{"id":7650,"date":"2025-11-27T13:17:38","date_gmt":"2025-11-27T11:17:38","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7650"},"modified":"2025-12-01T11:36:55","modified_gmt":"2025-12-01T09:36:55","slug":"dluhopisy-xxiv","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7650","title":{"rendered":"Dluhopisy \u2013 XXIV."},"content":{"rendered":"

\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. V \u010dl\u00e1nku Dluhopisy \u2013 XXII.<\/a><\/strong><\/span> jsem pak konstatoval, \u017ee prvn\u00ed velkou skupinu t\u011bchto op\u010dn\u00edch kontrakt\u016f tvo\u0159\u00ed opce s podkladov\u00fdm aktivem, kter\u00fdmi jsou \u201evelk\u00e9\u201c Treasury futures kontrakty, tedy futures nav\u00e1zan\u00e9 na americk\u00e9 vl\u00e1dn\u00ed dluhopisy, a to na emise t\u011bchto dluhopis\u016f s del\u0161\u00ed dobou do splatnosti. Mohl jsem pak pozorovat, \u017ee op\u010dn\u00ed kontrakty jsou listov\u00e1ny na 2-Year T-Note futures (ZT), 5-Year T-Note futures (ZF), 10-Year T-Note futures (ZN) a t\u0159icetilet\u00e9 US Treasury Bond futures (ZB). V n\u00e1sleduj\u00edc\u00edm \u010dl\u00e1nku Dluhopisy \u2013 XXIII.<\/a><\/strong><\/span> (p\u0159edch\u00e1zej\u00edc\u00ed \u010dl\u00e1nek) jsem pak popsal z\u00e1kladn\u00ed vlastnosti op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na futures kontrakty s podkladov\u00fdmi aktivy p\u0159edstavuj\u00edc\u00ed tr\u017en\u00ed \u00farokov\u00e9 sazby – SOFR futures kontrakty<\/a><\/strong><\/span>\u00a0a\u00a030-ti denn\u00ed Fed Funds futures<\/a><\/span><\/strong>, z\u00a0t\u011bchto mo\u017enost\u00ed jsem pak popsal op\u010dn\u00ed kontrakty na t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed (Three-Months) SOFR futures (SR3) jednodu\u0161e proto, \u017ee jednom\u011bs\u00ed\u010dn\u00ed SOFR futures \u017e\u00e1dn\u00e9 op\u010dn\u00ed kontrakty listov\u00e1ny nem\u00e1 a pro 30-ti denn\u00ed Fed Funds futures<\/a><\/span><\/strong> je u m\u00e9ho brokera Interactive Brokers povoleno obchodovat pouze \u201eLong only\u201c, tedy nemohu vyu\u017e\u00edt celou \u0161k\u00e1lu n\u00e1stroj\u016f, co\u017e je pro mou pot\u0159ebu m\u00edrn\u011b nezaj\u00edmav\u00e9. Mohu tedy shrnout, \u017ee dluhopisov\u00e9 opce jsou deriv\u00e1tem na deriv\u00e1t a nemohu tak ve zjednodu\u0161en\u00ed o\u010dek\u00e1vat, \u017ee v p\u0159\u00edpad\u011b uplatn\u011bn\u00ed nebo p\u0159i\u0159azen\u00ed t\u011bchto dluhopisov\u00fdch op\u010dn\u00edch kontrakt\u016f obdr\u017e\u00edm \u201en\u011bco v\u011b\u010dn\u00e9ho\u201c, jako je nap\u0159\u00edklad akciov\u00e1 pozice v p\u0159\u00edpad\u011b akciov\u00fdch opc\u00ed, ale mus\u00edm se m\u00edt na pozoru, \u017ee tak, jak m\u00e1 op\u010dn\u00ed kontrakt svou dobu \u017eivostnosti, tak ji tak\u00e9 m\u00e1 p\u0159\u00edslu\u0161n\u00e9 podkladov\u00e9 aktivum \u2013 term\u00ednovan\u00fd futures kontrakt na velk\u00e1 Treasury futures nebo na \u00farokov\u00e9 sazby. \u00a0<\/span><\/p>\n

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Opce a Treasury Futures<\/strong><\/span><\/h1>\n

\u00a0\u00a0 M\u00e1m z\u00e1jem obchodovat sv\u00e9 n\u00e1zory na dluhopisov\u00fd trh<\/strong> a nechci po\u0159izovat fyzick\u00e9 dluhopisy<\/strong>, sou\u010dasn\u011b m\u011b tedy nezaj\u00edmaj\u00ed kup\u00f3ny, kter\u00e9 mohou tyto dluhopisy p\u0159in\u00e1\u0161et, m\u00fdm z\u00e1jmem je vyu\u017e\u00edt pohybu \u00farokov\u00fdch sazeb a jejich vliv na cenu dluhopis\u016f. V takov\u00e9m p\u0159\u00edpad\u011b je volba obchod\u016f s Treasury futures kontrakty logick\u00e1 a nab\u00edz\u00ed obchodov\u00e1n\u00ed p\u0159esn\u011b takov\u00fdch \u00favah. P\u0159i jedn\u00e9 z nich mohu nap\u0159\u00edklad p\u0159edpokl\u00e1dat, \u017ee na zased\u00e1n\u00ed m\u011bnov\u00e9ho v\u00fdboru (FOMC) americk\u00e9 centr\u00e1ln\u00ed banky (FED), kter\u00e9 se bude konat 27.10. \u2013 28.10.2025, bude rozhodnuto o sn\u00ed\u017een\u00ed p\u00e1sma \u00farokov\u00fdch sazeb o \u010dtvrt procentn\u00edho bodu a toto p\u00e1smo z p\u016fvodn\u00edho rozp\u011bt\u00ed 4,00%-4,25% bude upraveno na p\u00e1smo 3,75%-4,00%. Mohu se pak zab\u00fdvat my\u0161lenkou, \u017ee toto sn\u00ed\u017een\u00ed \u00farokov\u00fdch sazeb povede k poklesu v\u00fdnos\u016f nap\u0159\u00ed\u010d dluhopisov\u00fdmi trhy, zejm\u00e9na na trz\u00edch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, a zp\u016fsob\u00ed, \u017ee p\u0159i poklesu v\u00fdnos\u016f poroste jejich cena. Zm\u011bnu ceny t\u011bchto vl\u00e1dn\u00edch dluhopis\u016f kop\u00edruj\u00ed Treasury futures, mohu pak tuto \u00favahu zakomponovat do po\u0159\u00edzen\u00ed n\u011bkter\u00e9ho z t\u011bchto futures, vyb\u00edrat pak mohu na z\u00e1klad\u011b \u00favahy, kter\u00e9 splatnosti dluhopis\u016f by mohly na toto sn\u00ed\u017een\u00ed \u00farokov\u00fdch sazeb reagovat nejp\u0159im\u011b\u0159en\u011bji. Ponech\u00e1m nyn\u00ed stranou analytick\u00e9 rozbory nad tvarem v\u00fdnosov\u00e9 k\u0159ivky americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f a budu jednodu\u0161e p\u0159edpokl\u00e1dat, \u017ee pro mou \u00favahu pou\u017eiji Treasury futures<\/strong> nav\u00e1zan\u00e9 na 30-ti let\u00e9 vl\u00e1dn\u00ed dluhopisy<\/strong>, konkr\u00e9tn\u011b ZBH6, tedy t\u0159icetilet\u00e9 dluhopisov\u00e9 futures s expirac\u00ed v b\u0159enu 2026. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 24.10.2025 jsem nakoupil b\u0159eznov\u00e9 ZB futures za po\u0159izovac\u00ed cenu 118,25 bodu a o\u010dek\u00e1val zased\u00e1n\u00ed americk\u00e9 centr\u00e1ln\u00ed banky s t\u00edm, \u017ee moje investice bude \u00fasp\u011b\u0161n\u00e1, a to proto, \u017ee v\u00fdnosy t\u0159icetilet\u00fdch dluhopis\u016f klesnou a cena podkladov\u00fdch dluhopis\u016f bude nar\u016fstat a s n\u00ed tak\u00e9 hodnota m\u00e9ho futures kontraktu. Na obr\u00e1zku n\u00ed\u017ee je zachycena situace okam\u017eiku po\u0159\u00edzen\u00ed ZB futures, okam\u017eik publikace statementu americk\u00e9 centr\u00e1ln\u00ed banky o p\u00e1smu \u00farokov\u00fd sazeb a sou\u010dasn\u00e1 cena futures (pro okam\u017eik, kdy p\u00ed\u0161u tyto \u0159\u00e1dky):<\/span><\/p>\n

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\u00a0\u00a0 Je patrn\u00e9, \u017ee m\u00e1 \u00favaha nebyla spr\u00e1vn\u00e1 a sn\u00ed\u017een\u00ed p\u00e1sma \u00farokov\u00fdch sazeb o 25 bazick\u00fdch bod\u016f do p\u00e1sma 3,75% – 4.00 % p.a. se do v\u00fdnos\u016f t\u0159icetilet\u00fdch vl\u00e1dn\u00edch dluhopis\u016f nepropsalo po\u017eadovan\u00fdm zp\u016fsobem a pr\u00e1v\u011b naopak, tyto v\u00fdnosy za\u010daly nar\u016fstat a s nimi odpov\u00eddaj\u00edc\u00edm zp\u016fsobem klesaly ceny podkladov\u00fdch t\u0159icetilet\u00fdch dluhopis\u016f. Toto se projevilo tak\u00e9 na cen\u011b m\u00e9 investice do Treasury futures ZBH6, kter\u00e9 se propadlo na \u00farove\u0148 117 bod\u016f a aktu\u00e1ln\u011b vykazuje ztr\u00e1tu:<\/span><\/p>\n

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\u00a0\u00a0 Propad ceny dluhopis\u016f<\/strong> se projevil adekv\u00e1tn\u011b do poklesu ceny nakoupen\u00e9ho futures<\/strong> a pozice tak vykazuje aktu\u00e1ln\u00ed ztr\u00e1tu -1.002,- USD. Zd\u00e1 se tak, \u017ee p\u0159esto\u017ee \u00farokov\u00e9 sazby pro feder\u00e1ln\u00ed fondy<\/a><\/strong><\/span> budou \u00faro\u010deny ni\u017e\u0161\u00ed sazbou, tr\u017en\u00ed \u00farokov\u00e9 sazby americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f tuto skute\u010dnost nijak nereflektuj\u00ed a \u017eij\u00ed si sv\u00fdm vlastn\u00edm \u017eivotem. V\u00fdnosy dluhopis\u016f s dlouhou dobou do splatnosti v\u00edce reflektuj\u00ed makroekonomick\u00e1 o\u010dek\u00e1v\u00e1n\u00ed ne\u017e aktu\u00e1ln\u00ed p\u00e1smo \u00farokov\u00fdch sazeb a jsou odrazem o\u010dek\u00e1v\u00e1n\u00ed zejm\u00e9na spojen\u00fdch s v\u00fdvojem inflace a budouc\u00edm stavem ekonomick\u00e9ho prost\u0159ed\u00ed, ne\u017e je vyj\u00e1d\u0159eno v \u201e\u00fa\u0159edn\u011b\u201c stanoven\u00e9m rozp\u011bt\u00ed \u00farokov\u00fdch sazeb americk\u00e9 centr\u00e1ln\u00ed banky. Jsem si samoz\u0159ejm\u011b v\u011bdom t\u011bchto skute\u010dnost\u00ed, a proto jsem nemohl svou investici do s\u00e1zky na r\u016fst ceny t\u0159icetilet\u00fdch dluhopis\u016f po zve\u0159ejn\u011bn\u00ed FOMC statementu ponechat sv\u00e9mu osudu tak, \u017ee jsem ji omezil pouze na n\u00e1kup ZBH6 futures. Je pravd\u011bpodobn\u00e9, \u017ee pokud se ve sv\u00e9m psan\u00ed \u010dl\u00e1nk\u016f o dluhopisech nach\u00e1z\u00edm ve f\u00e1zi p\u0159em\u00fd\u0161len\u00ed o dluhopisov\u00fdch opc\u00edch, budu tyto deriv\u00e1ty nasazovat tak\u00e9 do takto zam\u00fd\u0161len\u00fdch obchod\u016f, op\u010dn\u00ed kontrakty a jejich kombinace mi pak m\u016f\u017eou tyto dluhopisov\u00e1 futures nahrazovat, participovat na jejich pohybu nebo je pom\u00e1hat zaji\u0161\u0165ovat, jejich posledn\u00ed zm\u00edn\u011bn\u00e1 vlastnost pak bude p\u0159edm\u011btem dal\u0161\u00edho zkoum\u00e1n\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Pohyb jednoho bodu<\/strong> pro Treasury futures p\u0159edstavuje cenov\u00fd pohyb +\/-1.000 USD<\/strong>, mohu proto zhruba jednobodov\u00fd pokles na m\u00e9m konkr\u00e9tn\u00edm Long futures ZBH6 vypozorovat jako ztr\u00e1tu ve v\u00fd\u0161i -1.000 USD a odhadovat, \u017ee vstup pouze do pozice \u201enekryt\u00e9ho\u201c Long futures je zna\u010dn\u011b rizikovou operac\u00ed, tuto pak mohu vylep\u0161it n\u00e1kupem zaji\u0161t\u011bn\u00ed, kter\u00e9 by p\u0159edstavovalo po\u0159\u00edzen\u00ed Long Put op\u010dn\u00edho kontraktu<\/strong>. Pozn\u00e1n\u00ed, \u017ee jeden Put op\u010dn\u00ed kontrakt je nav\u00e1z\u00e1n na jedno dluhopisov\u00e9 futures, m\u011b proto vedlo k n\u00e1kupu jednoho Long Put op\u010dn\u00edho kontraktu na strike 118 s expirac\u00ed v lednu 2026. Mohu tak pozorovat tento z\u00e1pis o proveden\u00e9m obchodu:<\/span><\/p>\n

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\u00a0\u00a0 Na n\u00e1kup Long Put se strike 118 s expirac\u00ed v lednu 2026 jsem vydal -1703,125 USD<\/strong> a zaplatil na komis\u00edch -1.72 USD. V \u010dl\u00e1nku Dluhopisy \u2013 XXII.<\/a><\/strong><\/span> jsem p\u0159i popisu vlastnost\u00ed opc\u00ed na Treasury futures nezm\u00ednil, jak\u00fdm zp\u016fsobem se zobrazuje v\u00a0op\u010dn\u00edm \u0159et\u011bzci cena pro jednotliv\u00e9 op\u010dn\u00ed kontrakty a tedy jak\u00e9 mohu od sv\u00e9ho obchodn\u00edho p\u0159\u00edkazu o\u010dek\u00e1vat skute\u010dn\u00e9 pln\u011bn\u00ed. Na obr\u00e1zku n\u00ed\u017ee je aktu\u00e1ln\u00ed op\u010dn\u00ed \u0159et\u011bzec pro mnou nakoupen\u00e9 ZBH6 ozna\u010den\u00fd JAN26.<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee m\u011bs\u00ed\u010dn\u00ed op\u010dn\u00ed kontrakty JAN26, kter\u00e9 jsem vybral, maj\u00ed podkladov\u00e9 aktivum ZBH6 futures (1)<\/span><\/strong> a m\u00e1m k dispozici celou \u0161k\u00e1lu strike s nab\u00edzen\u00fdmi cenami Ask a Bid. Mus\u00edm si nyn\u00ed uv\u011bdomit, \u017ee cena op\u010dn\u00edho kontraktu pro dluhopisov\u00e9 Treasury futures je <\/span>vyj\u00e1d\u0159ena v bodech, p\u0159i\u010dem\u017e ka\u017ed\u00fd bod je d\u00e1le roz\u0161t\u011bpen na 1\/16 bodu a d\u00e1le mus\u00edm vz\u00edt na v\u011bdom\u00ed, \u017ee cena t\u011bchto opc\u00ed je u m\u00e9ho brokera Interactive Brokers vyj\u00e1d\u0159ena s multiplik\u00e1torem *1000. Pokud tedy vid\u00edm cenovou nab\u00eddku pro Put op\u010dn\u00ed kontrakt na strike 116 s cenou Bid 1.453125<\/strong><\/span> a Ask 1.484375<\/strong><\/span> (2)<\/strong><\/span> mus\u00edm p\u0159edpokl\u00e1dat, \u017ee cena t\u00e9to opce se bude pohybovat mezi 1.453–2\/16<\/strong><\/span> USD a 1.484–6\/16<\/strong><\/span> USD, tedy p\u0159esto\u017ee je vyj\u00e1d\u0159ena \u0161estim\u00edstn\u00fdm desetinn\u00fdm \u010d\u00edslem, t\u0159i posledn\u00ed desetinn\u00e1 \u010d\u00edsla p\u0159edstavuj\u00ed desetinn\u00fd tvar \u0161estn\u00e1ctinov\u00e9ho zlomku ceny op\u010dn\u00edho kontraktu men\u0161\u00ed ne\u017e jeden dolar. Na obr\u00e1zku n\u00ed\u017ee je v\u00a0tabulce p\u0159epo\u010det \u0161estn\u00e1ctin na desetinn\u00e1 \u010d\u00edsla pro v\u011bt\u0161\u00ed p\u0159ehlednost:<\/span><\/p>\n

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\u00a0\u00a0 Mus\u00edm proto v\u011bd\u011bt, \u017ee jin\u00e9 pln\u011bn\u00ed ne\u017e v\u00a0t\u011bchto \u0161estn\u00e1ctin\u00e1ch dolaru nelze obdr\u017eet. Pokud jsem tedy vydal na mou Long Put 118 JAN26 \u010d\u00e1stku -1703,125 USD, tak jsem vydal -1703 USD – 2\/16 USD. Po zapo\u010d\u00edt\u00e1n\u00ed poplatku za transakci ve v\u00fd\u0161i -1.72 USD jsem m\u011bl celkov\u00e9 n\u00e1klady na n\u00e1kup t\u00e9to opce ve v\u00fd\u0161i (-1703,125 USD -1.72 USD) ve v\u00fd\u0161i -1704.846 USD a takto mohu pozorovat mou pozici v\u00a0platform\u011b TWS:<\/span><\/p>\n

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\u00a0\u00a0 Zaji\u0161t\u011bn\u00ed<\/strong> pozice b\u0159eznov\u00e9ho Long ZBH6 futures<\/strong> pomoc\u00ed Long Put 118<\/strong> op\u010dn\u00edm kontraktem JAN 2026 znamen\u00e1, \u017ee m\u00e1m omezen\u00fd potenci\u00e1l maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty a nejhor\u0161\u00ed co se mi nyn\u00ed m\u016f\u017ee st\u00e1t je prod\u011blek ve v\u00fd\u0161i -1.957,971 USD. Long Put opce JAN26 expiruje 26.12.2025 a je p\u0159i expiraci tzv. \u201ephysical delivery\u201c, znamen\u00e1 to tedy, \u017ee v p\u0159\u00edpad\u011b, \u017ee bude cena pod strike m\u00e9 Long Put 118, budu povinen doru\u010dit vypisovateli opce mnou dr\u017een\u00e9 ZBH6 futures za cenu strike, tedy za +118.000 USD<\/strong>, proto\u017ee jsem ale tento kontrakt futures nakoupil za -118\u00a0253,125 USD (viz obr\u00e1zek v\u00fd\u0161e) a nav\u00edc jej zajistil Long Put opc\u00ed s\u00a0v\u00fddajem -1704,846 USD, tedy m\u00e9 aktu\u00e1ln\u00ed v\u00fddaje jsou (-118\u00a0253,125 USD – 1704,846 USD) ve v\u00fd\u0161i -119\u00a0957,971 USD<\/strong>, rozd\u00edl (+118.000 USD -119\u00a0957,971 USD) ve v\u00fd\u0161i -1.957,971 USD<\/strong> pak bude maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta<\/strong>, kterou mohu nyn\u00ed utrp\u011bt.<\/strong> Samoz\u0159ejm\u011b plat\u00ed, \u017ee pokud by cena podkladov\u00e9ho futures ZBH6 rostla, maxim\u00e1ln\u00ed profit m\u016f\u017ee b\u00fdt neomezen\u00fd p\u0159i p\u0159edstav\u011b neomezen\u00e9ho poklesu v\u00fdnos\u016f t\u0159icetilet\u00fdch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f. Tento r\u016fst ale nyn\u00ed mus\u00ed b\u00fdt alespo\u0148 takov\u00fd, aby vyd\u011blal na mou investici do zaji\u0161t\u011bn\u00ed ve form\u011b Long Put ve v\u00fd\u0161i -1704,846 USD, proto m\u00e1 n\u00e1kupn\u00ed cena ZBH6 ve v\u00fd\u0161i 118 253,125 USD mus\u00ed nar\u016fst alespo\u0148 na hodnotu (118 253,125 USD + 1704,846 USD) tohoto podkladu ve v\u00fd\u0161i 119\u00a0957,971 USD<\/strong>, tato hodnota je nyn\u00ed BreakEven cel\u00e9 aktu\u00e1ln\u00ed pozice, takovou nejni\u017e\u0161\u00ed mo\u017enou cenu mus\u00ed m\u00edt podkladov\u00e9 ZBH6 futures p\u0159i expiraci Long Put 118 opce, abych na takto strukturovan\u00e9 pozici neprod\u011blal. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0 Zaji\u0161t\u011bn\u00ed pomoc\u00ed Long Put 118 opc\u00ed je dostate\u010dn\u00e1 pojistka proti tomu, aby m\u00e9 podkladov\u00e9 futures ZBH6 p\u0159i sv\u00e9m poklesu nevyrobilo nekontrolovatelnou d\u00edru do m\u00e9ho \u00fa\u010dtu, nicm\u00e9n\u011b se mi zd\u00e1 jej\u00ed po\u0159izovac\u00ed cena ve v\u00fd\u0161i -1704,846 zna\u010dn\u011b vysok\u00e1. Rozhodl jsem se tedy tyto n\u00e1klady vylep\u0161it p\u0159\u00edjmem Pr\u00e9mia<\/strong> z\u00a0v\u00fdpisu Short Call<\/strong> na vy\u0161\u0161\u00edm strike, konkr\u00e9tn\u011b jsem si vybral velice t\u011bsn\u00fd OTM strike 119 se stejnou expirac\u00ed, jako je m\u00e1 nakoupen\u00e1 Long Put 118, volba tedy padla na JAN26 s expirac\u00ed 26.12.2025. Na obr\u00e1zku n\u00ed\u017ee cel\u00e1 transakce:<\/span><\/p>\n

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\u00a0 Z\u00a0obr\u00e1zku je patrn\u00e9, \u017ee jsem po\u0159\u00eddil Short Call 119<\/strong> JAN26 za +1.421,875 USD<\/strong> (1421-14\/16 USD), po zapo\u010d\u00edt\u00e1n\u00ed poplatku za obchod ve v\u00fd\u0161i -1.72 USD jsem tak z\u00edskal Pr\u00e9mium z\u00a0v\u00fdpisu ve v\u00fd\u0161i +1420,155 USD. Cel\u00e1 pozice vytvo\u0159en\u00e1 z\u00a0Long Treasury futures ZBH6, Long Put 118 JAN26 a Short Call 119 JAN26 je pak na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Vytvo\u0159en\u00e1 pozice Collar<\/strong><\/a><\/span> nen\u00ed nic objevn\u00e9ho a pat\u0159\u00ed k nejb\u011b\u017en\u011bj\u0161\u00edm op\u010dn\u00edm kombinac\u00edm podkladov\u00fdch aktiv a op\u010dn\u00edch kontrakt\u016f. Mohu pak pozorovat, \u017ee vytvo\u0159en\u00ed takto strukturovan\u00e9 pozice v\u00fdrazn\u011b m\u011bn\u00ed rizikov\u00fd profil m\u00e9 spekulace na pokles v\u00fdnos\u016f na t\u0159icetilet\u00fdch dluhopisech v souvislost\u00ed se sni\u017eov\u00e1n\u00edm \u00farokov\u00fdch sazeb. P\u016fvodn\u00ed maxim\u00e1ln\u00ed mo\u017enou ztr\u00e1tu ve v\u00fd\u0161i -1.957,971 USD jsem nyn\u00ed v\u00fdpisem Short Call 119 JAN26 za +1.420,155 USD srazil (-1.957,971 USD + 1.420,155 USD) na maxim\u00e1ln\u00ed mno\u017enou ztr\u00e1tu<\/strong> ve v\u00fd\u0161i -537,816 USD<\/strong> za p\u0159edpokladu, \u017ee cena se p\u0159i expiraci op\u010dn\u00edch kontrakt\u016f bude nach\u00e1zet pod Put strike 118. M\u00e9 aktu\u00e1ln\u00ed v\u00fddaje jsou nyn\u00ed (-118 253,125 USD – 1704,846 USD +1.420,155 USD) v celkov\u00e9 v\u00fd\u0161i -118 537,81 USD a definuj\u00ed tak nov\u011b BreakEven cel\u00e9 pozice na hodnotu 118.53781 pro podkladov\u00e9 ZBH6 futures, na t\u00e9to cen\u011b (118 537,81 USD) bude m\u00e1 pozice p\u0159i expiraci opc\u00ed vykazovat nulov\u00fd zisk a ztr\u00e1tu. V\u00fdpisem Short Call 119 jsem ale tak\u00e9 t\u00e9to pozici p\u0159edur\u010dil maxim\u00e1ln\u00ed mo\u017en\u00fd profit, kter\u00fd mohu o\u010dek\u00e1vat a ten je definov\u00e1n strike vypsan\u00e9 Short Call 119, tato opce mi p\u0159i sv\u00e9 expiraci zaru\u010duje, v p\u0159\u00edpad\u011b \u017ee bude \u201ev pen\u011bz\u00edch\u201c, tak se podkladov\u00e9ho ZBH6 futures zbav\u00edm za +119 000,- USD, p\u0159i aktu\u00e1ln\u00edch n\u00e1kladech -118 537,81 USD je tak m\u016fj maxim\u00e1ln\u00ed mo\u017en\u00fd profit<\/strong> ve v\u00fd\u0161i +462,19 USD<\/strong>. Ve shrnut\u00ed nyn\u00ed mohu m\u00edrn\u011b v\u00edce maxim\u00e1ln\u011b prod\u011blat, ne\u017e mohu maxim\u00e1ln\u011b vyd\u011blat a je to rozhodn\u011b komfortn\u011bj\u0161\u00ed pocit ne\u017e n\u00e9st riziko neomezen\u00e9 ztr\u00e1ty. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\n

Opce a Dluhopisy<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Zapojit op\u010dn\u00ed kontrakty do obchod\u016f v kombinaci se sv\u00fdmi podklady je \u00fast\u0159edn\u00edm t\u00e9matem t\u00e9m\u011b\u0159 cel\u00e9ho tohoto webu a pro \u010dten\u00e1\u0159e, kter\u00fd se prokousal jej\u00edm obsahem, nebude nyn\u00ed konstrukce Collaru dluhopisov\u00e9ho futures a souvisej\u00edc\u00edch Long Put a Short Call popisovan\u00e1 na v\u00fd\u0161e uveden\u00fdch \u0159\u00e1dc\u00edch opravdu nic objevn\u00e9ho. Existence op\u010dn\u00edch kontrakt\u016f na podkladov\u00e1 aktiva \u2013 Treasury futures ale um\u00ed pomoci vy\u0159e\u0161it jin\u00fd probl\u00e9m a t\u00edm je neexistence op\u010dn\u00edch kontrakt\u016f<\/strong> na jednotliv\u00e9 dluhopisov\u00e9 emise<\/strong>. V portfoli\u00edch dlouhodob\u011bj\u0161\u00edch investor\u016f se patrn\u011b nebudou v\u00fdznamn\u011b objevovat pozice na dluhopisov\u00e1 futures, ale tato portfolia budou patrn\u011b obsahovat investice do vl\u00e1dn\u00edch, korpor\u00e1tn\u00edch nebo municip\u00e1ln\u00edch dluhopis\u016f a bude pak zaj\u00edmav\u00e9 nal\u00e9zt mo\u017enost, jak pomoc\u00ed op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na dluhopisov\u00e1 futures<\/strong> zajistit takto strukturovan\u00e1 dluhopisov\u00e1 portfolia<\/strong>, nap\u0159\u00edklad podobn\u00fdm zp\u016fsobem, jako jsem zaji\u0161\u0165oval sv\u016fj \u00famysl zobchodovat pohyb \u00farokov\u00fdch sazeb pomoc\u00ed dluhopisov\u00e9ho futures v prvn\u00ed \u010d\u00e1sti \u010dl\u00e1nku.<\/span><\/p>\n

\u00a0\u00a0 Z\u00e1kladem \u00favahy by mohl b\u00fdt p\u0159\u00edklad, kdy jsem jako dluhopisov\u00fd investor nakoupil dluhopisy spole\u010dnosti ADM<\/strong> (Archer-Daniels-Midland Co.) s Face Value 300.000,- USD<\/strong>, dluhopisy TGT<\/strong> (Target Corp.) s Face Value 200.000,- USD<\/strong> a dluhopisy M<\/strong> (Macy\u2019s Retail Holdings LLC) s Face Value 100.000,- USD<\/strong>, v\u0161echny dluhopisy jsou se zhruba desetiletou splatnost\u00ed. Nyn\u00ed m\u011b, na rozd\u00edl od dr\u017een\u00ed Treasury futures v p\u0159edchoz\u00edm p\u0159\u00edpad\u011b, zaj\u00edmaj\u00ed kup\u00f3ny a dal\u0161\u00ed vlastnosti spojen\u00e9 s konkr\u00e9tn\u00edmi dluhopisov\u00fdmi emisemi. N\u00e1kup je mo\u017en\u00e9 pozorovat na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Je mi jasn\u00e9, \u017ee se jedn\u00e1 o velkou investici a patrn\u011b nebude obvykl\u00e1 pro \u010dten\u00e1\u0159e m\u00e9ho webu, nicm\u00e9n\u011b bych cht\u011bl na tomto p\u0159\u00edkladu uk\u00e1zat, jak mohu aplikovat op\u010dn\u00ed kontrakty na Treasury futures pr\u00e1v\u011b na takto strukturovanou investici do korpor\u00e1tn\u00edch dluhopis\u016f, i kdy\u017e je mi jasn\u00e9, \u017ee investovat v\u00edce ne\u017e p\u016fl milion\u016f dolar\u016f do dluhopis\u016f patrn\u011b nebude b\u011b\u017en\u00fd ka\u017edodenn\u00ed investi\u010dn\u00ed chl\u00e9b. P\u0159\u00edklad tak budi\u017e n\u00e1vodem, jak k takov\u00e9 investici p\u0159istoupit s pomoc\u00ed op\u010dn\u00edch kontrakt\u016f, kter\u00e9 jsou na trhu moment\u00e1ln\u011b k dispozici, aktu\u00e1ln\u011b toti\u017e mohu obchodovat pouze op\u010dn\u00ed kontrakty na \u201evelk\u00e9\u201c Treasury futures, kdy\u017e op\u010dn\u00ed kontrakty na jejich desetinn\u00e9 klony Micro U.S. Treasury Note futures<\/a><\/strong><\/span> nebo na Yield futures<\/a><\/strong><\/span> nejsou na burze CME prozat\u00edm k dispozici. Nicm\u00e9n\u011b nemohu vylou\u010dit, \u017ee se tak v bl\u00edzk\u00e9 budoucnosti stane a organiz\u00e1tor burzy t\u011bchto \u201emen\u0161\u00edch\u201c futures p\u0159istoup\u00ed k zalistov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f tak\u00e9 na tyto podklady a bude pak mo\u017en\u00e9 tyto po\u017e\u00edvat tak\u00e9 pro daleko m\u00e9n\u011b rozs\u00e1hlej\u0161\u00ed dluhopisov\u00e1 portfolia na stejn\u00fdch principech popsan\u00fdch n\u00ed\u017ee.<\/span><\/p>\n

\u00a0 \u00a0Po\u0159\u00edzen\u00ed takto slo\u017een\u00e9ho dluhopisov\u00e9ho portfolia nebude zcela bezrizikov\u00e9 a pokud odhl\u00e9dnu od rizika spojen\u00e9ho s finan\u010dn\u00ed kondic\u00ed emitenta, bude m\u00e9 portfolio podl\u00e9hat zejm\u00e9na rizik\u016fm vypl\u00fdvaj\u00edc\u00edm z prost\u0159ed\u00ed tr\u017en\u00edch \u00farokov\u00fdch sazeb, kter\u00e1 bych cht\u011bl n\u011bjak\u00fdm zp\u016fsobem eliminovat. Mohu pak toto riziko kvantifikovat na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Z obr\u00e1zku z aplikace RiskNavigator mohu vy\u010d\u00edst parametr DV01<\/strong> pro celou mou dluhopisovou investici. DV01<\/a><\/strong><\/span> ozna\u010duje dolarovou hodnotu zm\u011bny cenu dluhopisu<\/strong> p\u0159i zm\u011bn\u011b tr\u017en\u00edch \u00farokov\u00fdch zazeb o jeden bazick\u00fd bod<\/strong> a z obr\u00e1zku mohu vy\u010d\u00edst, \u017ee celkov\u00e1 hodnota DV01 nakoupen\u00fdch dluhopis\u016f je 466 USD a bude to tak znamenat, \u017ee pokud se \u00farokov\u00e9 sazby pohnou o +\/- jeden bazick\u00fd bod, moje dluhopisov\u00e9 portfolio ztrat\u00ed\/p\u0159id\u00e1 pr\u00e1v\u011b tuto dolarovou hodnotu. Mohu si pak tuto z\u00e1vislost na \u00farokov\u00fdch sazb\u00e1ch graficky nechat zobrazit takto:<\/span><\/p>\n

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\u00a0\u00a0 Mohu nap\u0159\u00edklad vypozorovat, \u017ee n\u00e1r\u016fst<\/strong> \u00farokov\u00fdch sazeb o +1% (+100 bps)<\/strong> bude znamenat pokles hodnoty m\u00e9ho dluhopisov\u00e9ho portfolia o p\u0159ibli\u017en\u011b -50.000 USD<\/strong>. Pokud jsem rozhodnut dr\u017eet dluhopisy a\u017e do jejich splatnosti, nemus\u00edm se o takto zobrazen\u00fd pokles hodnoty portfolia v\u016fbec zaj\u00edmat, budu ale muset b\u00fdt p\u0159ipraven, \u017ee pokud m\u00e1m v portfoliu je\u0161t\u011b dal\u0161\u00ed investice a tyto nap\u0159\u00edklad vy\u017eaduj\u00ed ur\u010ditou hodnotu kolater\u00e1lu, tak se hodnota kolater\u00e1lu p\u0159edstavuj\u00edc\u00ed pr\u00e1v\u011b toto dluhopisov\u00e9 portfolio sn\u00ed\u017e\u00ed pr\u00e1v\u011b o tuto vyobrazenou \u010d\u00e1stku. Z praxe vypl\u00fdv\u00e1, \u017ee mezidenn\u00ed pohyb tr\u017en\u00edch \u00farokov\u00fdch sazeb o jeden procentn\u00ed bod je krajn\u011b v\u00fdjime\u010dnou ud\u00e1lost\u00ed, nicm\u00e9n\u011b pohyby o jednotky a\u017e des\u00edtky bazick\u00fdch bod\u016f nejsou nic mimo\u0159\u00e1dn\u00e9ho. Co mohu pro takto po\u0159\u00edzen\u00e9 portfolio ve smyslu pozorovan\u00e9ho rizika z pohybu tr\u017en\u00edch \u00farokov\u00fdch sazeb ud\u011blat? Mohu se pokusit nal\u00e9zt n\u00e1stroj, kter\u00fd bude odpov\u00eddat cenov\u00fdm pohyb\u016fm mnou nakoupen\u00fdch dluhopis\u016f a p\u0159i zji\u0161t\u011bn\u00ed spr\u00e1vn\u00e9ho pom\u011bru mno\u017estv\u00ed takov\u00e9ho investi\u010dn\u00edho n\u00e1stroje jej pak mohu po\u0159\u00eddit tak, aby co nejl\u00e9pe zachycoval tyto cenov\u00e9 pohyby. Pokud bych se zam\u011b\u0159il na odpov\u00eddaj\u00edc\u00ed Treasury futures kontrakty a zjistil, jak\u00fdm zp\u016fsobem reaguj\u00ed na cenov\u00e9 pohyby m\u00e9ho portfolia, bylo by pak mo\u017en\u00e9 p\u0159im\u011b\u0159en\u00fd po\u010det t\u011bchto futures shortovat a pokusit se zachycovat cenov\u00e9 propady m\u00e9ho dluhopisov\u00e9ho portfolia cenov\u00fdmi r\u016fsty na shortovan\u00fdch futures. Ne\u017e se pokus\u00edm o tuto kvantifikaci a jej\u00ed n\u00e1slednou aplikaci na op\u010dn\u00ed kontrakty mus\u00edm podotknout, \u017ee pokud bych opravdu nalezl takto dokonal\u00fd hed\u017eovac\u00ed n\u00e1stroj, bude samoz\u0159ejm\u011b na zaji\u0161\u0165ovan\u00e9m portfolio p\u016fsobit tak\u00e9 v opa\u010dn\u00e9m smyslu. V p\u0159\u00edpad\u011b, \u017ee \u00farokov\u00e9 sazby na trz\u00edch boudou klesat, bude m\u00e9 dluhopisov\u00e9 portfolio nar\u016fstat na cen\u011b a bude mi p\u0159in\u00e1\u0161et kapit\u00e1lov\u00fd v\u00fdnos vypl\u00fdvaj\u00edc\u00ed pr\u00e1v\u011b z tohoto cenov\u00e9ho pohybu a j\u00e1 krom\u011b inkasovan\u00fdch kup\u00f3n\u016f budu moci profitovat z cenov\u00e9ho r\u016fstu jednotliv\u00fdch slo\u017eek portfolia, p\u0159i zaji\u0161t\u011bn\u00ed shortovan\u00fdmi futures kontrakty by ale m\u011bl b\u00fdt tento cenov\u00fd n\u00e1r\u016fst kompenzov\u00e1n ztr\u00e1tou hodnoty zaji\u0161\u0165ovac\u00edch futures a j\u00e1 bych se nemohl kapit\u00e1lov\u00e9ho v\u00fdnosu nijak \u00fa\u010dastnit. M\u016f\u017ee se ale st\u00e1t, \u017ee m\u00fdm p\u0159\u00e1n\u00edm bude sn\u00ed\u017eit volatilitu dluhopisov\u00e9ho portfolia nebo upravit jeho celkovou duraci pr\u00e1v\u011b pomoc\u00ed t\u011bchto Treasury futures, toto ale nen\u00ed nyn\u00ed p\u0159edm\u011btem m\u00e9ho z\u00e1jmu (mo\u017en\u00e1 v n\u011bkter\u00e9m z dal\u0161\u00edch \u010dl\u00e1nk\u016f). Proto jsou mou nyn\u011bj\u0161\u00ed volbou op\u010dn\u00ed kontrakty nav\u00e1zan\u00e9 na tyto Treasury futures, tyto mi dovol\u00ed p\u0159\u00edpadn\u00fd v\u011bt\u0161\u00ed komfort vypl\u00fdvaj\u00edc\u00ed z mo\u017en\u00e9 \u00fa\u010dasti na cenov\u00e9m pohybu dluhopisov\u00e9ho portfolia.<\/span><\/p>\n

\u00a0\u00a0 P\u0159i hled\u00e1n\u00ed \u0159e\u0161en\u00ed, jak vyu\u017e\u00edt op\u010dn\u00ed kontrakty<\/strong> nav\u00e1zan\u00e9 na Treasury futures<\/strong> budu vych\u00e1zet z\u00a0n\u011bkolika p\u0159edpoklad\u016f, kter\u00e9 budou v\u00fdchoz\u00edmi body pro dal\u0161\u00ed \u00favahy:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Zm\u011bna tr\u017en\u00edch \u00farokov\u00fdch sazeb<\/strong> se propisuje do zm\u011bny v\u0161ech ve\u0159ejn\u011b obchodovan\u00fdch dluhopis\u016f<\/strong>, budou-li \u00farokov\u00e9 sazby r\u016fst \u2013 ceny dluhopis\u016f budou klesat a naopak, p\u0159i poklesu \u00farokov\u00fdch sazeb budou ceny dluhopis\u016f r\u016fst. Dluhopisy s\u00a0podobn\u00fdmi vlastnostmi \u2013 p\u0159ibli\u017en\u011b stejnou v\u00fd\u0161\u00ed kupon\u016f,\u00a0p\u0159ibli\u017en\u011b stejnou dobou do splatnosti a p\u0159ibli\u017en\u011b stejn\u00fdm ratingem se budou cenov\u011b chovat p\u0159ibli\u017en\u011b stejn\u011b.<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Spread<\/strong> mezi v\u00fdnosem korpor\u00e1tn\u00edho dluhopisu a odpov\u00eddaj\u00edc\u00edho bezrizikov\u00e9ho vl\u00e1dn\u00edho dluhopisu s p\u0159ibli\u017en\u00fdmi vlastnostmi se\u00a0 nebude<\/strong> po dobu pou\u017e\u00edv\u00e1n\u00ed dluhopisov\u00fdch op\u010dn\u00edch kontrakt\u016f v\u00fdrazn\u011b m\u011bnit<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 3\/<\/strong> K\u00a0pr\u00e1ci s\u00a0dluhopisov\u00fdm portfoliem budu vyu\u017e\u00edvat op\u010dn\u00ed kontrakty<\/strong> na Treasury futures<\/strong>. V \u010dl\u00e1nku Dluhopisy \u2013 XIV.<\/a><\/strong><\/span> jsem popisoval, co je vlastn\u011b podkladem pro toto dluhopisov\u00e9 futures, \u017ee existuje Delivery basket \u2013 cel\u00fd ko\u0161 dluhopis\u016f ur\u010den\u00fd k\u00a0vypo\u0159\u00e1d\u00e1n\u00ed tohoto futures, kter\u00e1 dluhopisov\u00e1 emise je pro aktu\u00e1ln\u00ed vypo\u0159\u00e1d\u00e1n\u00ed nejvhodn\u011bj\u0161\u00ed (Cheapest To Deliver dluhopis) a jak\u00fdm zp\u016fsobem je p\u0159\u00edpadn\u011b podkladov\u00fd dluhopis p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed doru\u010den (Invoice Price \u2013 Conversion Factor), t\u011bmto pojm\u016fm a procedur\u00e1m je zapot\u0159eb\u00ed obecn\u011b porozum\u011bt.<\/span><\/p>\n

\u00a0\u00a0 V\u00fdsledkem m\u00e9ho sna\u017een\u00ed nyn\u00ed bude ochr\u00e1nit m\u00e9 dluhopisov\u00e9 portfolio proti propadu<\/strong> jeho ceny vlivem p\u0159\u00edpadn\u00e9ho r\u016fstu tr\u017en\u00edch \u00farokov\u00fdch sazeb a toto za\u0159\u00eddit co nejlevn\u011bji. Stejn\u011b jako u jak\u00e9hokoliv jin\u00e9ho aktiva (akcie, futures\u2026), na kter\u00e9 jsou listov\u00e1ny op\u010dn\u00ed kontrakty, mohu zvolit ochranu proti poklesu jeho ceny n\u00e1kupem Long Put<\/strong> op\u010dn\u00edho kontraktu, stejn\u011b jako jsem to nap\u0159\u00edklad provedl v p\u0159\u00edkladu s n\u00e1kupem dluhopisov\u00e9ho futures v prvn\u00ed \u010d\u00e1sti \u010dl\u00e1nku. Zb\u00fdv\u00e1 jen ur\u010dit, jak\u00fd strike pro svou ochranu zvolit a jak kvantifikovat po\u010det op\u010dn\u00edch kontrakt\u016f vhodn\u00fdch k pln\u00e9mu zaji\u0161t\u011bn\u00ed. Pro tuto obchodn\u00ed \u00favahu jsem zvolil op\u010dn\u00ed kontrakty<\/strong> na desetilet\u00e9<\/strong> Treasury futures ZNM6<\/strong> (\u010dervnov\u00e9 futures) s expirac\u00ed opc\u00ed 22.5.2026<\/strong>, tedy p\u0159ibli\u017en\u011b p\u016flro\u010dn\u00ed zaji\u0161t\u011bn\u00ed.<\/span><\/p>\n

ADM \u2013 Long Put<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Hled\u00e1n\u00ed vhodn\u00e9ho zaji\u0161t\u011bn\u00ed pop\u00ed\u0161u pro \u010d\u00e1st dluhopisov\u00e9ho portfolia p\u0159edstavovan\u00e9ho investic\u00ed do dluhopis\u016f ADM ve v\u00fd\u0161i 300.000 USD Face Value t\u011bchto dluhopis\u016f, pro ostatn\u00ed polo\u017eky portfolia pak bude v\u0161e platit obdobn\u011b s p\u0159ihl\u00e9dnut\u00edm k vlastnostem t\u011bchto zbyl\u00fdch dluhopis\u016f (TGT a M). Budu vych\u00e1zet z parametr\u016f, kter\u00e1 se mi zobrazuj\u00ed v obchodn\u00ed platform\u011b takto:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee pokud bych cht\u011bl tento dluhopis nyn\u00ed po\u0159\u00eddit, vynalo\u017eil bych na n\u00e1kup jednoho dluhopisu s\u00a0Face Value 1000 USD \u010d\u00e1stku -1067,79 USD (1)<\/span><\/strong>, tato cena pak reprezentuje v\u00fdnos do splatnosti ve v\u00fd\u0161i 4,51 % (2)<\/span><\/strong>. Nyn\u00ed je m\u00fdm rozhodnut\u00edm, \u017ee budu cht\u00edt vyu\u017e\u00edt k\u00a0zaji\u0161t\u011bn\u00ed op\u010dn\u00ed kontrakty<\/strong> nav\u00e1zan\u00e9 na desetilet\u00e9 Treasury futures<\/strong> s\u00a0expirac\u00ed v\u00a0\u010dervnu 2026<\/strong>, toto \u010dervnov\u00e9 futures nyn\u00ed aktu\u00e1ln\u011b sleduje ko\u0161 dluhopis\u016f<\/strong> vhodn\u00fdch k dod\u00e1n\u00ed p\u0159i jeho p\u0159\u00edpadn\u00e9m vypo\u0159\u00e1d\u00e1n\u00ed, kter\u00e9 mohu zobrazit na str\u00e1nk\u00e1ch burzy CME<\/a><\/strong><\/span> (nutn\u00e1 jednoduch\u00e1 registrace) takto:<\/span><\/p>\n

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\u00a0\u00a0\u00a0 P\u0159i volb\u011b podkladov\u00e9ho Treasury futures s\u00a0expirac\u00ed v\u00a0\u010dervnu 2026 (1)<\/span><\/strong> mohu z\u00a0mo\u017en\u00fdch dod\u00e1van\u00fdch emis\u00ed vypozorovat mod\u0159e podbarvenou<\/strong> emisi CTD (Cheapest To Deliver)<\/strong> americk\u00e9ho vl\u00e1dn\u00edho dluhopisu s\u00a0CUSIP 91282CGM7 (2)<\/span><\/strong>. Tento dluhopis je nyn\u00ed nejvhodn\u011bj\u0161\u00ed pro vypo\u0159\u00e1d\u00e1n\u00ed (je nejlevn\u011bj\u0161\u00ed) a pokud by se nyn\u00ed toto dod\u00e1n\u00ed prov\u00e1d\u011blo, byla by jeho aktu\u00e1ln\u00ed cena p\u0159epo\u010d\u00edt\u00e1na p\u0159i dod\u00e1n\u00ed na m\u016fj obchodn\u00ed \u00fa\u010det pomoc\u00ed Conversion Factor<\/strong>\u00a0ve v\u00fd\u0161i 0,8671 (3)<\/span><\/strong>. Mohu si nyn\u00ed tento CTD dluhopis zobrazit v m\u00e9 obchodn\u00ed platform\u011b, abych jej mohl porovnat s dluhopisy z m\u00e9ho portfolia:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee spread v\u00fdnosu<\/strong> mezi mnou nakoupen\u00fdmi dluhopisy ADM<\/strong> s\u00a0v\u00fdnosem 4,510%<\/strong> a Cheapest To Deliver<\/strong> vl\u00e1dn\u00edm dluhopisem s v\u00fdnosem ve v\u00fd\u0161i 3,781%<\/strong> \u010din\u00ed (4,510 – 3,781) rozd\u00edl 72,9 bazick\u00fdch bod\u016f<\/strong> (0,729%). Ve smyslu p\u0159edpoklad\u016f popsan\u00fdch v\u00fd\u0161e budu vych\u00e1zet z p\u0159esv\u011bd\u010den\u00ed, \u017ee se hodnota tohoto spreadu nebude po dobu zaji\u0161t\u011bn\u00ed v\u00fdrazn\u011b m\u011bnit.<\/span><\/p>\n

\u00a0\u00a0 Mohu tak nyn\u00ed p\u0159ikro\u010dit k samotn\u00e9 zaji\u0161\u0165ovac\u00ed \u00favaze. Budu se nyn\u00ed sna\u017eit ochr\u00e1nit m\u00e9 portfolio dluhopis\u016f ADM proti poklesu jeho hodnoty, a to konkr\u00e9tn\u011b p\u0159i aktu\u00e1ln\u00edm v\u00fdnosu 4,510% z obr\u00e1zku v\u00fd\u0161e nebudu cht\u00edt, aby tento v\u00fdnos vzrostl nad 5%<\/strong> (d\u00edky p\u0159\u00edpadn\u00e9mu r\u016fstu tr\u017en\u00edch \u00farokov\u00fdch sazeb). Pokud by toti\u017e v\u00fdnos na tomto dluhopisu narostl do t\u00e9to v\u00fd\u0161e, \u010dinila by jeho cena pouze 1.029,23 USD a dluhopis by ze sou\u010dasn\u00e9 ceny 1067,79 USD ztratil -3,61%, tedy v\u00edce ne\u017e deset tis\u00edc dolar\u016f by ztratilo m\u00e9 dluhopisov\u00e9 portfolio jenom na slo\u017ece ADM. Pro tento v\u00fdpo\u010det je mo\u017en\u00e9 vyu\u017e\u00edt analytick\u00fd Excel<\/strong>, kter\u00fd je ke sta\u017een\u00ed v Diskusn\u00edm f\u00f3ru k tomuto \u010dl\u00e1nku<\/a><\/strong><\/span> (nutno povolit makra):<\/span><\/p>\n

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\u00a0\u00a0 Po zad\u00e1n\u00ed \u00fadaj\u016f<\/strong> o zaji\u0161\u0165ovan\u00e9m dluhopisu (1)<\/strong><\/span> do mod\u0159e podbarven\u00fdch bun\u011bk mohu zjistit aktu\u00e1ln\u00ed v\u00fdnos do splatnosti<\/strong> ve v\u00fd\u0161i 4,525% (2)<\/span><\/strong>. Po zad\u00e1n\u00ed po\u017eadovan\u00e9 \u00farovn\u011b zaji\u0161\u0165ov\u00e1n\u00ed na \u00farovni 5,00%<\/strong> mohu po stisknut\u00ed zelen\u00e9ho tla\u010d\u00edtka \u201eYield To Maturity\u201c zjistit, \u017ee tomuto v\u00fdnosu odpov\u00edd\u00e1 cena dluhopisu<\/strong> ADM ve v\u00fd\u0161i 1029,23 USD (3)<\/span><\/strong>. Pokud je spread v\u00fdnos\u016f zji\u0161t\u011bn\u00fd mezi dluhopisy AMD a CTD vl\u00e1dn\u00edm dluhopisem ve v\u00fd\u0161i 72,9 bazick\u00fdch bod\u016f (0,729%) bude m\u011b nyn\u00ed zaj\u00edmat, jak\u00e1 by byla cena tohoto CTD dluhopisu nikoliv p\u0159i jeho v\u00fdnosu, kter\u00fd vid\u00edm nyn\u00ed ve sv\u00e9 platform\u011b, ale p\u0159i v\u00fdnosu po\u017eadovan\u00e9ho pro zaji\u0161t\u011bn\u00ed dluhopisu ADM (5,00%) sn\u00ed\u017een\u00e9ho pr\u00e1v\u011b o tento spread (5,00% – 0,729%), tedy jak\u00e1 je cena<\/strong> pro CTD dluhopis<\/strong> s v\u00fdnosem ve v\u00fd\u0161i 4,271%<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 Op\u011bt, pokud zad\u00e1m do analytick\u00e9ho excelu aktu\u00e1ln\u00ed data o CTD<\/strong> americk\u00e9ho vl\u00e1dn\u00edho dluhopisu (1)<\/strong><\/span>, mohu vypo\u010d\u00edtat nejen aktu\u00e1ln\u00ed v\u00fdnos (2)<\/span><\/strong> p\u0159i aktu\u00e1ln\u011b nab\u00edzen\u00e9 cen\u011b tohoto dluhopisu, ale mohu tak\u00e9 modelovat<\/strong> cenu dluhopisu pro jak\u00fdkoliv jin\u00fd v\u00fdnos, v\u00a0m\u00e9m p\u0159\u00edpad\u011b zji\u0161\u0165uji, \u017ee pro v\u00fdnos ve v\u00fd\u0161i hledan\u00e9 sazby 4,271%<\/strong> by cena toho CTD dluhopisu m\u011bla b\u00fdt 950,96 USD (3)<\/span><\/strong>. \u00a0<\/span><\/p>\n

\u00a0 \u00a0Z \u010dl\u00e1nku Dluhopisy \u2013 XIV.<\/a><\/strong><\/span>, ve kter\u00e9m jsem popisoval z\u00e1kladn\u00ed vlastnosti Treasury futures, vypl\u00fdv\u00e1, \u017ee cena Treasury futures<\/strong> odpov\u00edd\u00e1 cen\u011b Cheapest To Deliver (CTD) dluhopisu<\/strong> upraven\u00e9 o Conversion Factor<\/strong>. Pro mnou vybran\u00e9 futures s\u00a0expirac\u00ed v\u00a0\u010dervnu 2026 (jeho op\u010dn\u00ed kontrakty budu pou\u017e\u00edvat) nebudu ale nyn\u00ed hledat jeho aktu\u00e1ln\u00ed cenu, ale bude m\u011b zaj\u00edmat, jak\u00e1 by m\u011bla b\u00fdt jeho cena pro cenu CTD vl\u00e1dn\u00edho dluhopisu ve v\u00fd\u0161i 950,96 USD, tedy pro cenu, kter\u00e1 je pro m\u011b cenovou hranic\u00ed, kterou chci zajistit a kterou bude respektovat (d\u00edky nem\u011bnn\u00e9mu spreadu), tak\u00e9 dluhopis ADM z\u00a0m\u00e9ho portfolia. Zji\u0161t\u011bn\u00fd Conversion Factor (0,8671) a nalezen\u00e1 cena CTD vl\u00e1dn\u00edho dluhopisu ve v\u00fd\u0161i 950,96 USD mi generuj\u00ed (950,96 USD\/0,8671) cenu Treasury futures<\/strong> ve v\u00fd\u0161i 1.096,71 USD<\/strong>. Na t\u00e9to \u00farovni ceny \u010dervnov\u00e9ho Treasury futures by m\u011bla b\u00fdt um\u00edst\u011bna ochrana sestaven\u00e1 s\u00a0Long Put op\u010dn\u00edch kontrakt\u016f, pokles ceny tohoto \u010dervnov\u00e9ho futures k\u00a0t\u00e9to hladin\u011b by m\u011bla vyjad\u0159ovat \u201epovolenou\u201c m\u00edru poklesu ceny dluhopis\u016f ADM, pokles od t\u00e9to hladiny \u010dervnov\u00e9ho Treasury futures by pak ji\u017e m\u011bla b\u00fdt zaji\u0161t\u011bna nakoupen\u00fdmi Long Put kontrakty. Na obr\u00e1zku n\u00ed\u017ee je pak zobrazen p\u0159\u00edslu\u0161n\u00fd op\u010dn\u00ed \u0159et\u011bzec:<\/span><\/p>\n

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\u00a0\u00a0 Pro \u010dervnov\u00e9 Treasury futures aktu\u00e1ln\u011b na hodnot\u011b cca 113 jsou zobrazeny op\u010dn\u00ed kontrakty s expirac\u00ed v kv\u011btnu 2026, vypo\u010d\u00edtan\u00e9 cen\u011b 1.096,71 pak nejbl\u00ed\u017ee odpov\u00edd\u00e1 strike 1100 (v obr\u00e1zku 110), tento by byl z pohledu v\u00fdpo\u010dtu nejv\u00edce vhodn\u00fd<\/strong> pro nakoupen\u00ed ochrann\u00fdch Long Put<\/strong>. Zb\u00fdv\u00e1 posledn\u00ed \u00fakol, a to stanovit po\u010det Long Put 110 kontrakt\u016f<\/strong>, kter\u00e9 by zaji\u0161\u0165ovaly dluhopisovou pozici na ADM. K\u00a0v\u00fdpo\u010dtu \u201espr\u00e1vn\u00e9 d\u00e1vky\u201c t\u011bchto zaji\u0161\u0165ovac\u00edch opc\u00ed vyu\u017eiji ukazatel DV01<\/strong>, kter\u00fd mi ukazuje, jak se zm\u011bn\u00ed cena dluhopisu, pokud se zm\u011bn\u00ed \u00farokov\u00e9 sazby o jeden bazick\u00fd bod. Tuto situaci si v\u00a0platform\u011b TWS mohu nasimulovat v\u00a0RiskNavigatoru volbou \u201eNew WhatIf\u201c<\/span><\/p>\n

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\u00a0\u00a0 Okno RiskNavigatoru m\u016f\u017eete spustit z hlavn\u00ed li\u0161ty n\u00e1stroj\u016f platformy TWS, po iniciaci okna aplikace m\u016f\u017eete p\u0159id\u00e1vat nebo ub\u00edrat jak\u00e9koliv pozice k dal\u0161\u00ed simulaci.<\/span><\/p>\n

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\u00a0\u00a0 Do zelen\u00e9ho \u0159\u00e1dku s\u00a0ozna\u010den\u00edm \u201eNew\u201c (1)<\/span><\/strong> mohu vepsat CUSIP jak\u00e9hokoliv dluhopisu, v m\u00e9m p\u0159\u00edpad\u011b chci zjistit DV01 CTD americk\u00e9ho vl\u00e1dn\u00edho dluhopisu s CUSIP 91282CGM7, kter\u00fd budu cht\u00edt zobrazit se stejn\u00fdm Face Value, jako je hed\u017eovan\u00e1 pozice dluhopisu ADM, tedy 300.000 USD<\/strong> (2)<\/strong><\/span>. Po p\u0159id\u00e1n\u00ed pozoruji, \u017ee DV01 t\u00e9to pozice na CTD<\/strong> je 189,7044 USD (3)<\/span><\/strong>, tedy pokud by se \u00farokov\u00e9 sazby pohnuly o jeden bazick\u00fd bod, CTD dluhopisy ztrat\u00ed\/p\u0159idaj\u00ed +\/-189 USD. Stejn\u00e1 hodnota DV01 u dluhopis\u016f ADM (4)<\/span><\/strong> mi pak zobrazuje DV01<\/strong> ve v\u00fd\u0161i 249,3306 USD (5)<\/span><\/strong>. Mohu tak konstatovat, \u017ee zm\u011bna \u00farokov\u00fdch sazeb se bude v\u00edce projevovat na pozici ADM ne\u017e bych p\u0159\u00edpadn\u011b dr\u017eel pozici na CTD americk\u00fdch vl\u00e1dn\u00edch dluhopisech, pom\u011brem 249\/189 = 1,31<\/strong> pak vyj\u00e1d\u0159\u00edm pom\u011br Long Put op\u010dn\u00edch kontrakt\u016f pot\u0159ebn\u00fdch pro pl\u00e1novan\u00e9 zaji\u0161t\u011bn\u00ed p\u0159i po\u0159\u00edzen\u00ed dluhopis\u016f ADM s Face Value 100.000 USD. \u00a0Pro investici ve v\u00fd\u0161i 300.000,- USD bych tak pot\u0159eboval (1,31*3) celkem 3,93 Long Put<\/strong> op\u010dn\u00edch kontrakt\u016f, aby pokryla takto odli\u0161n\u00e9 cenov\u00e9 chov\u00e1n\u00ed p\u0159i pohybu tr\u017en\u00edch \u00farokov\u00fdch sazeb. P\u0159i pohledu do op\u010dn\u00edho \u0159et\u011bzce v obr\u00e1zku v\u00fd\u0161e v textu se zobrazen\u00fdm Long Put strike 110 mohu zjistit, \u017ee 4*Long Put 110<\/strong> by se dala po\u0159\u00eddit za cenu (4*484,375 USD) ve v\u00fd\u0161i -1.937,50 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 V portfoliu nem\u00e1m ale pouze zainvestov\u00e1no do dluhopis\u016f ADM, ale po\u0159\u00eddil jsem tak\u00e9 dluhopisy spole\u010dnost\u00ed s tickery TGT a M. Proto\u017ee u\u017e zn\u00e1m v\u0161echny parametry CTD dluhopisu, kter\u00fd charakterizuje Treasury futures, jeho\u017e op\u010dn\u00edmi kontrakty budu cht\u00edt zajistit tak\u00e9 tyto korpor\u00e1tn\u00ed dluhopisy v m\u00e9m portfoliu, mus\u00edm podstoupit tento v\u00fdpo\u010det tak\u00e9 pro tyto dva tituly. Jedn\u00e1 se o mechanick\u00e9 opakov\u00e1n\u00ed p\u0159\u00edstupu jako pro dluhopisy ADM, nebudu zde ji\u017e nyn\u00ed tento postu popisovat. V\u00fdsledkem pak bude pro po\u017eadovan\u00e9 zaji\u0161t\u011bn\u00ed (m\u016f\u017ee m\u00edt jin\u00e9 parametry cenov\u00e9ho pohybu) op\u011bt n\u011bjak\u00fdm po\u010dtem zaji\u0161\u0165ovac\u00edch Long Put, kter\u00fdmi mohu ka\u017edou jednotlivou slo\u017eku dluhopisov\u00e9ho portfolia zajistit.<\/span><\/p>\n

\u00a0ADM \u2013 Short Call \u00a0<\/strong><\/span><\/h2>\n

\u00a0\u00a0\u00a0Popisovan\u00e9 zaji\u0161t\u011bn\u00ed pomoc\u00ed Treasury futures Long Put opcemi nen\u00ed zadarmo a p\u0159edstavuje n\u00e1klad, kter\u00fd m\u016f\u017ee v\u00fdrazn\u011b zhor\u0161it v\u00fdnosnost dluhopisov\u00e9ho portfolia. V\u00fddaj ve v\u00fd\u0161i-1.937,50 USD na 4*Long Put 110 sice poskytuje po\u017eadovanou p\u016flro\u010dn\u00ed ochranu proti propadu ceny zaji\u0161\u0165ovan\u00fdch dluhopis\u016f ADM, nicm\u00e9n\u011b jeho cena je zna\u010dn\u00e1. Mohu se pak zab\u00fdvat ot\u00e1zkou, stejn\u011b jako v p\u0159\u00edpad\u011b zaji\u0161t\u011bn\u00ed Treasury futures v prvn\u00ed \u010d\u00e1sti \u010dl\u00e1nku, zda by nebylo dobr\u00e9 v\u00fddaje na zaji\u0161t\u011bn\u00ed n\u011bjak\u00fdm vhodn\u00fdm zp\u016fsobem sn\u00ed\u017eit, nap\u0159\u00edklad v\u00fdm\u011bnou za omezen\u00ed potenci\u00e1lu v\u00fdnosu vypl\u00fdvaj\u00edc\u00edho z mo\u017en\u00e9ho r\u016fstu ceny zaji\u0161t\u011bn\u00fdch dluhopis\u016f. Stejn\u011b jako v p\u0159\u00edpad\u011b s obchodem v prvn\u00ed \u010d\u00e1sti \u010dl\u00e1nku se tak budu sna\u017eit vypisovat OTM Short Call opce se stejnou expirac\u00ed, jako je expirace m\u00e9ho zaji\u0161t\u011bn\u00ed, abych p\u0159\u00edjmem Pr\u00e9mia pokryl co nejv\u011bt\u0161\u00ed \u010d\u00e1st n\u00e1klad\u016f na n\u00e1kup zaji\u0161\u0165ovac\u00edch Long Put.<\/span><\/p>\n

\u00a0\u00a0 Pl\u00e1novan\u00e9 zaji\u0161t\u011bn\u00ed pomoc\u00ed \u010dty\u0159 Long Put na strike 110 s expirac\u00ed v kv\u011btnu 2026 m\u00e1m nyn\u00ed v \u00famyslu po\u0159\u00eddit dokonce zadarmo. Pokus\u00edm se tak nyn\u00ed postupy podle odstavc\u016f v\u00fd\u0161e aplikovat opa\u010dn\u00fdm zp\u016fsobem a zjistit, co bude takov\u00fd p\u0159\u00edstup p\u0159edstavovat. Aktu\u00e1ln\u00edm pohledem na op\u010dn\u00ed \u0159et\u011bzec op\u010dn\u00edch kontrakt\u016f expiruj\u00edc\u00edch v kv\u011btnu 2026 mohu vypozorovat n\u00ed\u017ee uveden\u00e9 cenov\u00e9 rozlo\u017een\u00ed op\u010dn\u00edch kontrakt\u016f na jednotliv\u00fdch strike:<\/span><\/p>\n

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\u00a0\u00a0 Pokud bych nyn\u00ed investoval do 4*Long Put 110<\/strong>, musel bych vynalo\u017eit nejh\u016f\u0159e Ask cenu 484,375 USD za ka\u017edou z nich, celkov\u011b bych vydal -1.937,50 USD<\/strong>. T\u00edm bych zajistil ochranu proti mo\u017en\u00e9mu zv\u00fd\u0161en\u00ed tr\u017en\u00edch \u00farokov\u00fdch sazeb podle m\u00fdch p\u0159edstav. Mohu pak vypsat stejn\u00fd po\u010det Short Call op\u010dn\u00edch kontrakt\u016f, kter\u00e9 by mi vr\u00e1tily celou investici do zaji\u0161t\u011bn\u00ed<\/strong> a toto by se mi mohlo st\u00e1t, pokud bych zvolil OTM Short Call 116.50<\/strong>, kter\u00e9 mohu aktu\u00e1ln\u011b vypsat za 500,00 USD<\/strong>, p\u0159i \u010dty\u0159ech vypsan\u00fdch kontraktech bych utr\u017eil +2.000,00 USD<\/strong> a m\u00e1 investice do zaji\u0161t\u011bn\u00ed pomoc\u00ed Long Put by byla nejenom kompenzov\u00e1na, ale dokonce bych utr\u017eil (+2.000,00 USD \u2013 1.937,50 USD) m\u00edrn\u00fd kredit<\/strong> ve v\u00fd\u0161i +62,50 USD<\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 Co by v\u00fdpis Short Call na strike 1116.50 vlastn\u011b znamenal? Ve sv\u011btle p\u0159edch\u00e1zej\u00edc\u00ed v\u00fdpo\u010dt\u016f bych tak stanovil cenu \u010dervnov\u00e9ho Treasury futures na cenu 1165 bod\u016f jako pr\u00e1h pro p\u0159\u00edpadn\u00fd pokles \u00farokov\u00fdch tr\u017en\u00edch sazeb, od kter\u00e9ho mohu odvozovat na cenu Cheap to Delivery podkladov\u00e9ho dluhopisu pomoc\u00ed poznan\u00e9ho Conversion Factor na hladin\u011b 0,8671. Pokud je cena Treasury futures tvo\u0159ena hodnotou CTD dluhopisu vyd\u011blenou Conversion Factor, potom (je to jednoduch\u00e1 troj\u010dlenka) je cena CTD dluhopisu<\/strong> p\u0159i poznan\u00e9 hodnot\u011b Treasury futures<\/strong> na budouc\u00ed \u00farovni 116.50 bod\u016f k vypo\u010dten\u00ed (1165*0,8671) s hodnotou 1010,172 USD<\/strong>. Mohu pak hledat pomoc\u00ed analytick\u00e9ho Excelu v\u00fdnos, jak\u00fd by p\u0159edstavovala pr\u00e1v\u011b tato cena:<\/span><\/p>\n

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\u00a0 Pokud bych cht\u011bl po\u0159\u00eddit monitorovan\u00fd CTD americk\u00fd vl\u00e1dn\u00ed dluhopis<\/strong> s cenou p\u0159ibli\u017en\u011b hledan\u00fdch 1010,00 USD<\/strong>, p\u0159edstavoval by tento n\u00e1kup v\u00fdnos do splatnosti<\/strong> ve v\u00fd\u0161i 3.34 %<\/strong>, hodnota v\u00fdnosu tohoto dluhopisu by pak musela z nyn\u011bj\u0161\u00ed \u00farovn\u011b 3,772% klesnout o -0,432%, co\u017e je celkem vydatn\u00fd pokles. Proto\u017ee se spol\u00e9h\u00e1m, \u017ee spread mezi v\u00fdnosy dluhopisu ADM a CTD dluhopisu bude konstantn\u00ed +0,729%, p\u0159edstavovalo by to pokles v\u00fdnosu dluhopisu ADM<\/strong> na \u00farove\u0148 (3,34% + 0,729%) ve v\u00fd\u0161i 4,069%<\/strong> a mohl pak stejn\u00fdm zp\u016fsobem vyhledat cenu dluhopisu ADM, kter\u00e1 by odpov\u00eddala tomuto v\u00fdnosu ve sv\u00e9m analytick\u00e9m Excelu:<\/span><\/p>\n

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\u00a0\u00a0 Z obr\u00e1zku vypl\u00fdv\u00e1, \u017ee pokles v\u00fdnosu dluhopisu ADM na \u00farove\u0148 4,069% by znamenal r\u016fst jeho ceny<\/strong> z\u00a0aktu\u00e1ln\u00ed hodnoty 1067,79 USD na \u00farove\u0148 1106,42 USD, <\/strong>toto p\u0159edstavuje n\u00e1r\u016fst ceny tohoto dluhopisu o v\u00edce ne\u017e 3,6%<\/strong>. Tuto hranici r\u016fstu<\/strong> by pak p\u0159edstavoval strike<\/strong> m\u00fdch vypsan\u00fdch Short Call 116.50<\/strong>\u00a0opc\u00ed a cenu \u010dervnov\u00e9ho Treasury futures p\u0159i expiraci op\u010dn\u00edch kontrakt\u016f v kv\u011btnu p\u0159\u00ed\u0161t\u00edho roku. Pokud by cena ADM dluhopis\u016f nezaznamenala takov\u00fd cenov\u00fd pohyb, vypr\u0161ely by vypsan\u00e9 Short Call opce jako bezcenn\u00e9, pokud by cena p\u0159ece je nar\u016fstala nad tuto hranici, dal\u0161\u00ed r\u016fst ceny dluhopis\u016f ADM nad tuto hranici by byl kompenzov\u00e1n ztr\u00e1tou na vypsan\u00fdch Short Call 116.50 opc\u00edch.<\/span><\/p>\n

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\u00a0\u00a0 Stejn\u011b jako v\u00a0popisovan\u00e9 pozici Collar s\u00a0Treasury futures v\u00a0prvn\u00ed \u010d\u00e1sti \u010dl\u00e1nku jsem vytvo\u0159il obdobnou pozici Collar s\u00a0dluhopisy ADM, pouze jsem pou\u017eil op\u010dn\u00ed kontrakty, kter\u00e9 maj\u00ed odli\u0161n\u00e9 podkladov\u00e9 aktivum, a to z\u00a0jednoduch\u00e9ho d\u016fvodu – podkladov\u00e9 dluhopisy ADM \u017e\u00e1dn\u00fdmi op\u010dn\u00edmi kontrakty nedisponuj\u00ed. Je pak jasn\u00e9, \u017ee podobnou pozici \u2013 nakoupen\u00e9 Long Put opce a v\u00fdpis Short Call opc\u00ed mohu aplikovat na zbylou \u010d\u00e1st dluhopisov\u00e9ho portfolia \u2013 dluhopisy spole\u010dnost\u00ed s\u00a0tickery TGT a M. Mohu tak pro sv\u00e9 portfolio vytvo\u0159it p\u0159im\u011b\u0159enou ochranu proti propadu jeho ceny v\u00a0p\u0159\u00edpad\u011b r\u016fstu tr\u017en\u00edch \u00farokov\u00fdch sazeb a p\u0159\u00edpadn\u011b ponechat dluhopisov\u00e9mu portfoliu p\u0159im\u011b\u0159en\u00fd r\u016fst jeho hodnoty v\u00a0p\u0159\u00edpad\u011b poklesu tr\u017en\u00edch \u00farokov\u00fdch sazeb.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Praktick\u00e9 vyu\u017eit\u00ed op\u010dn\u00edch kontrakt\u016f na Treasury futures tedy mohu aplikovat nejr\u016fzn\u011bj\u0161\u00edmi zp\u016fsoby p\u0159i nakl\u00e1d\u00e1n\u00ed p\u0159\u00edmo s jej\u00edmi podkladov\u00fdmi futures, pomoc\u00ed kter\u00fdch mohu spekulovat na budouc\u00ed v\u00fdvoj tr\u017en\u00edch \u00farokov\u00fdch sazeb. Mohu ale vyu\u017e\u00edt na\u010derpan\u00fdch poznatk\u016f o vlastnostech Treasury futures, zp\u016fsobech jejich ocen\u011bn\u00ed a vypo\u0159\u00e1d\u00e1n\u00ed a vlastnostech op\u010dn\u00edch kontrakt\u016f na nich nav\u00e1zan\u00fdch a poskytnou tak ur\u010ditou m\u00edru ochrany dluhopisov\u00e9ho portfolia sestaven\u00e9ho z jak\u00fdchkoliv dluhopis\u016f. V \u010dl\u00e1nku jsem pou\u017eil op\u010dn\u00ed kontrakty na t\u0159icetilet\u00e9 a desetilet\u00e9 Treasury futures, mohu ale samoz\u0159ejm\u011b hledat p\u0159im\u011b\u0159en\u00e9 souvislosti tak\u00e9 u Treasury futures sleduj\u00edc\u00ed dluhopisy s krat\u0161\u00ed dobou do splatnosti a na n\u011b nav\u00e1zan\u00e9 op\u010dn\u00ed kontrakty v souvislosti s dobou do splatnosti dluhopis\u016f, kter\u00e9 do sv\u00e9ho portfolia po\u0159izuji, popsan\u00e9 principy pak plat\u00ed obdobn\u011b.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do\u00a0tohoto vl\u00e1kna<\/a><\/strong><\/span> :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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. Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7667,"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_feature_clip_id":0,"_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-7650","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-dluhopisy","tag-dluhopisy"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1Zo","jetpack-related-posts":[{"id":7416,"url":"https:\/\/dobretrejdy.com\/?p=7416","url_meta":{"origin":7650,"position":0},"title":"Dluhopisy \u2013 XXII.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"2.1.2025","format":false,"excerpt":"\u00a0\u00a0 Trvale vysok\u00e1 likvidita na americk\u00fdch vl\u00e1dn\u00edch dluhopisech s nejr\u016fzn\u011bj\u0161\u00edmi splatnostmi vytvo\u0159ila p\u0159\u00edle\u017eitost vytvo\u0159it na n\u011b nav\u00e1zan\u00e9 deriv\u00e1ty \u2013 dluhopisov\u00e9 futures kontrakty. V minul\u00fdch \u010dl\u00e1nc\u00edch tak byly pops\u00e1ny \u201evelk\u00e9\u201c dluhopisov\u00e9 Treasury futures a n\u00e1sledn\u011b jejich desetinov\u00e9 klony - Treasury Micro futures. Oba tyto futures kontrakty replikuj\u00ed zm\u011bnu ceny podkladov\u00fdch aktiv\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7474,"url":"https:\/\/dobretrejdy.com\/?p=7474","url_meta":{"origin":7650,"position":1},"title":"Dluhopisy \u2013 XXIII.","author":"dobretrejdy :c)","date":"2.2.2025","format":false,"excerpt":"\u00a0 V minul\u00e9m \u010dl\u00e1nku Dluhopisy \u2013 XXII. jsem nakousnul t\u00e9ma op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na dluhopisov\u00e1 podkladov\u00e1 aktiva. Po prvotn\u00edm prozkoum\u00e1n\u00ed ter\u00e9nu jsem konstatoval, \u017ee dluhopisov\u00e9 opce nejsou v tomto smyslu op\u010dn\u00ed kontrakty listovan\u00e9 na jednotliv\u00e9 dluhopisov\u00e9 emise nap\u0159\u00edklad vl\u00e1dn\u00edch nebo korpor\u00e1tn\u00edch dluhopis\u016f, ale \u017ee burzovn\u011b obchodovan\u00e9 opce p\u0159edstavuj\u00ed op\u010dn\u00ed kontrakty,\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\/02\/SR1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":7650,"position":2},"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":7650,"position":3},"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":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7650,"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. Napodobit dr\u017een\u00ed dluhopis\u016f (v tomto \u010dl\u00e1nku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f), ani\u017e bych se jich jen dotknul, mi pom\u016f\u017ee existence tzv. \u201eTreasury Futures\u201c kontrakt\u016f. Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":7650,"position":5},"title":"Dluhopisy \u2013 XVII.","author":"dobretrejdy :c)","date":"21.3.2024","format":false,"excerpt":"\u00a0\u00a0 Pocit \u00fanavy ze slo\u017eitosti p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku s popisem derivac\u00ed cenov\u00e9 funkce kup\u00f3nov\u00e9ho dluhopisu a mo\u017en\u00e9 frustrace z nemo\u017enosti aplikovat zji\u0161t\u011bnou dolarovou hodnotu jednoho bazick\u00e9ho bodu na stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio s hed\u017eov\u00e1n\u00edm pomoc\u00ed stotis\u00edcov\u00e9ho dluhopisov\u00e9ho futures, proto\u017ee t\u011bchto sto tis\u00edc dolar\u016f prost\u011b nem\u00e1m, by mohly vykompenzovat n\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku, kter\u00e9\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=525%2C300 1.5x"},"classes":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/main.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7650","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=7650"}],"version-history":[{"count":17,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7650\/revisions"}],"predecessor-version":[{"id":7704,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7650\/revisions\/7704"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7667"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7650"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7650"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7650"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}