed dluhopisy s del\u0161\u00ed dobou do splatnosti nebo na op\u010dn\u00ed kontrakty, kde je podkladov\u00fdm aktivem \u00farokov\u00e1 sazba SOFR nebo Effective Fed Funds Rate, nic dal\u0161\u00edho m\u011b ze sv\u011bta \u201edluhopisov\u00fdch\u201c op\u010dn\u00edch kontrakt\u016f nyn\u00ed nebude zaj\u00edmat. P\u0159edm\u011btem dne\u0161n\u00edho \u010dl\u00e1nku pak budou op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 na „velk\u00e9“ Treasury futures kontrakty, v dal\u0161\u00edm \u010dl\u00e1nku se pak budu zab\u00fdvat popisem op\u010dn\u00edch kontrakt\u016f na podkladov\u00e1 aktiva p\u0159edstavuj\u00edc\u00ed tr\u017en\u00ed \u00farokov\u00e9 sazby – SOFR a Effective Fed Funds Rate.\u00a0<\/span><\/p>\n

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Treasury futures op\u010dn\u00ed kontrakty<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Obrovsk\u00e9 objemy obchod\u016f na podkladov\u00e9m aktivu d\u00e1vaj\u00ed tu\u0161it dobrou likviditu na souvisej\u00edc\u00edch deriv\u00e1tech. Pokud je jasn\u00e9, \u017ee \u201evelk\u00e9\u201c Treasury futures kontrakty se obchoduj\u00ed v\u00a0milionov\u00fdch denn\u00edch objemech, bude patrn\u011b trh odpov\u00eddaj\u00edc\u00edch op\u010dn\u00edch kontrakt\u016f tak\u00e9 dob\u0159e likvidn\u00ed a v\u00a0p\u0159\u00edpad\u011b pot\u0159eby tak nebude probl\u00e9m zejm\u00e9na na strike kolem aktu\u00e1ln\u00ed ceny podkladu prov\u00e1d\u011bt bezprobl\u00e9mov\u00e9 obchody. Mohu tak prov\u00e9st prvn\u00ed n\u00e1hled na op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 na Treasury futures pr\u00e1v\u011b optikou t\u00e9to likvidity:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku je patrn\u00e9, \u017ee op\u010dn\u00ed kontrakty jsou zalistov\u00e1ny na 2-Year T-Note futures<\/strong> (ZT), 5-Year T-Note futures<\/strong> (ZF), 10-Year T-Note futures<\/strong> (ZN) a t\u0159icetilet\u00e9 US Treasury Bond futures<\/strong> (ZB). Z obr\u00e1zku tak\u00e9 vypl\u00fdv\u00e1, \u017ee Open Interest je aktu\u00e1ln\u011b dramaticky nejvy\u0161\u0161\u00ed na desetilet\u00e9m ZN Treasury futures, co\u017e odpov\u00edd\u00e1 tak\u00e9 obchodn\u00ed oblib\u011b tohoto podkladov\u00e9ho aktiva, kter\u00e9ho se tak\u00e9 denn\u011b zobchoduje nejv\u00edce v pom\u011bru k ostatn\u00edm Treasury futures. Mohu tak\u00e9 konstatovat, \u017ee v\u0161echny tyto op\u010dn\u00ed kontrakty jsou dostupn\u00e9 k obchodov\u00e1n\u00ed u m\u00e9ho brokera Interactive Brokers, tedy se stejnou dostupnost\u00ed jako je mo\u017en\u00e9 obchodovat odpov\u00eddaj\u00edc\u00ed Treasury futures. Mo\u017enost vstoupit do obchod\u016f s podklady a sou\u010dasn\u011b s odpov\u00eddaj\u00edc\u00edmi op\u010dn\u00edmi kontrakty pak d\u00e1v\u00e1 \u0161irokou paletu mo\u017enost\u00ed, jak tyto op\u010dn\u00ed kontrakty obchodovat a vyu\u017e\u00edt pro praktick\u00fd trading.<\/span><\/p>\n

Specifikace op\u010dn\u00edch kontrakt\u016f<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Proto, abych se v op\u010dn\u00edch kontraktech na Treasury futures v\u016fbec vyznal, je zapot\u0159eb\u00ed poznat z\u00e1kladn\u00ed principy a specifikace jednotliv\u00fdch op\u010dn\u00edch kontrakt\u016f a jejich poklad\u016f, v dal\u0161\u00edm textu se pak zam\u011b\u0159\u00edm<\/strong> na nejv\u00edce obchodovan\u00e9 desetilet\u00e9 Treasury futures (ZN)<\/strong> a jeho op\u010dn\u00ed kontrakty, pro dal\u0161\u00ed Treasury futures pak plat\u00ed stejn\u00e9 vlastnosti s p\u0159im\u011b\u0159en\u00fdmi modifikacemi a dostupnost\u00ed jednotliv\u00fdch opc\u00ed podle jejich expirace. V \u010dl\u00e1nku Dluhopisy \u2013 XIV.<\/a><\/strong><\/span> jsem se zam\u011b\u0159il na z\u00e1kladn\u00ed popis Treasury futures, kde jsem se zam\u011b\u0159il pr\u00e1v\u011b na desetilet\u00e9 futures a jeho z\u00e1kladn\u00ed vlastnosti. Z tohoto \u010dl\u00e1nku, pro m\u00e9 nyn\u011bj\u0161\u00ed pot\u0159eby, bude nejv\u00edce d\u016fle\u017eit\u00e9, \u017ee cena tohoto futures je odvozena od ko\u0161e dluhopis\u016f<\/strong> se splatnostmi 6 a p\u016fl roku a\u017e 8 let a nejp\u0159esn\u011bji jeho cena odpov\u00edd\u00e1 dluhopisu, kter\u00fd je nejvhodn\u011bj\u0161\u00ed pro jeho vypo\u0159\u00e1d\u00e1n\u00ed (Cheapest-To-Delivery), ke zp\u016fsobu vypo\u0159\u00e1d\u00e1n\u00ed nyn\u00ed nen\u00ed zapot\u0159eb\u00ed nic nad r\u00e1mec tohoto \u010dl\u00e1nku dod\u00e1vat, toto vypo\u0159\u00e1d\u00e1n\u00ed pomoc\u00ed tohoto podkladov\u00e9ho dluhopisu toti\u017e nen\u00ed u m\u00e9ho brokera mo\u017en\u00e9, je tak zapot\u0159eb\u00ed dr\u017een\u00e9 Treasury futures v\u00a0obchodn\u00ed platform\u011b p\u0159ed vypo\u0159\u00e1d\u00e1n\u00edm v\u00a0dan\u00e9m term\u00ednu uzav\u0159\u00edt (nebo to za m\u011b ud\u011bl\u00e1 m\u016fj broker). Podkladov\u00fdm aktivem pro zkouman\u00e9 op\u010dn\u00ed kontrakty na desetilet\u00e9 futures je pak Treasury futures s\u00a0tickerem ZN, kter\u00e9 se obchoduje ve t\u0159\u00edm\u011bs\u00ed\u010dn\u00edch cyklech<\/strong> s\u00a0expiracemi b\u0159ezen<\/strong>, \u010derven<\/strong>, z\u00e1\u0159\u00ed<\/strong> a prosinec.<\/strong> Pro v\u0161echny op\u010dn\u00ed kontrakty s podkladov\u00fdm aktivem jak\u00e9koliv Treasury futures plat\u00ed, \u017ee jsou americk\u00e9ho typu<\/strong> \u2013 mohu tedy kdykoliv za \u017eivota op\u010dn\u00edho kontraktu prov\u00e9st Exercise<\/strong> (uplatn\u011bn\u00ed) nakoupen\u00e9 opce nebo o\u010dek\u00e1vat Assignment (p\u0159i\u0159azen\u00ed) op\u010dn\u00edho kontraktu, v\u00fdsledkem t\u011bchto procedur pak bude fyzick\u00e9 dod\u00e1n\u00ed<\/strong> podkladov\u00e9ho aktiva na m\u016fj obchodn\u00ed \u00fa\u010det\/z m\u00e9ho obchodn\u00edho \u00fa\u010dtu, kter\u00fdm bude p\u0159\u00edslu\u0161n\u00e9 podkladov\u00e9 Treasury futures.<\/strong> Vypo\u0159\u00e1d\u00e1n\u00ed tak neprob\u00edh\u00e1 \u201ev pen\u011bz\u00edch\u201c (Cash), ale ve fyzick\u00e9m dod\u00e1v\u00e1n\u00ed podkladov\u00fdch Treasury futures. Plat\u00ed tak\u00e9, \u017ee jeden op\u010dn\u00ed kontrakt<\/strong> p\u0159edstavuje jedno <\/strong>podkladov\u00e9 Treasury futures<\/strong>.<\/span><\/p>\n

M\u011bs\u00ed\u010dn\u00ed opce na 10-Year T-Note futures (ZN)<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Z\u00e1kladn\u00ed mechanika op\u010dn\u00edch kontrakt\u016f na desetilet\u00e9 Treasury futures vych\u00e1z\u00ed z\u00a0existence \u010dty\u0159 listovan\u00fdch \u010dtvrtletn\u00edch futures kontrakt\u016f, kter\u00e9 jsou k\u00a0dispozici ve t\u0159ech n\u00e1sleduj\u00edc\u00edch \u010dtvrtlet\u00edch<\/strong>. Aktu\u00e1ln\u011b na p\u0159elomu roku 2024\/2025 je k\u00a0dispozici desetilet\u00e9 Treasury futures s\u00a0expirac\u00ed v\u00a0b\u0159eznu (ZNH5), \u010dervnu (ZNM5) a z\u00e1\u0159\u00ed (ZNU5) a pro tyto aktu\u00e1ln\u011b obchodovan\u00e9 podklady jsou k\u00a0dispozici m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty. Obchodov\u00e1n\u00ed m\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f na desetilet\u00e9 Treasury futures (ZN) doprov\u00e1z\u00ed avizovan\u00e1 vysok\u00e1 likvidita, kterou p\u0159in\u00e1\u0161\u00ed vysok\u00fd denn\u00ed objem obchod\u016f i vysok\u00fd Open Interest, tuto skute\u010dnost mohu demonstrovat na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Denn\u00ed objemy ve v\u00fd\u0161i statis\u00edc\u016f op\u010dn\u00edch kontrakt\u016f a Open Interest v\u00a0ni\u017e\u0161\u00edch jednotk\u00e1ch milion\u016f d\u00e1v\u00e1 tu\u0161it, \u017ee toto bude zna\u010dn\u011b rozs\u00e1hl\u00fd a likvidn\u00ed trh, kde o vypln\u011bn\u00ed obchodn\u00edho p\u0159\u00edkazu nemus\u00edm m\u00edt valn\u00e9 obavy. Na obr\u00e1zku z\u00a0platformy m\u00e9ho brokera pak mohu tak\u00e9 pozorovat dostupnost t\u011bchto m\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f<\/strong> pro aktu\u00e1ln\u011b obchodovan\u00e1 Treasury futures:<\/span><\/p>\n

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\u00a0\u00a0 Nach\u00e1z\u00edm se aktu\u00e1ln\u011b na po\u010d\u00e1tku roku 2025, tak\u017ee m\u00e1m k\u00a0dispozici opravdu t\u0159i desetilet\u00e9 Treasury futures s\u00a0expirac\u00ed v\u00a0b\u0159eznu (ZNH5)<\/strong>, \u010dervnu (ZNM5)<\/strong> a z\u00e1\u0159\u00ed (ZNU5) (1)<\/span><\/strong> a na tyto futures kontrakty m\u00e1m k\u00a0dispozici m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty<\/strong> s expirac\u00ed v ka\u017ed\u00e9m z n\u00e1sleduj\u00edc\u00edch m\u011bs\u00edc\u016f (2)<\/strong><\/span>, kde podkladov\u00fdm aktivem<\/strong> pro tyto m\u011bs\u00ed\u010dn\u00ed opce jsou postupn\u011b pr\u00e1v\u011b nyn\u00ed dostupn\u00e9 t\u0159i desetilet\u00e9 Treasury futures (3)<\/span><\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Z obr\u00e1zku pak vypl\u00fdv\u00e1, \u017ee pokud bych se cht\u011bl pod\u00edlet na obchodov\u00e1n\u00ed m\u011bs\u00ed\u010dn\u00edch opc\u00ed, kde podkladov\u00fdm aktivem je b\u0159eznov\u00e9 Treasury futures, mohu vyu\u017e\u00edt opce s expirac\u00ed v lednu a v \u00fanoru, a nikoliv m\u011bs\u00ed\u010dn\u00ed opci s expirac\u00ed v m\u011bs\u00edci b\u0159eznu, tedy podle n\u00e1zvu podkladov\u00e9ho futures (b\u0159eznov\u00e9) ji\u017e v b\u0159eznu m\u011bs\u00ed\u010dn\u00ed opce pro toto b\u0159eznov\u00e9 futures nen\u00ed k dispozici. Pro\u010d tomu tak je? Expirace op\u010dn\u00edho m\u011bs\u00ed\u010dn\u00edho kontraktu na Treasury futures kon\u010d\u00ed v p\u00e1tek p\u0159ed druh\u00fdm posledn\u00edm pracovn\u00edm dnem m\u011bs\u00edce p\u0159edch\u00e1zej\u00edc\u00edho m\u011bs\u00edci expirace podkladov\u00e9ho futures. B\u0159eznov\u00e9 Treasury futures expiruje samoz\u0159ejm\u011b v b\u0159eznu a p\u0159edch\u00e1zej\u00edc\u00edm m\u011bs\u00edcem je \u00fanor, kdy p\u00e1tek p\u0159edch\u00e1zej\u00edc\u00ed posledn\u00edm dvou obchodn\u00edm dn\u016fm v tomto m\u011bs\u00edci je p\u00e1tek 21.2.2025. V tento den tak\u00e9 expiruje posledn\u00ed m\u011bs\u00ed\u010dn\u00ed opce s podkladem, kter\u00fdm je b\u0159eznov\u00e9 Treasury futures. Mohu tuto skute\u010dnost pozorovat na str\u00e1nk\u00e1ch burzy CME, kde jsou tyto m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty obchodov\u00e1ny:<\/span><\/p>\n

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\u00a0\u00a0 Stejnou skute\u010dnost pak mohu pozorovat ve specifikaci libovoln\u00e9ho posledn\u00edho m\u011bs\u00ed\u010dn\u00edho op\u010dn\u00edho kontraktu na b\u0159eznov\u00e9 Treasury futures v platform\u011b TWS m\u00e9ho brokera Interactive Brokers, nemus\u00edm tak poka\u017ed\u00e9 pro informaci o podkladov\u00e9m aktivu a vlastnostech op\u010dn\u00edho kontraktu nav\u0161t\u011bvovat str\u00e1nky burzy:<\/span><\/p>\n

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\u00a0\u00a0 V\u010dasn\u00e9mu ukon\u010den\u00ed obchodov\u00e1n\u00ed a expirace t\u011bchto m\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f na Treasury futures tak\u00e9 odpov\u00edd\u00e1 politika m\u00e9ho brokera spojen\u00e1 s ukon\u010den\u00edm obchodov\u00e1n\u00ed podkladov\u00fdch futures, u kter\u00fdch nen\u00ed mo\u017en\u00e9 vypo\u0159\u00e1d\u00e1n\u00ed dod\u00e1v\u00e1n\u00edm podkladov\u00fdch dluhopis\u016f, ale tyto Treasury futures dr\u017een\u00e9 na \u00fa\u010dtech maj\u00ed ur\u010den\u00fd den, do kter\u00e9ho je zapot\u0159eb\u00ed tyto futures kontrakty uzav\u0159\u00edt. Mohu tak pro b\u0159eznov\u00e9 Treasury futures pozorovat u Interactive Brokers na tomto odkazu<\/a><\/strong><\/span> \u201erozpis term\u00edn\u016f\u201c pro ukon\u010den\u00ed jeho dr\u017een\u00ed na m\u00e9m \u00fa\u010dtu.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee pokud budu m\u00edt na sv\u00e9m \u00fa\u010dtu Long Treasury futures ZNH5<\/strong> (b\u0159eznov\u00e9 futures), budu jej muset uzav\u0159\u00edt nejpozd\u011bji<\/strong> do 27.2.2025<\/strong>, tedy tak\u00e9 m\u011bs\u00edc p\u0159ed jeho expirac\u00ed. Jin\u00fdmi slovy, pokud budu na m\u011bs\u00ed\u010dn\u00ed opci s\u00a0expirac\u00ed v\u00a0\u00fanoru, p\u0159esn\u011b 21.2.2025, p\u0159i\u0159azen<\/strong> nebo uplatn\u011bn<\/strong>, bude mi dod\u00e1no 1*Long ZNH5 futures<\/strong> (vypsan\u00e1 Short Put nebo nakoupen\u00e1 Long Call) a budu povinen<\/strong> tento p\u0159i\u0159azen\u00fd futures kontrakt do 27.2.2025 prodat<\/strong> (jinak to za m\u011b ud\u011bl\u00e1 m\u016fj broker) (1)<\/strong><\/span>. Z\u00a0obr\u00e1zku tak\u00e9 vypl\u00fdv\u00e1, \u017ee pokud v\u00fdsledkem p\u0159i\u0159azen\u00ed nebo uplatn\u011bn\u00ed bude dod\u00e1n\u00ed 1*Short ZNH5 futures<\/strong> (vypsan\u00e1 Short Call nebo nakoupen\u00e1 Long Put) na m\u016fj \u00fa\u010det, budu moci tento futures kontrakt na sv\u00e9m \u00fa\u010dtu m\u00edt do 20.3.2025 (2)<\/span><\/strong>, nejpozd\u011bji do Close trh\u016f v tento den se ale budu muset t\u00e9to pozice zbavit. T\u00e9to skute\u010dnosti pak odpov\u00edd\u00e1 term\u00edn vypo\u0159\u00e1d\u00e1n\u00ed podkladov\u00e9ho b\u0159eznov\u00e9ho Treasury futures u jej\u00edho autora – burzy CME:<\/span><\/p>\n

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\u00a0 \u00a0Mus\u00edm si tak b\u00fdt velmi d\u016fkladn\u011b v\u011bdom, jak\u00e9 podkladov\u00e9 Treasury futures bude v\u00fdsledkem p\u0159\u00edpadn\u00e9ho vypo\u0159\u00e1d\u00e1n\u00ed op\u010dn\u00edho kontraktu, na jak\u00e9 podkladov\u00e9 futures je tento op\u010dn\u00ed kontrakt vlastn\u011b listov\u00e1n a jak\u00e9 term\u00edny v\u00a0souvislosti s\u00a0p\u0159\u00edpadn\u00fdm obdr\u017een\u00edm podkladov\u00e9ho aktiva souvisej\u00ed. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 T\u00fddenn\u00ed opce na 10-Year T-Note futures (ZN)<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Zna\u010dn\u00e9 objemy obchod\u016f s podkladov\u00fdmi \u201evelk\u00fdmi\u201c Treasury futures mohou d\u00e1vat tu\u0161it, \u017ee nab\u00eddka op\u010dn\u00edch kontrakt\u016f s pouze m\u011bs\u00ed\u010dn\u00ed expirac\u00ed nebyla pro obchodn\u00edky dostate\u010dn\u00e1 a je tak jasn\u00e9, \u017ee sv\u00e9 uplatn\u011bn\u00ed na\u0161ly tak\u00e9 op\u010dn\u00ed kontrakty na tato futures s krat\u0161\u00ed dobou do expirace. Vypln\u011bn\u00ed m\u011bs\u00ed\u010dn\u00ed periody expirac\u00ed m\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f opcemi s krat\u0161\u00ed dobou do expirace d\u00e1valo organiz\u00e1torovi t\u011bchto obchod\u016f smysl, proto zalistovala k obchodov\u00e1n\u00ed tak\u00e9 tyto kr\u00e1tkodob\u00e9 op\u010dn\u00ed kontrakty. Nen\u00ed to nijak mal\u00fd trh a to, \u017ee velmi slu\u0161n\u011b sekunduje trhu s m\u011bs\u00ed\u010dn\u00edmi op\u010dn\u00edmi kontrakty, by mohlo b\u00fdt patrn\u00e9 z obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Denn\u00ed objemy obchod\u016f ve statis\u00edc\u00edch kontrakt\u016f a op\u010dn\u00ed Open Interest sahaj\u00edc\u00ed k\u00a0hranici jednoho milionu otev\u0159en\u00fdch op\u010dn\u00edch pozic d\u00e1vaj\u00ed tu\u0161it slu\u0161nou likviditu tohoto trhu, je tak jist\u011b vhodn\u00e9 t\u011bmto kr\u00e1tkodob\u00fdm op\u010dn\u00edm kontrakt\u016fm v\u011bnovat ur\u010ditou d\u00e1vku pozornosti.<\/span><\/p>\n

P\u00e1te\u010dn\u00ed opce<\/strong><\/span><\/h3>\n

\u00a0 \u00a0Pokud ji\u017e nyn\u00ed v\u00edm, \u017ee existuj\u00ed op\u010dn\u00ed kontrakty s m\u011bs\u00ed\u010dn\u00ed expirac\u00ed<\/strong>, kter\u00e9 expiruj\u00ed t\u0159et\u00ed p\u00e1tek<\/strong> v ka\u017ed\u00e9m kalend\u00e1\u0159n\u00edm m\u011bs\u00edci<\/strong>, vyplnili tv\u016frci t\u00fddenn\u00edch op\u010dn\u00edch kontrakt\u016f zbyl\u00e9 p\u00e1tky<\/strong> v ka\u017ed\u00e9m m\u011bs\u00edci expiracemi t\u011bchto kr\u00e1tkodob\u00fdch op\u010dn\u00edch kontrakt\u016f. P\u00ed\u0161u \u010dl\u00e1nek na p\u0159elomu roku 2024\/2025, proto mohu nyn\u00ed pozorovat, \u017ee t\u0159et\u00ed p\u00e1tek<\/strong> v m\u011bs\u00edci (24.1.2025) expiruje klasick\u00e1 m\u011bs\u00ed\u010dn\u00ed opce (OZN)<\/strong> na \u201evelk\u00e9\u201c b\u0159eznov\u00e9 Treasury futures (ZNH5). Mohu ale tak\u00e9 vypozorovat, \u017ee v ka\u017ed\u00fd p\u00e1tek, kter\u00fd tomuto datu expirace m\u011bs\u00ed\u010dn\u00ed opce p\u0159edch\u00e1z\u00ed, expiruj\u00ed t\u00fddenn\u00ed op\u010dn\u00ed kontrakty s expirac\u00ed v p\u00e1tek t\u011bchto t\u00fddn\u016f, konkr\u00e9tn\u011b v p\u00e1tek 3.1.2025 (ZN1)<\/strong>, p\u00e1tek 10.1.2025 (ZN2)<\/strong> a p\u00e1tek 17.1.2025 (ZN3)<\/strong>. Existenci a dostupnost t\u011bchto p\u00e1te\u010dn\u00edch t\u00fddenn\u00edch op\u010dn\u00edch kontrakt\u016f mohu ov\u011b\u0159it v m\u00e9 obchodn\u00ed aplikaci:<\/span><\/p>\n

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\u00a0 \u00a0Zjednodu\u0161en\u011b \u0159e\u010deno, pokud budu cht\u00edt zapojit do obchodov\u00e1n\u00ed op\u010dn\u00ed kontrakty na Treasury futures a m\u016fj po\u017eadavek bude, aby jejich expirace byly v p\u00e1tek, tak takto mohu z nab\u00eddky existuj\u00edc\u00edch op\u010dn\u00edch kontrakt\u016f opravdu pro ka\u017ed\u00fd p\u00e1tek vyb\u00edrat. Ozna\u010den\u00ed tickeru arabskou \u010d\u00edslic\u00ed pak ozna\u010duje po\u0159adov\u00e9 \u010d\u00edslo t\u00fddne dan\u00e9ho m\u011bs\u00edce, ve kter\u00e9m se nach\u00e1z\u00ed expira\u010dn\u00ed p\u00e1tek pro dan\u00fd op\u010dn\u00ed kontrakt (ZN2 znamen\u00e1, \u017ee se jedn\u00e1 o druh\u00fd lednov\u00fd t\u00fdden s p\u00e1tkem 10.1.2025).\u00a0\u00a0<\/span><\/p>\n

\u00a0 \u00a0 \u00a0 <\/span>\u00a0\u00a0\u00a0Pond\u011bln\u00ed opce<\/strong><\/span><\/h3>\n

\u00a0\u00a0 Organiz\u00e1tor\u016fm op\u010dn\u00edch trh\u016f na burze CME se ale patrn\u011b zd\u00e1la nab\u00eddka op\u010dn\u00edch kontrakt\u016f s expirac\u00ed ka\u017ed\u00fd p\u00e1tek (a\u0165 u\u017e m\u011bs\u00ed\u010dn\u00ed nebo t\u00fddenn\u00ed opce) m\u00e1lo a pro uspokojen\u00ed obchodn\u00edho z\u00e1jmu vytvo\u0159ila tak\u00e9 op\u010dn\u00ed kontrakty s\u00a0pond\u011bln\u00ed expirac\u00ed<\/strong>. Mohu tak pozorovat, \u017ee v\u00a0nab\u00eddce burzy mohu obchodovat tak\u00e9 kr\u00e1tkodob\u00e9 op\u010dn\u00ed kontrakty na \u201evelk\u00e9\u201c Treasury futures s\u00a0expirac\u00ed ka\u017ed\u00e9 nadch\u00e1zej\u00edc\u00ed dva pond\u011blky, konkr\u00e9tn\u011b nyn\u00ed s\u00a0expirac\u00ed v\u00a0pond\u011bl\u00ed 6.1.2025 (VY1)<\/strong> a n\u00e1sleduj\u00edc\u00ed pond\u011bl\u00ed<\/strong> 13.1.2025 (VY2)<\/strong>. Zobrazen\u00edm pouze t\u011bchto pond\u011bln\u00edch opc\u00ed v aplikaci TWS brokera Interactive Brokers mohu pozorovat tento v\u00fdsledek:<\/span><\/p>\n

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\u00a0 \u00a0Op\u011btovn\u00e9 ozna\u010den\u00ed tickeru arabskou \u010d\u00edslic\u00ed pak ozna\u010duje po\u0159adov\u00e9 \u010d\u00edslo t\u00fddne dan\u00e9ho m\u011bs\u00edce, ve kter\u00e9m se nach\u00e1z\u00ed expira\u010dn\u00ed pond\u011bl\u00ed pro dan\u00fd op\u010dn\u00ed kontrakt (VY1 znamen\u00e1, \u017ee se jedn\u00e1 o prvn\u00ed lednov\u00fd t\u00fdden, ve kter\u00e9m se nach\u00e1z\u00ed expira\u010dn\u00ed pond\u011bl\u00ed 6.1.2025). Mohu tak v nadch\u00e1zej\u00edc\u00edch dvou t\u00fddnech minim\u00e1ln\u011b vyb\u00edrat s op\u010dn\u00edch kontrakt\u016f, kter\u00e9 expiruj\u00ed v\u017edy v pond\u011bl\u00ed a p\u00e1tek.<\/span><\/p>\n

\u00a0St\u0159ede\u010dn\u00ed opce<\/strong><\/span><\/h3>\n

\u00a0\u00a0 Expira\u010dn\u00edm pond\u011bl\u00edm a p\u00e1tkem ka\u017ed\u00e9ho t\u00fddne to ale neskon\u010dilo, proto\u017ee popt\u00e1vka po kr\u00e1tkodob\u00fdch op\u010dn\u00edch kontraktech p\u0159ivedla organiz\u00e1tora burzy s\u00a0prozat\u00edm posledn\u00ed s\u00e9ri\u00ed op\u010dn\u00edch kontrakt\u016f, a to takov\u00fdch, kter\u00e9 v\u00a0n\u00e1sleduj\u00edc\u00edch dvou t\u00fddnech expiruj\u00ed<\/strong> v\u017edy ve st\u0159edu<\/strong>. Mohu tak nyn\u00ed zjistit, \u017ee prvn\u00ed takov\u00fd op\u010dn\u00ed kontrakt expiruje n\u00e1sleduj\u00edc\u00ed st\u0159edu<\/strong> dne 8.1.2025 (WY2)<\/strong> a pot\u00e9 v\u00a0dal\u0161\u00ed st\u0159edu <\/strong>dne 15.1.2025<\/strong> expiruje n\u00e1sledn\u00fd st\u0159ede\u010dn\u00ed op\u010dn\u00ed kontrakt (WY3)<\/strong>. Nech\u00e1m si tedy zobrazit v\u00fdb\u011br pouze st\u0159ede\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f na b\u0159eznov\u00e9 Treasury futures v m\u00e9 obchodn\u00ed platform\u011b s n\u00e1sleduj\u00edc\u00edm v\u00fdsledkem:<\/span><\/p>\n

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\u00a0\u00a0\u00a0 V obr\u00e1zku jsou zachyceny aktu\u00e1ln\u011b nab\u00edzen\u00e9 a v\u00fd\u0161e popisovan\u00e9 st\u0159ede\u010dn\u00ed op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 na \u201evelk\u00e9\u201c Treasury futures. Arabsk\u00e1 \u010d\u00edslice v ozna\u010den\u00ed tickeru pak op\u011bt ozna\u010duje po\u0159adov\u00e9 \u010d\u00edslo t\u00fddne dan\u00e9ho m\u011bs\u00edce, ve kter\u00e9m se nach\u00e1z\u00ed expira\u010dn\u00ed st\u0159eda pro dan\u00fd op\u010dn\u00ed kontrakt (WY3 znamen\u00e1, \u017ee se jedn\u00e1 o t\u0159et\u00ed lednov\u00fd t\u00fdden, ve kter\u00e9m se nach\u00e1z\u00ed expira\u010dn\u00ed st\u0159eda 16.1.2025).<\/span><\/p>\n

\u00a0\u00a0 Co mohu z tohoto listov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f nyn\u00ed usoudit a jak\u00e9 se mi aktu\u00e1ln\u011b nab\u00edzej\u00ed v\u0161echny mo\u017enosti<\/strong>, jak zobchodovat nap\u0159\u00edklad opce, pro kter\u00e9 je podkladov\u00fdm aktivem Treasury futures<\/strong> s b\u0159eznovou expirac\u00ed ZNH5<\/strong>, kdy\u017e je nyn\u00ed 1.1.2025<\/strong>:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku je patrn\u00e9, \u017ee pokud je dnes st\u0159eda 1.1.2025, tak nejbli\u017e\u0161\u00ed mo\u017enost\u00ed, jak po\u0159\u00eddit op\u010dn\u00ed kontrakt na ZNH5 je ten, kter\u00fd expiruje za dva dny v\u00a0p\u00e1tek 3.1.2025 (ZN1)<\/strong>, n\u00e1sledn\u011b mohu po\u0159izovat opci s\u00a0expirac\u00ed v\u00a0pond\u011bl\u00ed 6.1.2025 (VY1)<\/strong> n\u00e1sleduj\u00edc\u00edho t\u00fddne, pot\u00e9 mohu v\u00a0tomto n\u00e1sleduj\u00edc\u00edm t\u00fddnu po\u0159\u00eddit opci s\u00a0expirac\u00ed ve st\u0159edu 8.1.2025 (WY2)<\/strong> a v\u00a0p\u00e1tek 10.1.2025 (ZN2)<\/strong>. V\u00a0dal\u0161\u00edm t\u00fddnu se nab\u00eddka expirac\u00ed pro op\u010dn\u00ed kontrakty opakuje pro pond\u011bl\u00ed 13.1.2025 (VY2)<\/strong>, st\u0159edu 15.1.2025 (WY3)<\/strong> a p\u00e1tek 17.1.2025 (ZN3)<\/strong>. Pohledem do n\u00e1sleduj\u00edc\u00edch dvou t\u00fddn\u016f tak nab\u00eddka t\u00fddenn\u00edch op\u010dn\u00edch kontrakt\u016f kon\u010d\u00ed a\u00a0pokud bych cht\u011bl nyn\u00ed obchodovat op\u010dn\u00ed kontrakt na Treasury futures ZNH5 s\u00a0del\u0161\u00ed expirac\u00ed ne\u017e jsou tyto dva n\u00e1sleduj\u00edc\u00ed obchodn\u00ed t\u00fddny, nab\u00edz\u00ed se ji\u017e pouze m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakt<\/strong> s\u00a0expirac\u00ed za t\u0159i t\u00fddny v\u00a0p\u00e1tek 24.1.2025 (OZN)<\/strong> nebo s expirac\u00ed a\u017e v \u00fanoru 21.2.2025 (OZN)<\/strong> za sedm t\u00fddn\u016f.<\/span><\/p>\n

\u00a0\u00a0 Pro v\u0161echny op\u010dn\u00ed kontrakty, jejich\u017e podkladov\u00fdm aktivem je desetilet\u00e9 Treasury futures, pak plat\u00ed, \u017ee jsou vypo\u0159\u00e1d\u00e1v\u00e1ny fyzick\u00fdm dod\u00e1n\u00edm podkladov\u00e9ho futures. Toto podkladov\u00e9 futures<\/strong> m\u00e1 hodnotu pohybu o jeden bod<\/strong> ocen\u011bno 1.000 USD<\/strong>, bude tak platit, \u017ee pohyb op\u010dn\u00edho kontraktu<\/strong> o jeden bod<\/strong> bude ocen\u011bno stejnou hodnotou 1.000 USD<\/strong>. Jak na takov\u00e9 ocen\u011bn\u00ed potom nahl\u00ed\u017eet je patrn\u00e9 na konkr\u00e9tn\u00edm p\u0159\u00edkladu:<\/span><\/p>\n

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\u00a0\u00a0 Po\u0159\u00edzen\u00ed Long Call<\/strong> na strike 109<\/strong> s\u00a0expirac\u00ed za 7 dn\u016f<\/strong> na podkladov\u00e9 futures ZNH5 by pro vyzna\u010denou cenu 0.21875<\/strong> znamenalo v\u00fddaj (0.21875*1000) ve v\u00fd\u0161i -218.75 USD<\/strong>. K prozkoum\u00e1n\u00ed parametr\u016f konkr\u00e9tn\u00edho op\u010dn\u00edho kontraktu mohu pak mohu pou\u017e\u00edt jeho specifikaci z platformy TWS m\u00e9ho brokera Interactive Brokers: \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Jedn\u00e1 se o op\u010dn\u00ed kontrakt, jeho\u017e podkladov\u00fdm aktivem je b\u0159eznov\u00e9 Treasury futures ZNH5 (1)<\/span><\/strong> s\u00a0expirac\u00ed 8.1.2025 (2)<\/span><\/strong>, co\u017e je st\u0159eda nadch\u00e1zej\u00edc\u00edho t\u00fddne. Cenu v\u00a0platform\u011b mus\u00edm n\u00e1sobit 1000 (3)<\/span><\/strong>, abych obdr\u017eel skute\u010dnou v\u00fd\u0161i ceny, kterou za n\u00e1kup opce zaplat\u00edm. Z\u00a0ozna\u010den\u00ed WY2 (4)<\/span><\/strong> vypl\u00fdv\u00e1, \u017ee se jedn\u00e1 o \u201est\u0159ede\u010dn\u00ed\u201c opci expiruj\u00edc\u00ed ve st\u0159edu druh\u00e9ho t\u00fddne v m\u011bs\u00edci leden a pokud tato opce zakon\u010d\u00ed u expirace \u201ev pen\u011bz\u00edch\u201c, bude mi fyzicky<\/strong> na m\u016fj \u00fa\u010det doru\u010deno (5)<\/span><\/strong> podkladov\u00e9 aktivum – Treasury futures s expirac\u00ed v b\u0159eznu 2025 za cenu strike, tedy za 109 bod\u016f. Pokud bych se cht\u011bl rozhodnout uplatnit sv\u00e9 pr\u00e1vo z dr\u017een\u00ed Long Call 109 op\u010dn\u00edho kontraktu k po\u0159\u00edzen\u00ed podkladov\u00e9ho futures na m\u016fj \u00fa\u010det, mohu tak u\u010dinit kdykoliv za dobu \u017eivota t\u00e9to opce, proto\u017ee je tzv. \u201eamerick\u00e9ho\u201c typu (6)<\/span><\/strong>. \u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0\u00a0\u00a0\u00a0 Op\u010dn\u00ed kontrakty na 2-Year T-Note futures (ZT)<\/strong><\/span><\/h2>\n

\u00a0\u00a0 K podrobn\u011bj\u0161\u00edmu popisu z\u00e1kladn\u00edch vlastnost\u00ed op\u010dn\u00edch kontrakt\u016f na Treasury futures jsem si vybral nejlikvidn\u011bj\u0161\u00ed \u010d\u00e1st trhu t\u011bchto op\u010dn\u00edch kontrakt\u016f, kter\u00e9 p\u0159edstavuje trhy s opcemi na desetilet\u00e9 Treasury futures, tomuto popisu jsem v\u011bnoval v\u00fd\u0161e nadepsan\u00e9 \u0159\u00e1dky. Neznamen\u00e1 to v\u0161ak, \u017ee op\u010dn\u00ed trhy pro zbyl\u00e1 Treasury futures, kter\u00e9 jsou obda\u0159eny listovan\u00fdmi op\u010dn\u00edmi kontrakty, jsou bezv\u00fdznamn\u00e9. Proto\u017ee pro tyto op\u010dn\u00ed kontrakty plat\u00ed obecn\u011b vlastnosti obdobn\u00e9 jako pro desetilet\u00e9 Treasury futures opce, zam\u011b\u0159\u00edm se pouze na obecn\u00e1 konstatov\u00e1n\u00ed a popis.<\/span><\/p>\n

\u00a0 \u00a0 Objemy obchod\u016f s op\u010dn\u00edmi kontrakty na 2-Year T-Note futures (ZT)<\/strong> nejsou n\u00edzk\u00e9, nicm\u00e9n\u011b objem\u016f obchod\u016f s op\u010dn\u00edmi kontrakty na desetilet\u00e9 futures maj\u00ed daleko. Na obr\u00e1zku n\u00ed\u017ee je tato skute\u010dnost zobrazena pro posledn\u00ed obdob\u00ed, kdy p\u00ed\u0161u tyto \u0159\u00e1dky: \u00a0\u00a0<\/span><\/p>\n

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

\u00a0\u00a0 Op\u010dn\u00ed Volume a Open Interest pro op\u010dn\u00ed kontrakty se pohybuje v \u0159\u00e1dech vy\u0161\u0161\u00edch des\u00edtek tis\u00edc, nicm\u00e9n\u011b i toto nen\u00ed nijak zanedbateln\u00e9 mno\u017estv\u00ed. Pokud bych cht\u011bl prozkoumat strukturu nab\u00eddky<\/strong> op\u010dn\u00edch kontrakt\u016f na dvoulet\u00e9 Treasury futures (ZT) podle sv\u00fdch expirac\u00ed, mohu zjistit podobn\u00e9 \u010dasov\u00e9 \u010dlen\u011bn\u00ed<\/strong>, kter\u00e9 m\u00e1m k\u00a0dispozici pro op\u010dn\u00ed kontrakty na desetilet\u00e9 Treasury futures:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Mohu z\u00a0nab\u00eddky op\u010dn\u00edch kontrakt\u016f usuzovat, \u017ee m\u00e1m k\u00a0dispozici pro aktu\u00e1ln\u011b nejbli\u017e\u0161\u00ed dvoulet\u00e9 Treasury futures s\u00a0expirac\u00ed v\u00a0b\u0159eznu 2025 pro n\u00e1sleduj\u00edc\u00ed dva t\u00fddny op\u011bt pond\u011bln\u00ed<\/strong>, st\u0159ede\u010dn\u00ed<\/strong> a p\u00e1te\u010dn\u00ed expirace<\/strong> a po t\u011bchto dvou t\u00fddnech m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty<\/strong> s\u00a0expirac\u00ed t\u0159et\u00ed p\u00e1tek v\u00a0lednu<\/strong> a t\u0159et\u00ed p\u00e1tek v\u00a0\u00fanoru<\/strong>, nab\u00eddka je tak stejn\u00e1 jako opc\u00ed na desetilet\u00e9 futures.<\/span><\/p>\n

\u00a0\u00a0 Z\u00e1sadn\u00ed odli\u0161nost\u00ed je ale multiplik\u00e1tor ceny<\/strong> zobrazovan\u00e9 v\u00a0obchodn\u00ed platform\u011b, kter\u00fd \u010din\u00ed 2000 USD<\/strong>. P\u0159ipomenu nyn\u00ed jednoduchou shrnuj\u00edc\u00ed tabulku z \u010dl\u00e1nku Dluhopisy \u2013 XIV.<\/a><\/strong><\/span> se z\u00e1kladn\u00ed hodnotu Face Value dluhopis\u016f, kter\u00e9 jednotliv\u00e9 Treasury futures n\u00e1sleduj\u00ed:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Treasury futures kontrakty s dod\u00e1n\u00edm za dva<\/strong> a t\u0159i roky<\/strong> p\u0159edstavuj\u00ed a sleduj\u00ed cenu dluhopis\u016f s Face Value 200.000 USD a maj\u00ed proto hodnotu bodu sv\u00e9ho pohybu ocen\u011bnu na +\/-2.000 USD<\/strong>, nam\u00edsto hodnoty bodu ve v\u00fd\u0161i +\/-1.000 USD pro v\u0161echna vzd\u00e1len\u011bj\u0161\u00ed Treasury futures, kter\u00e9 trackuj\u00ed portfolia dluhopis\u016f s Face Value 100.000 USD. Toto pravidlo o vy\u0161\u0161\u00edm multiplik\u00e1toru tak plat\u00ed tak\u00e9 pro op\u010dn\u00ed kontrakty na toto dvoulet\u00e9 Treasury futures, n\u00ed\u017ee konkr\u00e9tn\u00ed p\u0159\u00edklad:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pokud chci nyn\u00ed nakoupit Long Call 103<\/strong> op\u010dn\u00ed kontrakt s\u00a0expirac\u00ed za 23 dn\u016f<\/strong> za cenu 0.125 bodu<\/strong> patrnou v\u00a0obchodn\u00ed aplikaci, jeho\u017e podkladem je b\u0159eznov\u00e9 dvoulet\u00e9 Treasury futures ZTH5<\/strong>, tedy uskute\u010dnit obchod jako na v\u00fd\u0161e uveden\u00e9m obr\u00e1zku, budu moci pozorovat jeho n\u00e1sleduj\u00edc\u00ed specifikaci:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0K uji\u0161t\u011bn\u00ed, \u017ee jde opravdu o op\u010dn\u00ed kontrakt na b\u0159eznov\u00e9 dvoulet\u00e9 Treasury futures ZTH5 dost\u00e1v\u00e1m sou\u010dasn\u011b informaci, \u017ee mus\u00edm nab\u00edzenou hodnotu vyn\u00e1sobit multiplik\u00e1torem 2000, m\u016fj v\u00fddaj<\/strong> na tento obchod tak bude (0.125*2000 USD) ve v\u00fd\u0161i -250 USD<\/strong>. \u00a0<\/span><\/p>\n

\n

\u00a0\u00a0\u00a0\u00a0\u00a0 Op\u010dn\u00ed kontrakty na 5-Year T-Note futures (ZF)<\/strong><\/span><\/h2>\n

\u00a0\u00a0 V\u0161echny obecn\u00e9 znaky op\u010dn\u00edch kontrakt\u016f na p\u011btilet\u00e9 Treasury futures<\/strong> kontrakty odpov\u00eddaj\u00ed ji\u017e popisovan\u00fdm op\u010dn\u00edm kontrakt\u016fm na desetilet\u00e9 Treasury futures. Velikost trhu z\u00a0pohledu mo\u017en\u00e9 likvidity je mo\u017en\u00e9 vysledovat na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Mysl\u00edm, \u017ee obr\u00e1zek v\u00fdrazn\u00e9 komentov\u00e1n\u00ed nepot\u0159ebuje, je pravd\u011bpodobn\u00e9, \u017ee na nejb\u011b\u017en\u011bj\u0161\u00edch strike se mi poda\u0159\u00ed dos\u00e1hnout velmi dobr\u00e9 pln\u011bn\u00ed za odpov\u00eddaj\u00edc\u00ed cenu, nemus\u00edm se tak t\u011bchto trh\u016f ob\u00e1vat pro jejich nedostate\u010dnou likviditu. K rozlo\u017een\u00ed op\u010dn\u00edch kontrakt\u016f na p\u011btilet\u00e9 Treasury futures do jednotliv\u00fdch expirac\u00ed pak op\u011bt pou\u017eiji obr\u00e1zek z obchodn\u00ed aplikace TWS brokera Interactive Brokers, kde je dostupnost t\u011bchto expirac\u00ed zobrazena:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Stejn\u011b jako pro desetilet\u00e9 a dvoulet\u00e9 Treasury futures m\u00e1m k\u00a0dispozici pro aktu\u00e1ln\u011b nejbli\u017e\u0161\u00ed p\u011btilet\u00e9 Treasury futures s\u00a0expirac\u00ed v\u00a0b\u0159eznu 2025 pro n\u00e1sleduj\u00edc\u00ed dva t\u00fddny op\u011bt pond\u011bln\u00ed<\/strong>, st\u0159ede\u010dn\u00ed<\/strong> a p\u00e1te\u010dn\u00ed<\/strong> expirace a po t\u011bchto dvou t\u00fddnech m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty<\/strong> s\u00a0expirac\u00ed t\u0159et\u00ed p\u00e1tek v\u00a0lednu<\/strong> a t\u0159et\u00ed p\u00e1tek v\u00a0\u00fanoru<\/strong>. Multiplik\u00e1torem zobrazen\u00e9 ceny v\u00a0obchodn\u00ed platform\u011b je 1.000 USD a v\u0161echny ostatn\u00ed vlastnosti op\u010dn\u00edch kontrakt\u016f na Treasury futures jsou zachov\u00e1ny. \u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 \u00a0Op\u010dn\u00ed kontrakty na US Treasury Bond futures (ZB)<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Po\u0159izov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f na US Treasury Bond futures (ZB<\/strong>), tedy futures sleduj\u00edc\u00ed dluhopisy s\u00a0dlouhou dobou do splatnosti (Delivery Basket p\u0159edstavuj\u00ed dluhopisy se splatnost\u00ed 15 \u2013 25 let) netrp\u00ed v\u00a0obecn\u00fdch vlastnostech a \u010dasov\u00e9m rozlo\u017een\u00ed expirac\u00ed \u017e\u00e1dn\u00fdmi odchylkami od nejpodrobn\u011bji popisovan\u00fdch op\u010dn\u00edch kontrakt\u016f na desetilet\u00e9 Treasury futures. Pro dodr\u017een\u00ed z\u00e1kladn\u00edch vlastnost\u00ed popisu op\u011bt p\u0159ipojuji obr\u00e1zek o velikosti dan\u00fdch trh\u016f n\u00ed\u017ee:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Op\u011bt mohu konstatovat, \u017ee se nejedn\u00e1 o nijak podru\u017en\u00fd a zanedb\u00e1van\u00fd trh, kde se budu pot\u00fdkat s nedostatkem likvidity.\u00a0 Stejn\u011b jako v p\u0159\u00edpad\u011b op\u010dn\u00edch kontrakt\u016f na p\u011btilet\u00e9 a desetilet\u00e9 Treasury futures bude multiplik\u00e1torem ceny hodnota 1.000 USD. Ve stejn\u00e9m smyslu pak mohu vypozorovat rozlo\u017een\u00ed jednotliv\u00fdch expirac\u00ed listovan\u00fdch op\u010dn\u00edch kontrakt\u016f, kter\u00e9 dokumentuji op\u011bt obr\u00e1zkem z m\u00e9 obchodn\u00ed platformy: \u00a0\u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0Stejn\u011b jako pro dvoulet\u00e9, p\u011btilet\u00e9 a desetilet\u00e9 Treasury futures m\u00e1m k\u00a0dispozici pro aktu\u00e1ln\u011b nejbli\u017e\u0161\u00ed US Treasury Bond futures s\u00a0expirac\u00ed v\u00a0b\u0159eznu 2025 pro n\u00e1sleduj\u00edc\u00ed dva t\u00fddny op\u011bt pond\u011bln\u00ed<\/strong>, st\u0159ede\u010dn\u00ed<\/strong> a p\u00e1te\u010dn\u00ed<\/strong> expirace a po t\u011bchto dvou t\u00fddnech m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty s\u00a0expirac\u00ed t\u0159et\u00ed p\u00e1tek v\u00a0lednu<\/strong> a t\u0159et\u00ed p\u00e1tek v\u00a0\u00fanoru<\/strong>.<\/span><\/p>\n

\n

\u00a0\u00a0 Z\u00e1kladn\u00ed popis trh\u016f op\u010dn\u00edch kontrakt\u016f na Treasury futures by mohl b\u00fdt dobr\u00fdm vstupn\u00edm z\u00e1kladem pro vhled do problematiky \u201edluhopisov\u00fdch opc\u00ed\u201c (kter\u00e9 nakonec ani nejsou opcemi \u201ena dluhopisy\u201c). Op\u010dn\u00ed kontrakty, jej\u00edmi\u017e podklady jsou dluhopisov\u00e1 futures, kter\u00e1 sleduj\u00ed ko\u0161e dluhopis\u016f s r\u016fznou dobou do splatnosti by mohly b\u00fdt dobr\u00fdm dopl\u0148kem do obchodn\u00ed v\u00fdbavy ka\u017ed\u00e9ho pokro\u010dilej\u0161\u00edho obchodn\u00edka s dluhov\u00fdmi cenn\u00fdmi pap\u00edry. V dal\u0161\u00edm \u010dl\u00e1nku pak v\u011bnuji pozornost popisu op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na podkladov\u00e1 aktiva, kter\u00fdmi jsou tr\u017en\u00ed \u00farokov\u00e9 sazby SOFR a Effective Fed Funds Rate. S odkazem na skute\u010dnost, \u017ee op\u010dn\u00ed kontrakty mohu samostatn\u011b obchodovat, mezi sebou libovoln\u011b kombinovat nebo \u017ee pomoc\u00ed op\u010dn\u00edch kontrakt\u016f m\u016f\u017eu zaji\u0161\u0165ovat podkladov\u00e1 aktiva, nahrazovat je \u010di podkladov\u00e1 aktiva mezi sebou tak\u00e9 kombinovat, vytv\u00e1\u0159\u00ed dal\u0161\u00ed prostor pro to, jak tyto popsan\u00e9 vlastnosti op\u010dn\u00edch kontrakt\u016f tak\u00e9 v praktick\u00e9m tradingu konkr\u00e9tn\u011b vyu\u017e\u00edt\u2026:c)<\/span><\/p>\n

\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)<\/span><\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7442,"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-7416","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\/2025\/01\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1VC","jetpack-related-posts":[{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":7416,"position":0},"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":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":7416,"position":1},"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":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":7416,"position":2},"title":"Dluhopisy \u2013 XIX.","author":"dobretrejdy :c)","date":"10.7.2024","format":false,"excerpt":"\u00a0\u00a0 Dluhopisov\u00e1 deriv\u00e1tov\u00e1 j\u00edzda pokra\u010duje :c). V prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV. jsem popisoval existenci a vlastnosti \u201evelk\u00fdch\u201c Treasury futures, kter\u00e9 p\u0159edstavovaly term\u00ednov\u00e9 kontrakty, jejich\u017e podkladov\u00fdmi aktivy byly dluhopisy se splatnost\u00ed 2 a v\u00edce let podle jednotliv\u00e9 specifikace pro ka\u017ed\u00fd typ tohoto futures kontraktu. Tyto \u201evelk\u00e9\u201c Treasury\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":7416,"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":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7416,"position":4},"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. 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Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=700%2C400 2x"},"classes":[]},{"id":6900,"url":"https:\/\/dobretrejdy.com\/?p=6900","url_meta":{"origin":7416,"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\/7416","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=7416"}],"version-history":[{"count":16,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7416\/revisions"}],"predecessor-version":[{"id":7471,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7416\/revisions\/7471"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7442"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7416"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7416"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7416"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}