{"id":783,"date":"2017-09-17T23:43:54","date_gmt":"2017-09-17T21:43:54","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=783"},"modified":"2022-08-14T14:08:24","modified_gmt":"2022-08-14T12:08:24","slug":"earnings-vi","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=783","title":{"rendered":"Earnings – VI."},"content":{"rendered":"

\u00a0 Zlat\u00e1 fyzika. Pokud pojedu z\u00a0Prahy do Brna a v\u00edm, \u017ee je to 200 km, tak pokud pojedu stovkou, budu tam za dv\u011b hodiny. K\u00a0tomu sta\u010d\u00ed pr\u016fm\u011brn\u00e9mu fyzikovi jednoduch\u00fd vzorec o vztahu rychlosti a vzd\u00e1lenosti mezi dv\u011bma pevn\u00fdmi body trasy. Pokud bych si, jako fyzik, takovou cestovatelskou ud\u00e1lost cht\u011bl modelovat, tak bych zjistil, \u017ee v\u00a0zim\u011b tam budu pozd\u011bji ne\u017e v\u00a0l\u00e9t\u011b, o v\u00edkendu to patrn\u011b zvl\u00e1dnu d\u0159\u00edve a v\u00a0noci d\u00edky men\u0161\u00ed hustot\u011b dopravy pojedu mo\u017en\u00e1 rychleji ne\u017e ve dne. Pokud bych zapo\u010d\u00edtal dopravn\u00ed omezen\u00ed, kolony a dopravn\u00ed nehody, dosp\u011bl bych p\u0159i velk\u00e9m po\u010dtu absolvovan\u00fdch j\u00edzd v\u00a0pr\u016fm\u011bru v\u017edy p\u0159ibli\u017en\u011b ke stejn\u00fdm hodnot\u00e1m \u010dasu v\u011bnovan\u00e9ho takov\u00e9 j\u00edzd\u011b. Pokud bych si cht\u011bl modelovat n\u011bjak\u00e9 ud\u00e1losti na finan\u010dn\u00edch trz\u00edch, tak mohu vych\u00e1zet pouze z toho, \u017ee v\u00edm, \u017ee jsem v\u00a0Praze, m\u00e1m v\u00a0rukou n\u00e1stroj, kter\u00fd se m\u016f\u017ee pohybovat n\u011bjakou rychlost\u00ed, ale\u2026nev\u00edm, kde je Brno. Za\u010d\u00ednaj\u00edc\u00ed op\u010dn\u00ed trader tak p\u0159i sv\u00e9m modelov\u00e1n\u00ed m\u016f\u017ee nap\u0159\u00edklad vych\u00e1zet z\u00a0p\u0159edpokladu, \u017ee se Brno nach\u00e1z\u00ed v\u00a0Severn\u00edm Por\u00fdn\u00ed. Trouf\u00e1m si tvrdit, \u017ee pozn\u00e1n\u00ed principu chov\u00e1n\u00ed Implied Volatility lze p\u0159irovnat ke zji\u0161t\u011bn\u00ed, \u017ee Brno je na Morav\u011b. Pokud tedy vraz\u00edm sm\u011br Morava, tak m\u00e1m v\u011bt\u0161\u00ed pravd\u011bpodobnost, \u017ee mo\u017en\u00e1 dojedu do Brna, ne\u017e kdybych si to z\u00a0Prahy nam\u00ed\u0159il do Chebu. Pravdou ale tak\u00e9 je, \u017ee pokud vyraz\u00edm na Moravu, nemus\u00edm v\u017edy nutn\u011b skon\u010dit v\u00a0Brn\u011b. Pokud mi p\u0159i m\u00e9m v\u00fdletu do Brna dojde benz\u00edn, tak mi ale bude pravd\u011bpodobn\u011b milej\u0161\u00ed, kdy\u017e se tak stane ve Velk\u00e9m Mezi\u0159\u00ed\u010d\u00ed ne\u017e na p\u0159edm\u011bst\u00ed Dortmundu.<\/span><\/p>\n

\u00a0\u00a0 Pozn\u00e1n\u00edm chvilek, kdy se Implied Volatilita bude n\u011bjak\u00fdm zp\u016fsobem chovat, je pro op\u010dn\u00edho obchodn\u00edka momentem, kter\u00fd bych ve smyslu v\u00fd\u0161e uveden\u00e9ho p\u0159\u00edkladu p\u0159irovnal k\u00a0obdr\u017een\u00ed automapy \u010cesk\u00e9 republiky. Je pak na \u0159idi\u010di, jak s\u00a0mapou nalo\u017e\u00ed.<\/span><\/p>\n

\u00a0 V\u00a0minul\u00e9m dvoj\u010dl\u00e1nku Earnings \u2013 V.<\/strong><\/a><\/span> jsem popisoval n\u011bkter\u00e9 mo\u017en\u00e9 strategie, kter\u00e9 \u010derpaly z\u00a0pozn\u00e1n\u00ed n\u00e1r\u016fst\u016f Implied Volatility p\u0159ed Earnings<\/strong> a jak je mo\u017en\u00e9 z\u00a0t\u011bchto n\u00e1r\u016fst\u016f Implied Volatility tak\u00e9 zkusit profitovat, a to tak, abych v\u017edy m\u011bl pod kontrolou velikost p\u0159\u00edpadn\u00e9 ztr\u00e1ty. V\u0161e se t\u00fdkalo opc\u00ed, kter\u00e9 expirovaly nejbl\u00ed\u017ee po Earnings, proto\u017ee na t\u011bchto \u201enejbli\u017e\u0161\u00edch\u201c opc\u00edch je n\u00e1r\u016fst Implied Volatility nejv\u011bt\u0161\u00ed a nejdynami\u010dt\u011bj\u0161\u00ed. To bylo zaj\u00edmav\u00e9 pozn\u00e1n\u00ed, kter\u00e9 bych cht\u011bl d\u00e1le roz\u0161\u00ed\u0159it.<\/span><\/p>\n

\u00a0 \u00a0V\u00a0obdob\u00ed norm\u00e1ln\u00edho chov\u00e1n\u00ed obchodovan\u00e9ho titulu, bez zvl\u00e1\u0161tn\u00edch turbulenci na trhu a zejm\u00e9na p\u0159i absenci budouc\u00ed z\u00e1sadn\u011bj\u0161\u00ed fundament\u00e1ln\u00ed zpr\u00e1vy, m\u00e1 Implied Volatilita<\/strong> svou p\u0159irozenou \u201eterm structure<\/strong>\u201c, tedy vlastnosti jej\u00edch hodnot v\u00a0z\u00e1vislosti na \u010dase do expirace. Pokud se v\u0161ak p\u0159ibl\u00ed\u017e\u00ed nebo znenad\u00e1n\u00ed vyskytne hroz\u00edc\u00ed nebezpe\u010dn\u00ed na trz\u00edch nap\u0159\u00edklad poznanou a o\u010dek\u00e1vanou fundament\u00e1ln\u00ed ud\u00e1lost\u00ed, tak se \u010dasov\u00e1 struktura Implied Volatility poru\u0161\u00ed a za\u010dne vykazovat odli\u0161nosti od norm\u00e1lu. Na obr\u00e1zku n\u00ed\u017ee je vid\u011bt v\u00a0lev\u00e9 \u010d\u00e1sti hodnoty Implied Volatility na ATM opc\u00edch v\u00a0obdob\u00ed t\u011bsn\u011b p\u0159ed vyhl\u00e1\u0161en\u00edm Earnings a na prav\u00e9 stran\u011b lze pozorovat hodnoty takov\u00e9 Implied Volatility v\u00a0dob\u011b klidu na trz\u00edch<\/span><\/p>\n

\"\"<\/span>\u00a0\u00a0 Implied Volatilita<\/strong> v\u00a0lev\u00e9 \u010d\u00e1sti obr\u00e1zku kles\u00e1 v\u00a0z\u00e1vislosti na vzd\u00e1lenosti k\u00a0expiraci<\/strong>. \u010c\u00edm jsou opce vzd\u00e1len\u011bj\u0161\u00ed, t\u00edm, se Implied Volatilita sni\u017euje. Situace na prav\u00e9 stran\u011b obr\u00e1zku je p\u0159esn\u011b opa\u010dn\u00e1. V\u00a0dob\u011b klidu<\/strong> se hodnoty Implied Volatility zvy\u0161uj\u00ed<\/strong> tak, jak jsou opce vzd\u00e1len\u011bj\u0161\u00ed k\u00a0expiraci<\/strong>. \u010c\u00edm je expirace d\u00e1l, t\u00edm je Implied Volatilita vy\u0161\u0161\u00ed. Je to logick\u00e9. Dopad fundament\u00e1ln\u00ed zpr\u00e1vy bude m\u00edt nejv\u011bt\u0161\u00ed vliv na cenu podkladu bezprost\u0159edn\u011b po jej\u00edm prob\u011bhnut\u00ed, v\u00a0del\u0161\u00edch \u010dasov\u00fdch horizontech se pak \u010dek\u00e1 uklidn\u011bn\u00ed situace a n\u00e1vrat k \u201enorm\u00e1lu\u201c. Pokud se \u017e\u00e1dn\u00e1 ud\u00e1lost ne\u010dek\u00e1, tak p\u0159edpoklad, \u017ee se cena podkladu n\u011bkam pohne je vy\u0161\u0161\u00ed ve vzd\u00e1len\u011bj\u0161\u00edm \u010dasov\u00e9m horizontu ne\u017e v\u00a0nejbli\u017e\u0161\u00ed budoucnosti.<\/span><\/p>\n

\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku jsem popisoval, jak by bylo mo\u017en\u00e9 vyu\u017e\u00edt n\u00e1r\u016fstu Implied Volatility po\u0159\u00edzen\u00edm Long opc\u00ed v\u00a0dostate\u010dn\u00e9m p\u0159edstihu p\u0159ed hlavn\u00edm \u201en\u00e1porem r\u016fstu\u201c Implied Volatility a t\u011b\u017eit z\u00a0r\u016fstu ceny t\u011bchto po\u0159\u00edzen\u00fdch dlouh\u00fdch pozic nebo si vylep\u0161ovat celkov\u00e9 n\u00e1klady v\u00fdpisem Short op\u010dn\u00edch kontrakt\u016f v\u00a0term\u00ednu do Earnings. N\u00e1r\u016fst Implied Volatility tak kompenzoval nep\u0159\u00edzniv\u00fd vliv \u010dasu a cel\u00e9 po\u010d\u00e1te\u010dn\u00ed pozici velmi prosp\u00edval p\u0159\u00edpadn\u00fd pohyb na podkladov\u00e9 akcii. Minimalizov\u00e1n\u00ed ztr\u00e1ty, kterou prvotn\u011b p\u0159edstavovala po\u0159izovac\u00ed hodnota cel\u00e9 op\u010dn\u00ed pozice, se tak odehr\u00e1valo \u00fapravou \u2013 vypisov\u00e1n\u00edm a po\u0159izov\u00e1n\u00edm dal\u0161\u00edch op\u010dn\u00edch pozic ve stejn\u00e9 expiraci, jako byla p\u016fvodn\u00ed startovac\u00ed pozice. Expirac\u00ed opc\u00ed ihned po Earnings byl cel\u00fd obchod ukon\u010den. Uk\u00e1zky \u010dty\u0159ech obchod\u016f ve \u010dty\u0159ech po sob\u011b jdouc\u00edch vyhl\u00e1\u0161en\u00edch t\u011b\u017eily ze z\u00e1kladn\u00edch princip\u016f Debitn\u00edch Spread\u016f, Kreditn\u00edch Spread\u016f (Box) a kombinace Debitn\u00edch a Kreditn\u00edch Spread\u016f (Butterfly), tedy vcelku nic p\u0159evratn\u00e9ho.<\/span><\/p>\n

\u00a0\u00a0 Pohledem na \u010dasovou strukturu Implied Volatility t\u011bsn\u011b p\u0159ed vyhl\u00e1\u0161en\u00edm v\u00fdsledk\u016f na obr\u00e1zku v\u00fd\u0161e je patrn\u00e9, \u017ee nejv\u011bt\u0161\u00ed Implied Volatilitu<\/strong> maj\u00ed opce s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed po Earnings<\/strong>. Mou pozornost ale bude nyn\u00ed poutat tak\u00e9 Implied Volatilita opc\u00ed, kter\u00e9 maj\u00ed expiraci druhou nejbli\u017e\u0161\u00ed<\/strong>, tedy expiruj\u00ed a\u017e v\u00a0dal\u0161\u00edm t\u00fddnu po Earnings. Budu se pak sna\u017eit pozorov\u00e1n\u00ed takov\u00e9 Implied Volatility vyu\u017e\u00edt ve sv\u016fj prosp\u011bch v\u00a0kombinaci s\u00a0poznatky o Implied Volatilit\u011b na nejbli\u017e\u0161\u00edch op\u010dn\u00edch kontraktech s\u00a0expirac\u00ed ihned po Earnings. \u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 K\u00a0prozkoum\u00e1n\u00ed op\u011bt pou\u017eiji chov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f na akcie Facebook Inc (FB), aby srovn\u00e1n\u00ed navazovalo na p\u0159edch\u00e1zej\u00edc\u00ed \u010dl\u00e1nky. Na deseti posledn\u00edch vyhl\u00e1\u0161en\u00edch Earnings bych v\u00a0\u010dasov\u00e9m obdob\u00ed deset obchodn\u00edch dn\u016f p\u0159ed Earnings a\u017e k\u00a0nejbli\u017e\u0161\u00ed expiraci po Earnings mohl pozorovat v\u00fdvoj Implied Volatility<\/strong>, jak je zobrazen na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0 Na obr\u00e1zku je deseti hn\u011bd\u00fdmi k\u0159ivkami<\/strong> zn\u00e1zorn\u011bn pr\u016fb\u011bh Implied Volatility ATM opc\u00ed s nejbli\u017e\u0161\u00ed expiraci<\/strong> po Earnings a deseti modr\u00fdmi k\u0159ivkami<\/strong> zn\u00e1zorn\u011bn pr\u016fb\u011bh Implied Volatility ATM opc\u00ed s expiraci v\u00a0n\u00e1sleduj\u00edc\u00edm nejbli\u017e\u0161\u00edm obdob\u00ed<\/strong> (expirace t\u00fdden po Earnings). K\u0159ivky z\u00a0kuli\u010dek pak zobrazuj\u00ed pr\u016fm\u011brn\u00fd pr\u016fb\u011bh t\u011bchto ka\u017ed\u00fdch deseti k\u0159ivek. Je patrn\u00e9, \u017ee tak, jako \u017e\u00e1dn\u00e1 z hn\u011bd\u00fdch k\u0159ivek neztratila na hodnot\u011b od sv\u00e9ho po\u010d\u00e1tku do okam\u017eiku Earnings, tak stejn\u011b si takovou tendenci p\u0159isvojilo deset modr\u00fdch k\u0159ivek, pouze jejich pr\u016fb\u011bh nebyl tak dramaticky vzestupn\u00fd. Znamen\u00e1 to, \u017ee tak\u00e9 opce se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed by nem\u011bly ztr\u00e1cet na sv\u00e9 hodnot\u011b sm\u011brem k\u00a0Earnings p\u016fsoben\u00edm \u010dasu tak v\u00fdznamn\u011b, jako by tomu bylo za norm\u00e1ln\u00edch okolnost\u00ed. Tak\u00e9 zde bude Implied Volatilita takov\u00fd rozpad ceny ur\u010dit\u00fdm zp\u016fsobem kompenzovat. Souboj Th\u00e9ta a Vega tak nemus\u00ed nutn\u011b Th\u00e9tu favorizovat. P\u0159i\u010dteme-li k\u00a0takov\u00e9mu souboji tak\u00e9 mo\u017enost pohybu, mohlo by z\u00a0takov\u00e9 konstelace vlastnost\u00ed vypadnout n\u011bjak\u00e9 obchodn\u00ed \u0159e\u0161en\u00ed.<\/span><\/p>\n

\u00a0 Graf s\u00a0chuchvalci k\u0159ivek mo\u017en\u00e1 nen\u00ed zrovna moc p\u0159ehledn\u00fd, i kdy\u017e vyobrazen\u00e9 pr\u016fm\u011brn\u00e9 pr\u016fb\u011bhy d\u00e1vaj\u00ed celkov\u00e9mu trendu jasn\u011b zapravdu. V\u00a0jin\u00e9m grafick\u00e9m zn\u00e1zorn\u011bn\u00ed by tak m\u011bla b\u00fdt patrn\u00e1 dynamika takov\u00e9ho n\u00e1r\u016fstu<\/strong> za sledovan\u00e9 obdob\u00ed 10 dn\u016f p\u0159ed Earnings. Mo\u017en\u00e1 bude l\u00e9pe zn\u00e1zorn\u011bna v\u00a0histogramu hodnot Implied Volatility opc\u00ed z obou expirac\u00ed, kdy\u017e jednotliv\u00e9 sloupce p\u0159edstavuj\u00ed procentn\u00ed n\u00e1r\u016fst hodnoty Implied Volatility od okam\u017eiku 10 dn\u016f p\u0159ed Earnings a t\u011bsn\u011b p\u0159ed vyhl\u00e1\u0161en\u00edm, tedy desetidenn\u00ed pohyb Implied Volatility<\/strong>.<\/span><\/p>\n

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\u00a0 \u00a0V\u0161echny hodnoty n\u00e1r\u016fstu Implied Volatility<\/strong> opc\u00ed s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed (hn\u011bd\u00e9 sloupce) maj\u00ed hodnoty vy\u0161\u0161\u00ed ne\u017e 40%<\/strong>. Znamen\u00e1 to, \u017ee i kdy\u017e je startovac\u00ed Implied Volatilita n\u00edzk\u00e1, tak \u201csv\u00fdch 40%\u201c v\u017edycky zvl\u00e1dne. Pokud je na za\u010d\u00e1tku n\u00edzk\u00e1, znamen\u00e1 to, \u017ee opce koup\u00edme levn\u011bji, pokud je vysok\u00e1, tak na\u0161e investice bude vy\u0161\u0161\u00ed, na dynamiku ale jako bych se mohl v\u00a0tomto p\u0159\u00edpad\u011b zcela spolehnout. Podobn\u00fd obr\u00e1zek mohu tak\u00e9 vid\u011bt na Implied Volatilit\u011b u opc\u00ed s\u00a0expirac\u00ed v\u00a0n\u00e1sleduj\u00edc\u00edm t\u00fddnu (modr\u00e9 sloupce). Krom\u011b jednoho p\u0159\u00edpadu se hodnota n\u00e1r\u016fstu Implied Volatility<\/strong> za sledovan\u00e9 obdob\u00ed v\u017edy mot\u00e1 pr\u016fm\u011brn\u011b kolem hodnot 20%<\/strong> a n\u011bkdy vy\u0161\u0161\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Co z\u00a0toho v\u0161eho vlastn\u011b vypl\u00fdv\u00e1? Vskutku pozoruhodn\u00e9 zji\u0161t\u011bn\u00ed. V\u00edm, \u017ee ceny opc\u00ed v\u00a0obdob\u00ed t\u011bsn\u011b p\u0159ed Earnings zaznamenaj\u00ed dynamick\u00fd n\u00e1r\u016fst Implied Volatility<\/strong>, a to v\u00a0obou nejbli\u017e\u0161\u00edch op\u010dn\u00edch expirac\u00edch<\/strong>. To se v\u00a0dob\u011b \u201em\u00edru na trz\u00edch\u201c jenom tak nestane nebo s\u00a0t\u00edm nemohu v\u016fbec po\u010d\u00edtat. Tak\u00e9 v\u00edm, \u017ee v\u00a0obdob\u00ed bl\u00ed\u017e\u00edc\u00edho se Earnings dojde k\u00a0poru\u0161en\u00ed \u010dasov\u00e9 struktury Implied Volatility<\/strong>, kdy\u017e opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed maj\u00ed Implied Volatilitu na ATM opc\u00edch vy\u0161\u0161\u00ed ne\u017e na vzd\u00e1len\u011bj\u0161\u00edch (dosti podstatn\u011b) oproti norm\u00e1ln\u00ed b\u011b\u017en\u00e9 situaci, kdy se na trz\u00edch nic ned\u011bje a kdy je struktura Implied Volatility zcela opa\u010dn\u00e1 (vzd\u00e1len\u011bj\u0161\u00ed Implied Volatilita je vy\u0161\u0161\u00ed ne\u017e bli\u017e\u0161\u00ed). Z\u00a0t\u00e9to vypozorovan\u00e9 situace by pak m\u011blo b\u00fdt z\u0159ejm\u00e9, \u017ee pokud bych po\u0159\u00eddil ATM opce v\u00a0dob\u011b klidu na trz\u00edch, tak by se opce m\u011bly ve sv\u00fdch cen\u00e1ch v\u00fdrazn\u011b li\u0161it, pokud bych je srovn\u00e1val na stejn\u00e9m strike, ale s\u00a0jinou expirac\u00ed. Odli\u0161nost<\/strong> by m\u011bla vych\u00e1zet z\u00a0toho, \u017ee vzd\u00e1len\u011bj\u0161\u00ed opce m\u00e1 o t\u00fdden d\u00e9le do expirace<\/strong> a nav\u00edc m\u00e1 vy\u0161\u0161\u00ed Implied Volatilitu<\/strong>, v\u0161echny ostatn\u00ed cenotvorn\u00e9 parametry jsou stejn\u00e9. Naproti tomu stejn\u00fd p\u0159\u00edklad, ale z\u00a0obdob\u00ed p\u0159ed Earnings, kdy je Implied Volatilita strukturovan\u00e9 opa\u010dn\u011b<\/strong>, by m\u011bl b\u00fdt obr\u00e1zek zcela jin\u00fd. Stejn\u00e9 opce na stejn\u00e9m strike, ale v\u00a0jin\u00e9 expiraci, by m\u011bly m\u00edt hodnotu odli\u0161nou ze stejn\u00e9ho d\u016fvodu, jak\u00fdm je o t\u00fdden del\u0161\u00ed \u017eivot vzd\u00e1len\u011bj\u0161\u00ed opce do expirace, ale to by m\u011blo b\u00fdt kompenzov\u00e1no v\u00fdrazn\u011b vy\u0161\u0161\u00ed<\/span> Implied Volatilitou na opc\u00edch<\/strong>, jejich\u017e expirace je t\u011bsn\u011b po Earnings<\/strong> oproti v\u00fdrazn\u011b ni\u017e\u0161\u00ed<\/span> Implied Volatilit\u011b opc\u00ed<\/strong> na stejn\u00e9m strike, ale se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed<\/strong>. Rozd\u00edly jsou opravdu obrovsk\u00e9. Proto\u017ee to z\u00a0textu tak plasticky nevyzn\u00edv\u00e1, tak na obr\u00e1zc\u00edch je vid\u011bt zcela konkr\u00e9tn\u00ed situace demonstruj\u00edc\u00ed takov\u00fd cenov\u00fd rozd\u00edl.\u00a0 \u00a0<\/span><\/p>\n

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\u00a0 Obr\u00e1zek zachycuje ceny ATM Long Straddle<\/strong> na akcie FB, tak jak jsou viditeln\u00e9 bez bl\u00edzkosti nebo zn\u00e1mosti fundament\u00e1ln\u00ed zpr\u00e1vy<\/strong>, jakou mohou b\u00fdt Earnings. Je to zcela b\u011b\u017en\u00e1 tr\u017en\u00ed situace, kdy jsou zachyceny ceny opc\u00ed na ATM strike u dvou op\u010dn\u00edch \u0159et\u011bzc\u016f maj\u00edc\u00edch 11 a 18 dn\u016f do expirace. Tyto vzd\u00e1lenosti do expirace jsem si vybral proto, \u017ee reprezentuj\u00ed situaci k\u00a0pond\u011bl\u00ed, kdy\u017e opce maj\u00ed p\u0159ed sebou je\u0161t\u011b dva respektive t\u0159i t\u00fddny do expirace. Koresponduje to s\u00a0p\u0159\u00edklady z\u00a0minul\u00e9ho \u010dl\u00e1nku, kdy jsem vstupoval do obchod\u016f pr\u00e1v\u011b v\u00a0toto pond\u011bl\u00ed, kdy\u017e ve st\u0159edu dal\u0161\u00edho t\u00fddne prob\u00edhalo vyhla\u0161ov\u00e1n\u00ed Earnings. Na obr\u00e1zku je pak zachycena stejn\u00e1 \u010dasov\u00e1 situace, jenom bez takov\u00e9ho vyhla\u0161ov\u00e1n\u00ed. Co mohu pozorovat? ATM Long Straddle 175<\/strong> bych s\u00a0opcemi v\u00a0bli\u017e\u0161\u00ed expiraci<\/strong> po\u0159\u00eddil za (-132 USD – 275 USD) celkem -407 USD<\/strong>. Stejnou kombinaci ATM Long Straddle 175<\/strong> s\u00a0opcemi ve vzd\u00e1len\u011bj\u0161\u00ed expiraci<\/strong> bych po\u0159\u00eddil za (-194 USD – 330 USD), tedy celkem za -524 USD<\/strong>. Vzd\u00e1len\u011bj\u0161\u00ed ATM Long Straddle 175 bych tak po\u0159\u00eddil o +29%<\/strong> dr\u00e1\u017e ne\u017e bli\u017e\u0161\u00ed ATM Long Straddle. Vypad\u00e1 to logicky, vzd\u00e1len\u011bj\u0161\u00ed ATM Long Straddle m\u00e1 o t\u00fdden del\u0161\u00ed \u017eivot, tak\u017ee toto je do ceny opc\u00ed prom\u00edtnuto, tak\u00e9 je na vzd\u00e1len\u011bj\u0161\u00edch opc\u00edch vy\u0161\u0161\u00ed Implied Volatilita (t\u00e9m\u011b\u0159 o jedno procento vy\u0161\u0161\u00ed), tak\u017ee se takov\u00e9 cenotvorn\u00e9 prvky na cen\u011b cel\u00e9 kombinace projevily. Strike, Cena podkladu, \u00darokov\u00e1 m\u00edra a neexistence Dividend jsou pak pro v\u0161echny op\u010dn\u00ed kontrakty stejn\u00e9.<\/span><\/p>\n

\u00a0\u00a0 Na dal\u0161\u00edm obr\u00e1zku je zachyceno stejn\u00e9 \u010dasov\u00e9 obdob\u00ed, tedy pond\u011bl\u00ed 17.7.2017, kdy jsou vyobrazeny op\u010dn\u00ed \u0159et\u011bzce s\u00a0expirac\u00ed bli\u017e\u0161\u00edch opc\u00ed za 11 dn\u016f a s\u00a0expirac\u00ed za 18 dn\u016f. Jedin\u00fdm rozd\u00edlem je<\/strong>, \u017ee se p\u0159\u00ed\u0161t\u00ed st\u0159edu vyhla\u0161uj\u00ed na podkladu FB Earnings<\/strong>, ceny obou typ\u016f opc\u00ed tedy s\u00a0takovou fundament\u00e1ln\u00ed ud\u00e1lost\u00ed po\u010d\u00edtaj\u00ed<\/strong>.<\/span><\/p>\n

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\u00a0 Stejn\u011b jako na p\u0159edch\u00e1zej\u00edc\u00edm obr\u00e1zku jsou zachyceny ceny ATM Long Straddle v\u00a0obou expirac\u00edch. ATM Long Straddle 160<\/strong> bych s\u00a0opcemi v\u00a0bli\u017e\u0161\u00ed expiraci<\/strong> po\u0159\u00eddil za (-365 USD – 395 USD) celkem -760 USD<\/strong>. Stejnou kombinaci ATM Long Straddle 175<\/strong> s\u00a0opcemi ve vzd\u00e1len\u011bj\u0161\u00ed expiraci<\/strong> bych po\u0159\u00eddil za (-405 USD – 425 USD), tedy celkem za -830 USD<\/strong>. Vzd\u00e1len\u011bj\u0161\u00ed ATM Long Straddle 160 bych tak po\u0159\u00eddil pouze o +9%<\/strong> dr\u00e1\u017e ne\u017e bli\u017e\u0161\u00ed ATM Long Straddle, a to je velmi dramatick\u00fd rozd\u00edl<\/strong> oproti p\u0159edch\u00e1zej\u00edc\u00edmu p\u0159\u00edkladu, tento rozd\u00edl je tak podstatn\u00fd, \u017ee by se dalo s p\u0159iv\u0159en\u00edm obou o\u010d\u00ed \u0159\u00edct, \u017ee oba Long Straddle jsou „t\u00e9m\u011b\u0159 stejn\u011b drah\u00e9“. Proto\u017ee vzd\u00e1len\u011bj\u0161\u00ed ATM Long Straddle expiruje o t\u00fdden pozd\u011bji, je jasn\u00e9, \u017ee z\u00a0tohoto d\u016fvodu budou opce, kter\u00e9 jej tvo\u0159\u00ed, dra\u017e\u0161\u00ed. Pod\u00edv\u00e1m-li se ale na hodnoty Implied Volatility jednotliv\u00fdch Long Straddle, tak bli\u017e\u0161\u00ed op\u010dn\u00ed kontrakty tvo\u0159\u00edc\u00ed bli\u017e\u0161\u00ed ATM Long Straddle ji maj\u00ed podstatn\u011b vy\u0161\u0161\u00ed ne\u017e vzd\u00e1len\u011bj\u0161\u00ed (t\u00e9m\u011b\u0159 o \u010dty\u0159i procenta), a to bude zp\u016fsobovat vy\u0161\u0161\u00ed cenu u bli\u017e\u0161\u00edch opc\u00ed ne\u017e u vzd\u00e1len\u011bj\u0161\u00edch op\u010dn\u00edch kontrakt\u016f. Implied Volatilita tak \u201ema\u017ee\u201c rozd\u00edly cen opc\u00ed vytvo\u0159en\u00e9 pouze d\u00e9lkou \u010dasu, danou rozd\u00edln\u00fdmi expiracemi.<\/span><\/p>\n

\u00a0 Pozn\u00e1n\u00ed pozoruhodn\u00e9ho vlivu Implied Volatility na cenu opc\u00ed p\u0159ed Earnings a jej\u00ed \u010dasov\u00e9 struktury by byl samoz\u0159ejm\u011b k\u00a0ni\u010demu, kdyby se nedal n\u011bjak\u00fdm zp\u016fsobem zobchodovat. Pokus\u00edm se na dvou jednoduch\u00fdch p\u0159\u00edkladech, op\u011bt na akcii FB a dvou nejmlad\u0161\u00edch vyhl\u00e1\u0161en\u00ed Earnings, uk\u00e1zat, jak\u00fdm zp\u016fsobem se pokusit takovou obchodn\u00ed p\u0159\u00edle\u017eitost obchodovat<\/span><\/p>\n

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\u00a0 FB #5 (Arbitr\u00e1\u017e)<\/strong><\/span><\/h1>\n

\u00a0 Pro kontinualitu s p\u0159edchoz\u00edmi p\u0159\u00edsp\u011bvky jsem tento obchod ozna\u010dil \u010d\u00edslem 5, aby bylo patrn\u00e9, \u017ee se jedn\u00e1 o stejn\u00fd obchod se stejn\u00fdm podkladem a se vstupem ve stejn\u00e9m \u010dasov\u00e9m okam\u017eiku, jako u p\u0159edchoz\u00edch p\u0159\u00edsp\u011bvk\u016f<\/span><\/p>\n

\u00a0\u00a0 Snem op\u010dn\u00edho obchodn\u00edka je arbitr\u00e1\u017e<\/strong>. Vytvo\u0159en\u00ed komplexn\u00ed op\u010dn\u00ed pozice tak, abych ji ji\u017e nemusel d\u00e1le \u0159\u00eddit a mohl si uzamknout vytvo\u0159en\u00fd profit je obchodn\u00edm ide\u00e1lem. Op\u010dn\u00ed obchodov\u00e1n\u00ed k\u00a0tomu vytv\u00e1\u0159\u00ed bezpo\u010det situac\u00ed, n\u011bkter\u00e9 jsem ji\u017e na tomto webu popsal. Nap\u0159\u00edklad konstrukce Short Box<\/a><\/strong><\/span> je toho ide\u00e1ln\u00edm p\u0159\u00edkladem. Pokud se mi poda\u0159\u00ed na ni\u017e\u0161\u00edm strike vytvo\u0159it syntetickou pozici Short akcie za v\u011bt\u0161\u00ed pen\u00edze ne\u017e po\u0159\u00eddit syntetickou pozici Long akcie na vy\u0161\u0161\u00edm strike, mohu tento rozd\u00edl po\u0159izovac\u00edch hodnot pova\u017eovat za profit, kter\u00fd mi ji\u017e nikdo nem\u016f\u017ee vz\u00edt. Syntetickou akcii jsem toti\u017e prodal za v\u00edce, ne\u017e jsem ji koupil. To je horizont\u00e1ln\u00ed pohled na jednotliv\u00e9 opce ve Short Boxu. Ve stejn\u00e9 kombinaci Short Box pak mohu pozorovat, ve vertik\u00e1ln\u00edm pohledu, dva Credit Vertical Spready, Call Vertical Bear Spread a Put Credit Vertical Bull Spread, oba spready na stejn\u00fdch strike sv\u00fdch jednotliv\u00fdch nohou. Pokud se mi poda\u0159\u00ed takov\u00e9 spready na t\u011bchto stejn\u00fdch strike po\u0159\u00eddit za v\u00edce, ne\u017e je hodnota jejich maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1ty (dolarov\u00e9 vyj\u00e1d\u0159en\u00ed rozsahu strike), tak tento rozd\u00edl nad tuto dolarovou hodnotu rozd\u00edlu strike mi ji\u017e nikdo nevezme a bude p\u0159edstavovat m\u016fj uzam\u010den\u00fd profit vypl\u00fdvaj\u00edc\u00ed z\u00a0jednoduch\u00e9 arbitr\u00e1\u017ee.<\/span><\/p>\n

\u00a0 Ze stejn\u00e9ho principu bude tak\u00e9 vych\u00e1zet popisovan\u00fd obchod. Budu se jednodu\u0161e sna\u017eit prodat dr\u00e1\u017e n\u011bco, co jsem ji\u017e koupil<\/strong> a bude to rovnou cel\u00e1 velmi jednoduch\u00e1 op\u010dn\u00ed kombinace, jenom tento n\u00e1kup\/prodej rozlo\u017e\u00edm do dvou expirac\u00ed, co\u017e mi nav\u00edc m\u016f\u017ee p\u0159in\u00e9st n\u011bkter\u00e9 dal\u0161\u00ed v\u00fdhody. Tento jednoduch\u00fd princip pak zasad\u00edm do r\u00e1mce vypozorovan\u00fdch vlastnost\u00ed chov\u00e1n\u00ed cen v\u00a0obdob\u00ed Earnings, zp\u016fsoben\u00fd p\u0159edev\u0161\u00edm dramatick\u00fdm n\u00e1r\u016fstem Implied Volatility.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Princip obchodu bude jednoduch\u00fd. Budu vych\u00e1zet z\u00a0p\u0159edchoz\u00edch uk\u00e1zek a pro mo\u017enost srovn\u00e1n\u00ed do obchodu vstoup\u00edm v\u00a0pond\u011bl\u00ed t\u00fddne p\u0159edch\u00e1zej\u00edc\u00edho Earnings<\/strong>. V\u00a0toto pond\u011bl\u00ed, kdy bude opc\u00edm s\u00a0expirac\u00ed nejbl\u00ed\u017ee po Earnings z\u016fst\u00e1vat do expirace jeden\u00e1ct dn\u00ed, se ale nezam\u011b\u0159\u00edm na tyto op\u010dn\u00ed kontrakty, ale na opce s\u00a0dal\u0161\u00ed expirac\u00ed<\/strong>, tedy v\u00a0t\u00fddnu n\u00e1sleduj\u00edc\u00edm po Earnings. S t\u011bmito op\u010dn\u00edmi kontrakty vstoup\u00edm do obchodu, a to tak, \u017ee po\u0159\u00edd\u00edm ATM Long Straddle. Jak by situace vypadala na posledn\u00edm vyhl\u00e1\u0161en\u00ed Earnings je patrn\u00e9 z\u00a0n\u00e1sleduj\u00edc\u00edho obr\u00e1zku<\/span><\/p>\n

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\u00a0 Je pond\u011bl\u00ed 17.7.2017<\/strong> a p\u0159\u00ed\u0161t\u00ed st\u0159edu 26.7.2017 vyhla\u0161uje spole\u010dnost FB po uzav\u0159en\u00ed trh\u016f Earnings. P\u0159i Implied Volatilit\u011b 28% na \u201ezadn\u00ed\u201c opci jsem po\u0159\u00eddil pomoc\u00ed opc\u00ed v\u00a0t\u00e9to vzd\u00e1len\u011bj\u0161\u00ed expiraci ATM Long Straddle<\/strong> na strike 160<\/strong> za cenu (-405 USD \u2013 425 USD) = celkem za n\u00e1klad ve v\u00fd\u0161i -830 USD<\/strong>. Toto je nyn\u00ed m\u00e1 maxim\u00e1ln\u00ed mo\u017en\u00ed ztr\u00e1ta<\/strong>, pokud bych s\u00a0opcemi v\u016fbec nic ned\u011blal a\u017e do jejich expirace a pokud by p\u0159i t\u00e9to expiraci cena FB skon\u010dila p\u0159esn\u011b na cen\u011b strike 160 USD. Nicned\u011bl\u00e1n\u00ed mi ale nen\u00ed vlastn\u00ed, tak\u017ee se budu op\u011bt sna\u017eit pozorovat, co mi trh nab\u00eddne za mo\u017enosti. M\u00e1m v\u00a0rukou slu\u0161n\u00fd potenci\u00e1l, proto\u017ee krom\u011b autoatlasu \u010cR m\u00e1m k\u00a0dispozici znalosti o v\u00fdvoji Implied Volatility v\u00a0obou expirac\u00edch, kter\u00e9 m\u011b moment\u00e1ln\u011b zaj\u00edmaj\u00ed, a to v\u00a0obdob\u00ed s expiraci m\u00fdch ji\u017e dr\u017een\u00fdch opc\u00ed a zejm\u00e9na opc\u00ed v\u00a0obdob\u00ed s expirac\u00ed bli\u017e\u0161\u00ed, tedy tou, kter\u00e1 je t\u011bsn\u011b po Earnings.<\/span><\/p>\n

\u00a0\u00a0 Na co se tedy mohu spolehnout? V\u00edm, \u017ee cena m\u00fdm opc\u00ed ATM Long Straddle 160 nebude mnoho ztr\u00e1cet p\u016fsoben\u00edm \u010dasu, proto\u017ee s\u00a0bl\u00ed\u017e\u00edc\u00edmi se Earnings bude nar\u016fstat Implied Volatilita tak\u00e9 u opc\u00ed s\u00a0touto vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed. Dramati\u010dt\u011bj\u0161\u00ed n\u00e1r\u016fst Implied Volatility v\u0161ak mohu \u010dekat u opc\u00ed s\u00a0d\u0159\u00edv\u011bj\u0161\u00ed expirac\u00ed, a to v\u00a0pr\u016fm\u011bru a\u017e o des\u00edtky procent (viz histogram v\u00fd\u0161e). Pokud bych se pod\u00edval, jak\u00fd je cenov\u00fd rozd\u00edl jednotliv\u00fdch ATM Long Straddle 160 na obou expirac\u00edch, tak m\u016f\u017eu zjistit, \u017ee pokud jsem ten vzd\u00e1len\u011bj\u0161\u00ed po\u0159\u00eddil za -830 USD, tak stejn\u00fd ATM Long Straddle 160 bych nyn\u00ed na bli\u017e\u0161\u00edch opc\u00edch po\u0159\u00eddil za (-365 USD -395 USD) -760 USD. To je rozd\u00edl pouh\u00fdch 9%<\/strong>, kter\u00fd za\u0159\u00eddila zejm\u00e9na Implied Volatilita na opc\u00edch na bli\u017e\u0161\u00edch strike. Nech\u00e1m se tedy oddat p\u016fsoben\u00ed tr\u017en\u00edch vliv\u016f, p\u016fsoben\u00ed pohybu a n\u00e1r\u016fstu Implied Volatility a pozorovat, jak se bude situace vyv\u00edjet d\u00e1le. \u00a0\u00a0<\/span><\/p>\n

\u00a0 Je st\u0159eda 19.7.2017<\/strong>, dva dny po vstupu do pozice ATM Long Straddle 160 na vzd\u00e1len\u011bj\u0161\u00edch opc\u00edch. Mohu pozorovat n\u00e1sleduj\u00edc\u00ed ceny<\/span><\/p>\n

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\u00a0\u00a0 D\u00edky pohybu na podkladov\u00e9 akcii a n\u00e1r\u016fstu Implied Volatility mohu zjistit, \u017ee stejn\u00e1 kombinace<\/strong>, ale v\u00a0\u201eopa\u010dn\u00e9m gardu<\/strong>\u201c, tedy ATM Short Straddle 160<\/strong> na bli\u017e\u0161\u00ed expiraci<\/strong> se d\u00e1 prodat vyps\u00e1n\u00edm opc\u00ed Short Call 160 a Short Put 160 za +645 USD + 234 USD) a z\u00edskat tak na sv\u016fj \u00fa\u010det +879 USD<\/strong>. Stalo se tak d\u00edky pohybu, ale tak\u00e9 proto, \u017ee n\u00e1r\u016fst Implied Volatility zp\u016fsobil, \u017ee jsem mohl prodat za dosti vysokou \u010d\u00e1stku zejm\u00e9na OTM Short Put 160<\/strong>, kter\u00e1 byla ji\u017e dosti \u201emimo pen\u00edze\u201c a v\u00a0p\u0159\u00edpad\u011b velmi n\u00edzk\u00e9 Implied Volatility (v norm\u00e1ln\u00edch \u010dasech) by nem\u011bla v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b ji\u017e takovou vysokou cenu.<\/span><\/p>\n

\u00a0\u00a0 Co se tedy stalo? K\u00a0nakoupen\u00e9 op\u010dn\u00ed kombinaci ATM Long Straddle 160 se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed za -830 USD<\/strong> jsem po\u0159\u00eddil ATM Short Straddle 160 za + 879<\/strong> USD na opc\u00edch s\u00a0bli\u017e\u0161\u00ed expirac\u00ed. Provedl jsem \u00fasp\u011b\u0161nou arbitr\u00e1\u017e a prodal jsem to, co ji\u017e vlastn\u00edm za v\u011bt\u0161\u00ed pen\u00edze (ale v jin\u00e9 expiraci), \u00a0rozd\u00edl n\u00e1klad\u016f a p\u0159\u00edjm\u016f (-830 USD + 879 USD) ve v\u00fd\u0161i +49 USD mi ji\u017e nikdo nevezme<\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 Pro\u010d jsem to ud\u011blal pr\u00e1v\u011b takto, jak je mo\u017en\u00e9, \u017ee mi ji\u017e jist\u00e9 pen\u00edze nikdo nevezme a nakonec, nen\u00ed to m\u00e1lo co jsem si nyn\u00ed z\u00a0trh\u016f vzal? To by mohly b\u00fdt dobr\u00e9 ot\u00e1zky, kter\u00e9 by mi mohl pozorovatel m\u00e9ho po\u010d\u00edn\u00e1n\u00ed f\u00e9rov\u011b polo\u017eit. M\u011bl bych pak na n\u011b tyto odpov\u011bdi.<\/span><\/p>\n

\u00a0 \u00a01\/<\/strong> Je p\u00e1tek po Earnings<\/strong>. Nov\u00e1 pozice Short Straddle 160<\/strong> na bli\u017e\u0161\u00ed expiraci v\u017edy skon\u010d\u00ed tak, \u017ee u expirace bude v\u017edy jedna s\u00a0opc\u00ed \u201ev pen\u011bz\u00edch\u201c<\/strong> pokud vylou\u010d\u00edm statistickou mo\u017enost, \u017ee skon\u010d\u00ed p\u0159\u00edmo p\u0159esn\u011b na 160 USD. Tato ITM opce bude p\u0159i\u0159azena a na m\u016fj \u00fa\u010det budou vygenerov\u00e1ny p\u0159\u00edslu\u0161n\u00e9 akcie. Proto\u017ee je expira\u010dn\u00ed p\u00e1tek, tak v\u00a0m\u00e9m p\u0159\u00edpad\u011b skon\u010dila cena FB po prob\u011bhl\u00fdch Earnings na cen\u011b 172.45 USD, tak\u017ee jsem po Earnings obdr\u017eel 100 x Short akcii FB<\/strong> za cenu 160 USD\/kus,<\/strong> jako v\u00fdsledek Assignment m\u00e9 Short Call 160. Short Put 160 vypr\u0161ela jako bezcenn\u00e1.<\/span><\/p>\n

\u00a0 \u00a02\/<\/strong> Je 31.7.2017, pond\u011bl\u00ed po expiraci opc\u00ed<\/strong> z\u00a0nov\u011b po\u0159\u00edzen\u00e9ho Short Straddle 160<\/strong>. M\u00e1 celkov\u00e1 pozice nyn\u00ed je (po proveden\u00e9m p\u0159i\u0159azen\u00ed opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed) ATM Long Straddle 160<\/strong> (m\u00e1 p\u016fvodn\u00ed vstupn\u00ed pozice) a 100 x Short akci\u00ed FB<\/strong> a na m\u00e9m \u00fa\u010dtu p\u0159ibylo +49 USD za op\u010dn\u00ed transakce a +16.000 USD za prodej akci\u00ed p\u0159i p\u0159i\u0159azen\u00ed, celkov\u011b tak na m\u00e9m \u00fa\u010dtu, krom\u011b op\u010dn\u00edch a akciov\u00fdch pozic vid\u00edm +16.049 USD<\/strong>.<\/span><\/p>\n

\u00a0 \u00a03\/<\/strong> Mohu nyn\u00ed ji\u017e jenom d\u00e1le vyd\u011blat<\/strong>, nic hor\u0161\u00edho, ne\u017e si ponechat p\u016fvodn\u011b vyd\u011blan\u00fdch +49 USD se mi ji\u017e nem\u016f\u017ee st\u00e1t, a to je velmi p\u0159\u00edjemn\u00e9. Cel\u00fd n\u00e1sleduj\u00edc\u00ed t\u00fdden (do expirace m\u00fdch opc\u00ed z\u00a0ATM Long Straddle 160) mohou nastat n\u00e1sleduj\u00edc\u00ed sc\u00e9n\u00e1\u0159e:<\/span><\/p>\n

\u00a0 \u00a0\u00a03A\/<\/strong> Cena FB za\u010dne r\u016fst (nebo ji\u017e je) nad 160<\/strong><\/span>. To by sice nebylo dobr\u00e9 pro m\u00e9 Short akcie, proto\u017ee by prod\u011bl\u00e1valy. To mi ale nevad\u00ed, proto\u017ee je m\u00e1m pln\u011b hed\u017eov\u00e1ny Long Call 160<\/strong> z\u00a0m\u00e9ho p\u016fvodn\u00edho Long Straddle, kdykoliv mohu prov\u00e9st jej\u00ed Exercise<\/strong> a p\u0159ivolat na sv\u016fj \u00fa\u010det 100 x Long akcii za cenu 160 USD\/kus, tyto p\u0159ivolan\u00e9 akcie vykompenzuj\u00ed m\u00e9 ji\u017e dr\u017een\u00e9 100 x Short akcie. Toto m\u011b bude st\u00e1t -16.000 USD za n\u00e1kup p\u0159ivolan\u00fdch akci\u00ed, ob\u011b akciov\u00e9 pozice se pak vyru\u0161\u00ed a j\u00e1 m\u00e1m zbytkovou pozici Long Put 160<\/strong> z\u00a0p\u016fvodn\u00edho Long Straddle a zbyl\u00fdch +49 USD<\/strong> z\u00a0p\u0159edchoz\u00edch transakc\u00ed. M\u016f\u017ee se ale tak\u00e9 st\u00e1t, \u017ee tato osamocen\u00e1 Long Put 160 bude je\u0161t\u011b m\u00edt n\u011bjakou z\u016fstatkovou cenu, za jakou ji budu moci prodat a p\u0159idat tak na m\u016fj \u00fa\u010det dal\u0161\u00ed drobn\u00e9.<\/span><\/p>\n

\u00a0 \u00a03B\/ Cena FB bude stagnovat a bude se pohybovat t\u011bsn\u011b nad 160 USD<\/span><\/strong> (cenou po\u0159\u00edzen\u00ed Short akci\u00ed). Provedu co nejd\u0159\u00edve (Pond\u011bl\u00ed Open) okam\u017eit\u00e9 Exercise podle p\u0159edchoz\u00edho odstavce, proto\u017ee pozoruji, \u017ee cena z\u016fstatkov\u00e9 Long Put 160 je dosti podstatn\u00e1<\/strong>. Jej\u00edm prodejem si p\u0159ilep\u0161uji ke sv\u00fdm +49 USD dal\u0161\u00ed sumou.<\/span><\/p>\n

\u00a0 \u00a03C\/ Cena FB bude klesat pod 160<\/span><\/strong>. No, v\u00edc bych si ji\u017e ani nemohl p\u0159\u00e1t. Long Call 160 se bude st\u00e1vat bezcennou, ale vyd\u011bl\u00e1vaj\u00ed mi Short akcie a tak\u00e9 Long Put 160. Ka\u017ed\u00fd pokles<\/strong> ceny FB o jeden dolar<\/strong> pod hodnotu 160 USD bude znamenat dvojn\u00e1sobn\u00fd p\u0159\u00edjem +200 USD<\/strong>, a to nen\u00ed \u0161patn\u00e1 vyhl\u00eddka.<\/span><\/p>\n

\u00a0\u00a0 V\u00fd\u0161e uveden\u00e9 body sc\u00e9n\u00e1\u0159e pln\u011b odpov\u00eddaj\u00ed na kladen\u00e9 ot\u00e1zky. Vyd\u011blan\u00e9 pen\u00edze z\u00a0arbitr\u00e1\u017ee mi nikdo nevezme<\/strong> a j\u00e1 jsem si je\u0161t\u011b vyrobil slu\u0161nou vyhl\u00eddku na dal\u0161\u00ed neomezen\u00fd profit<\/strong>. V\u00a0p\u0159\u00edpad\u011b nep\u0159\u00edzniv\u00e9ho v\u00fdvoje mohu pozici okam\u017eit\u011b ukon\u010dit a zachovat si na sv\u00e9m \u00fa\u010dtu v\u0161echny ji\u017e vyd\u011blan\u00e9 pen\u00edze. Mohu se soust\u0159edit na dal\u0161\u00ed obchody<\/span><\/p>\n

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\u00a0 FB #6 (Time Spreads)<\/strong><\/span><\/h1>\n

\u00a0Posunem do dal\u0161\u00edho Earnings obdob\u00ed, kter\u00e9 p\u0159edch\u00e1zelo obdob\u00ed z\u00a0p\u0159edch\u00e1zej\u00edc\u00edho p\u0159\u00edkladu, bych cht\u011bl uk\u00e1zat, co by se mohlo st\u00e1t, kdyby se \u017e\u00e1dn\u00e1 p\u0159\u00edle\u017eitost k\u00a0Arbitr\u00e1\u017ei nevyskytla<\/strong>. P\u0159esto\u017ee jsou mi zaru\u010den\u00e9 vlivy r\u016fstu Implied Volatility naklon\u011bny, nemus\u00ed se takov\u00e1 p\u0159\u00edle\u017eitost \u2013 prodat celou op\u010dn\u00ed kombinaci za v\u00edce ne\u017e jsem ji po\u0159\u00eddil \u2013 nakonec vyskytnout, tak\u017ee mus\u00edm b\u00fdt p\u0159ipraven za\u0159\u00eddit se nakonec zcela jinak. Mus\u00edm se v\u0161ak posunout v\u00a0historii o je\u0161t\u011b jedno vyhl\u00e1\u0161en\u00ed zp\u011bt, proto\u017ee stejn\u011b jako p\u0159i\u00a0posledn\u00edm vyhl\u00e1\u0161en\u00ed v\u00a0\u010dervenci 2017, tak tak\u00e9 p\u0159i vyhla\u0161ov\u00e1n\u00ed Earnings v\u00a0kv\u011btnu 2017 byla zcela identick\u00e1 p\u0159\u00edle\u017eitost k\u00a0Arbitr\u00e1\u017ei a byla dokonce v\u00fdrazn\u011bj\u0161\u00ed. Mus\u00edm proto pou\u017e\u00edt vyhl\u00e1\u0161en\u00ed Earnings v\u00a0\u00fanoru 2017.<\/span><\/p>\n

\u00a0 Je pond\u011bl\u00ed 23.1.2017<\/strong> a p\u0159\u00ed\u0161t\u00ed st\u0159edu 1.2.2017 vyhla\u0161uje spole\u010dnost FB po uzav\u0159en\u00ed trh\u016f Earnings. P\u0159i Implied Volatilit\u011b 31,84% na vzd\u00e1len\u011bj\u0161\u00edch opc\u00edch jsem po\u0159\u00eddil pomoc\u00ed opc\u00ed v\u00a0t\u00e9to vzd\u00e1len\u011bj\u0161\u00ed expiraci ATM Long Straddle<\/strong> na strike 129<\/strong> za cenu (-380 USD \u2013 375 USD) = celkem za n\u00e1klad ve v\u00fd\u0161i -755 USD<\/strong>. Toto je nyn\u00ed m\u00e1 maxim\u00e1ln\u00ed mo\u017en\u00ed ztr\u00e1ta, pokud bych s\u00a0opcemi v\u016fbec nic ned\u011blal a\u017e do jejich expirace a pokud by p\u0159i t\u00e9to expiraci cena FB skon\u010dila p\u0159esn\u011b na cen\u011b strike 129. USD. Rozd\u00edl mezi jednotliv\u00fdmi Implied Volatilitami je t\u00e9m\u011b\u0159 \u0161est procentn\u00edch bod\u016f. Pozice je vid\u011bt na obr\u00e1zku.<\/span><\/p>\n

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\u00a0 Od pond\u011bl\u00ed se podkladov\u00e1 akcie pohybovala dosti l\u00edn\u011b a v\u00edtan\u00fd pohyb v kombinaci s\u00a0n\u00e1r\u016fstem Implied Volatility nenab\u00edzel p\u0159\u00edle\u017eitost k\u00a0mo\u017en\u00e9 arbitr\u00e1\u017ei nakoupen\u00edm Short Straddle na stejn\u00fdch strike ov\u0161em na opc\u00edch s\u00a0bli\u017e\u0161\u00ed expirac\u00ed. P\u0159i p\u00e1tku <\/strong>(\u010dty\u0159i dny po vstupu do pozice) vid\u00edm situaci, jak je zn\u00e1zorn\u011bn\u00e1 na obr\u00e1zku sou\u010dasn\u011b s\u00a0pozic\u00ed, kterou jsem p\u0159i nemo\u017enosti arbitr\u00e1\u017ee zaujal.<\/span><\/p>\n

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\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee v\u00fdpisem Short Straddle na strike 129 bych nedostal v\u00edce pen\u011bz, ne\u017e jsem vynalo\u017eil na vzd\u00e1len\u011bj\u0161\u00ed Long Straddle 129. Arbitr\u00e1\u017e se tedy nekon\u00e1<\/strong>. Odhl\u00e9dnu nyn\u00ed od mo\u017enosti, \u017ee bych mohl cel\u00fd vzd\u00e1len\u011bj\u0161\u00ed Long Straddle 129 prodat<\/strong> a z\u00edskat +789 USD<\/strong> a z\u00a0pozice vystoupit s\u00a0profitem +34 USD<\/strong> (-755 USD n\u00e1klady + 789 USD prodej). Zd\u00e1 se mi to nyn\u00ed m\u00e1lo a vypad\u00e1 to, \u017ee podkladov\u00e1 akcie osciluje kolem ceny, na kter\u00e9 jsem celou op\u010dn\u00ed pozici p\u016fvodn\u011b po\u0159\u00eddil. Opustil jsem nyn\u00ed my\u0161lenku Arbitr\u00e1\u017ee a ukon\u010den\u00ed pozice a za\u010dalo m\u011b nyn\u00ed zaj\u00edmat, jak se nakonec bude vyv\u00edjet Earnings<\/strong>. Vypsal jsem proto na opc\u00edch s bli\u017e\u0161\u00ed expirac\u00ed<\/strong> nesymetrick\u00fd Short Strangle<\/strong> na strike nad\u00a0 a pod m\u00fdm vzd\u00e1len\u011bj\u0161\u00edm Long Straddle 129, a to Short Call na strike 133<\/strong> a d\u00e1le vypsal Short Put na strike 126<\/strong>. Za ob\u011b opce jsem z\u00edskal +410 USD<\/strong>. M\u00e9 n\u00e1klady na celou pozici jsou nyn\u00ed -755 USD za p\u016fvodn\u00ed po\u0159\u00edzen\u00ed + 410 USD v\u00fdpis bli\u017e\u0161\u00edho Short Straddle = -345 USD<\/strong>. V\u00fdpis takov\u00e9ho \u201ebli\u017e\u0161\u00edho\u201c Short Strangle -133\/-126 jsem vytvo\u0159il dva Time Spready<\/strong><\/a><\/span> \u00a0na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce. \u00a0<\/span><\/p>\n

\u00a0 Pro\u010d jsem zvolil takov\u00fd v\u00fdpis? Jsou toti\u017e dva mo\u017en\u00e9 sc\u00e9n\u00e1\u0159e:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Pokud bude po Earnings p\u0159i p\u00e1te\u010dn\u00ed expiraci cena mezi m\u00fdmi strike Short opc\u00ed<\/strong> (mezi 126 a\u017e 133) vypr\u0161\u00ed ob\u011b opce jako bezcenn\u00e9 a j\u00e1 mohu sv\u016fj v\u00fdpis opakovat v\u00a0expiraci m\u00e9ho p\u016fvodn\u00edho Long Straddle 129.<\/span><\/p>\n

\u00a0 2\/<\/strong> Pokud bude po Earnings p\u0159i p\u00e1te\u010dn\u00ed expiraci cena <\/strong>takov\u00e1, \u017ee\u00a0protne n\u011bkter\u00fd z\u00a0m\u00fdch strike<\/strong>, tak z\u00edsk\u00e1m p\u0159i p\u00e1te\u010dn\u00edm p\u0159i\u0159azen\u00ed p\u0159\u00edslu\u0161n\u00e9 akcie. A\u0165 je typ akci\u00ed jak\u00fdkoliv (Long nebo Short), v\u017edy bude hed\u017eov\u00e1n<\/strong> bu\u010f Long Put opc\u00ed 129<\/strong> nebo Long Call opc\u00ed 129<\/strong> s\u00a0p\u016fvodn\u00edho Long Straddle 129. Mohu pak nechat p\u0159i\u0159azen\u00e9 akcie vyd\u011blat, pokud p\u016fjdou dobr\u00fdm sm\u011brem nebo mohu prov\u00e9st Exercise m\u00e9 Long opce a p\u0159i\u0159azen\u00fdch akci\u00ed se zbavit. Mohu pak uva\u017eovat o p\u0159i\u0159azen\u00ed dv\u011bma zp\u016fsoby:\u00a0<\/span><\/p>\n

\u00a0 \u00a0 2A\/ Pokud provedu Exercise Long Call 129 opce<\/span><\/strong>, tak to bude znamenat, \u017ee na sv\u016fj \u00fa\u010det obdr\u017e\u00edm dal\u0161\u00edch +400 USD. Bude to toti\u017e znamenat, \u017ee byla p\u0159i\u0159azena m\u00e1 nov\u011b po\u0159\u00edzen\u00e1 Short Call 133 a j\u00e1 obdr\u017eel 100 x Short akci\u00ed za 133 USD\/kus a j\u00e1 za tento prodej utr\u017e\u00edm +13.300 USD. Exercise Long Call 129 se takov\u00fdch akci\u00ed zbav\u00edm t\u00edm, \u017ee je prod\u00e1v\u00e1m za 129 USD\/kus a na takovou operaci mus\u00edm vynalo\u017eit -12.900 USD, rozd\u00edlem je pak +400 USD<\/strong>, kter\u00e9 mi z\u016fstanou na m\u00e9m \u00fa\u010dtu. <\/span><\/p>\n

\u00a0 \u00a02B\/ Pokud provedu Exercise Long Put 129 opce<\/span><\/strong>, tak to znamen\u00e1, \u017ee byl zasa\u017een m\u016fj strike 126 na Put stran\u011b. V\u00a0obdobn\u00e9m smyslu bych pak obdr\u017eel +300 USD<\/strong> za Exercise ochrann\u00e9 Long Put 129 za stejn\u00e9ho principu jaku u Exercise Long Call 129 v\u00fd\u0161e. <\/span><\/p>\n

\u00a0 \u00a0Zjednodu\u0161en\u011b bych v\u017edy obdr\u017eel tolik pen\u011bz, kolik \u010din\u00ed dolarov\u00e9 vyj\u00e1d\u0159en\u00ed rozsahu strike m\u00e9ho p\u016fvodn\u00edho Long Straddle 129 a vypsan\u00fdch Short opc\u00ed v\u00a0p\u0159edch\u00e1zej\u00edc\u00ed expiraci. Pokud by vy\u0161el sc\u00e9n\u00e1\u0159 s\u00a0prora\u017een\u00edm Short Call 133<\/strong>, tak obdr\u017een\u00fdch +400 USD by ji\u017e p\u0159edstavovalo jist\u00fd profit<\/strong> (-345 USD n\u00e1klady +400 USD) ve v\u00fd\u0161i +55 USD<\/strong> a mohl bych je\u0161t\u011b prodat zbylou Long Put 129<\/strong>. Naopak prora\u017een\u00ed Short Put 126<\/strong> by znamenalo obdr\u017een\u00ed +300 USD \u00a0a pouhou redukci prozat\u00edmn\u00edch n\u00e1klad\u016f<\/strong> (-345 USD n\u00e1klady +300 USD) na novou \u010d\u00e1stku v\u00fd\u0161i pouh\u00fdch -45 USD<\/strong>, ale mohl bych je\u0161t\u011b prodat zbylou Long Call 129<\/strong>, kter\u00e1 by mohla m\u00edt nap\u0159\u00edklad alespo\u0148 tuto cenu.<\/span><\/p>\n

\u00a0\u00a0 Sc\u00e9n\u00e1\u0159 s\u00a0prora\u017een\u00edm strike Short opc\u00ed nov\u00e9ho Short Strangle -133\/-126 se nenaplnil. P\u0159i p\u00e1te\u010dn\u00ed expiraci po Earnings skon\u010dila akcie FB po vla\u017en\u00e9m pohybu na cen\u011b 130,98 a ob\u011b nov\u00e9 Short Opce do nesymetrick\u00e9ho Short Strangle -133\/-126<\/strong> vypr\u0161ely jako bezcenn\u00e9<\/strong>. V\u00a0pond\u011bl\u00ed<\/strong>, kter\u00e9 je v\u00a0expira\u010dn\u00edm t\u00fddnu m\u00e9 p\u016fvodn\u00ed pozice Long Straddle 129, bych pak mohl vid\u011bt n\u00e1sleduj\u00edc\u00ed situaci.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Na obr\u00e1zku je vid\u011bt m\u00e1 p\u016fvodn\u00ed pozice Long Straddle 129. M\u00e9 dosavadn\u00ed n\u00e1klady<\/strong> byly zredukov\u00e1ny na -345 USD<\/strong> a j\u00e1 m\u00e1m mo\u017enost celou pozici ukon\u010dit a vystoupit prodejem t\u00e9to kombinace za (+325 USD + 23 USD) +348 USD. T\u00edm bych cel\u00fd obchod ukon\u010dil s\u00a0mikroskopick\u00fdm profitem +3 USD\u00a0<\/strong>(ten je ov\u0161em v\u017edy lep\u0161\u00ed ne\u017e jak\u00e1koliv ztr\u00e1ta). Proto\u017ee se mi to v\u00a0danou chv\u00edli nel\u00edb\u00ed a zd\u00e1 se mi to m\u00e1lo, tak vypisuji op\u011bt nesymetrick\u00fd Short Straddle -132\/-127<\/strong> nad a pod strike m\u00e9ho Long Straddle 129 a vytv\u00e1\u0159\u00edm tak vlastn\u011b Debit Spready na ka\u017ed\u00e9 stran\u011b op\u010dn\u00edho \u0159et\u011bzce s\u00a0potenci\u00e1lem maxim\u00e1ln\u00edho profitu, kter\u00fd je vyj\u00e1d\u0159en dolarov\u00fdm rozsahem sv\u00fdch strike. Za tento Short Strangle -132\/-127<\/strong> jsem obdr\u017eel +122 USD<\/strong> a redukoval tak n\u00e1klady na pozici na \u010d\u00e1stku (-345 USD + 122 USD) ve v\u00fd\u0161i -223 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Potenci\u00e1l profitu je na Call stran\u011b +300 USD za p\u0159edpokladu prora\u017een\u00ed strike Short Call 132 nebo potenci\u00e1l profitu +200 USD za p\u0159edpokladu, \u017ee bude prora\u017een strike Short Put 127. Prora\u017een\u00ed na Call stran\u011b<\/strong> bude m\u00edt za n\u00e1sledek celkov\u00fd profit<\/strong> (+300 USD \u2013 n\u00e1klady 223 USD) v \u010d\u00e1stce + 77 USD<\/strong> a prora\u017een\u00ed na Put stran\u011b<\/strong> bude m\u00edt za n\u00e1sledek ztr\u00e1tu<\/strong> (+200 USD \u2013 n\u00e1klady 223 USD) ve v\u00fd\u0161i -23 USD<\/strong>.<\/span><\/p>\n

\u00a0 Akcie FB p\u0159i expiraci v\u00a0p\u00e1tek 10.2.2017 ukon\u010dila na cen\u011b 134.19 USD a do\u0161lo tak k\u00a0prora\u017een\u00ed strike Short Call opce a k\u00a0celkov\u00e9mu profitu +77 USD<\/strong>. T\u00edm jsem ukon\u010dil cel\u00fd Earnings obchod, ve kter\u00e9m mi nevy\u0161la Arbitr\u00e1\u017e. P\u0159i investici -755 USD je to zhodnocen\u00ed t\u00e9m\u011b\u0159 9% a mohu mluvit o nevyda\u0159en\u00e9m obchodu, kter\u00fd nesplnil to, co jsem od n\u011bj p\u016fvodn\u011b o\u010dek\u00e1val<\/span><\/p>\n

\n

\u00a0 \u00a0Co jsem vlastn\u011b cht\u011bl t\u00edmto \u010dl\u00e1nkem \u0159\u00edct? N\u011bco levn\u011b nakoupit a pot\u00e9 to dr\u00e1\u017e prodat je pochopiteln\u00e9 pro ka\u017ed\u00e9ho. V op\u010dn\u00edm tradingu se n\u00e1m nab\u00edz\u00ed mnoho p\u0159\u00edle\u017eitost\u00ed, jak takovou z\u00e1kladn\u00ed obchodn\u00ed techniku p\u0159iv\u00e9st k v\u011bt\u0161\u00ed dokonalosti. V norm\u00e1ln\u00edm tr\u017en\u00edm prost\u0159ed\u00ed by takov\u00fd n\u00e1kup\/prodej byl obt\u00ed\u017en\u011bj\u0161\u00ed, proto\u017ee se situace a okolnosti mohou vyvinout r\u016fzn\u011b a nem\u016f\u017eeme je jakkoliv p\u0159edv\u00eddat. V obdob\u00ed Earnings jsou ale karty „p\u0159\u00edzniv\u011bji rozd\u00e1ny“ a m\u016f\u017eeme vyu\u017e\u00edt tyto neobvykl\u00e9 okolnosti ve sv\u016fj prosp\u011bch. V\u0161echny uk\u00e1zky obchod\u016f jsou demonstrativn\u00ed a vyu\u017e\u00edvaj\u00ed Ask\/Bid ceny zobrazuj\u00edc\u00ed se v platform\u011b TOS. Pokud jsem cht\u011bl uk\u00e1zat nap\u0159\u00edklad Arbitr\u00e1\u017e strategi\u00ed v tomto \u010dl\u00e1nku, tak jsem striktn\u011b vych\u00e1zel z t\u011bchto Ask\/Bid cen a p\u0159esto se jasn\u00e9, \u017ee se takov\u00e9 Arbitr\u00e1\u017en\u00ed p\u0159\u00edle\u017eitosti daj\u00ed opravdu obchodovat. V re\u00e1lu bych toti\u017e patrn\u011b nakoupil Long opce levn\u011bji ne\u017e mi ukazuje analytick\u00e1 platforma ceny Ask a tak\u00e9 bych n\u00e1sledn\u011b opa\u010dnou pozici l\u00e9pe prodal, ne\u017e za nab\u00edzen\u00e9 Bid ceny, t\u00edm by cel\u00e9 uk\u00e1zky nabyly na v\u011bt\u0161\u00ed dynami\u010dnosti. Smyslem demonstrac\u00ed je ale uk\u00e1zat, \u017ee takov\u00e9 obchody lze celkem jednodu\u0161e prov\u00e1d\u011bt a nejsou to n\u011bjak\u00e9 akademick\u00e9 p\u0159\u00edstupy, kter\u00e9 z\u016fstanou pouze „na pap\u00edru“. Z\u00e1kladem \u010dl\u00e1nk\u016f je pak sd\u011blen\u00ed, \u017ee pozorov\u00e1n\u00ed v\u00fdvoje Implied Volatility m\u00e1 zcela jist\u011b sv\u016fj smysl a m\u011blo by b\u00fdt neodmyslitelnou sou\u010d\u00e1st\u00ed op\u010dn\u00edho tradingu :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 Zlat\u00e1 fyzika. Pokud pojedu z\u00a0Prahy do Brna a v\u00edm, \u017ee je to 200 km, tak pokud pojedu stovkou, budu tam za dv\u011b hodiny. K\u00a0tomu sta\u010d\u00ed pr\u016fm\u011brn\u00e9mu fyzikovi jednoduch\u00fd vzorec o vztahu rychlosti a vzd\u00e1lenosti mezi dv\u011bma pevn\u00fdmi body trasy. Pokud bych si, jako fyzik, takovou cestovatelskou ud\u00e1lost cht\u011bl modelovat, Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":796,"comment_status":"open","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":[35],"tags":[36,18],"class_list":["post-783","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita","tag-earnings","tag-implied-volatility"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/09\/E-6.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-cD","jetpack-related-posts":[{"id":1301,"url":"https:\/\/dobretrejdy.com\/?p=1301","url_meta":{"origin":783,"position":0},"title":"VX Futures \u2013 Volatility Spread \u2013 II.","author":"dobretrejdy :c)","date":"8.1.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00edm, co jsou VX futures a v\u00edm, \u010demu se \u0159\u00edk\u00e1 jejich Spread, nav\u00edc m\u00e1m mo\u017enost z\u00edskat zdarma vhodn\u00e1 data. To by mohl b\u00fdt dobr\u00fd za\u010d\u00e1tek pro bli\u017e\u0161\u00ed n\u00e1hled na mo\u017en\u00e9 spreadov\u00e9 obchodov\u00e1n\u00ed. V\u00a0minul\u00e9m \u010dl\u00e1nku jsem tak\u00e9 popisoval p\u0159ijatou metodu, kterou budu cht\u00edt spreadov\u00e9 pozice pozorovat, abych mohl vyhodnotit p\u0159\u00edpadn\u00e9\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":2423,"url":"https:\/\/dobretrejdy.com\/?p=2423","url_meta":{"origin":783,"position":1},"title":"Syntetick\u00e9 pozice – V.","author":"dobretrejdy :c)","date":"24.9.2018","format":false,"excerpt":"\u00a0 \u00a0Vyu\u017eit\u00ed rovnice Call\/Put Parity o vztahu cen op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike vygenerovalo mo\u017enosti, jak libovoln\u011b p\u0159ech\u00e1zet z\u00a0jednoho typu op\u010dn\u00ed pozice do opa\u010dn\u00e9 a \u010dinit tak pokud mo\u017eno efektivn\u011b, toto bylo p\u0159edm\u011btem minul\u00fdch \u010dl\u00e1nk\u016f. Jestli je to v\u00a0danou chv\u00edli v\u00fdhodn\u00e9 je odvisl\u00e9 od aktu\u00e1ln\u00ed tr\u017en\u00ed situace vzhledem k\u00a0aktu\u00e1ln\u00ed profitabilit\u011b\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/09\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":783,"position":2},"title":"VIX Index se obchoduje?","author":"dobretrejdy :c)","date":"19.11.2017","format":false,"excerpt":"\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat. Tato jednoduch\u00e1 v\u011bta je p\u0159\u00ed\u010dinou \u00fadivu mnoha op\u010dn\u00edch (i jin\u00fdch) obchodn\u00edk\u016f a v\u011bt\u0161inou bezpe\u010dn\u011b vyvol\u00e1 obs\u00e1hlou polemiku. V\u00a0t\u00e9to jednoduch\u00e9 v\u011bt\u011b se tak\u00e9 skr\u00fdv\u00e1 mnoho obchodn\u00edch ne\u00fasp\u011bch\u016f pramen\u00edc\u00edch z\u00a0neznalosti fungov\u00e1n\u00ed tohoto n\u00e1stroje. V\u00a0\u010dl\u00e1nku VIX Index \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3111,"url":"https:\/\/dobretrejdy.com\/?p=3111","url_meta":{"origin":783,"position":3},"title":"Delta Neutral – V.","author":"dobretrejdy :c)","date":"13.4.2019","format":false,"excerpt":"\u00a0 Nakoupit Long Call op\u010dn\u00ed kontrakt a vytvo\u0159it Delta Neutr\u00e1ln\u00ed miniportfolio s\u00a0kladnou Gamma prodejem odpov\u00eddaj\u00edc\u00edho mno\u017estv\u00ed Short akci\u00ed bylo p\u0159edm\u011btem minul\u00e9ho \u010dl\u00e1nku. Dal\u0161\u00ed po\u0159izov\u00e1n\u00ed Delta Neutrality prodejem odpov\u00eddaj\u00edc\u00edho po\u010dtu akci\u00ed podle cenov\u00e9ho v\u00fdvoje bylo pops\u00e1no na jednoduch\u00e9m p\u0159\u00edkladu s\u00a0akciemi PEP p\u0159i mo\u017enosti vyu\u017eit\u00ed platformy TWS brokera Interactive Brokers. \u010cl\u00e1nek m\u011bl\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed kombinace\u201c","block_context":{"text":"Op\u010dn\u00ed kombinace","link":"https:\/\/dobretrejdy.com\/?cat=4"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/04\/excel-konecny.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":308,"url":"https:\/\/dobretrejdy.com\/?p=308","url_meta":{"origin":783,"position":4},"title":"Delta","author":"dobretrejdy :c)","date":"4.5.2017","format":false,"excerpt":"\u00a0 \u00a0Delta je rozd\u00edl. Delta Praha \u2013 Brno je 200 (kilometr\u016f), o tom ale \u010dl\u00e1nek nebude. Bude to o Delta op\u010dn\u00edch kontrakt\u016f. Porozum\u011bn\u00ed Delta je jednou ze z\u00e1kladn\u00edch dovednost\u00ed, kterou by m\u011bl disponovat ka\u017ed\u00fd op\u010dn\u00ed trader. Toto jednoduch\u00e9 \u0159eck\u00e9 p\u00edsmeno ozna\u010duje m\u00edru z\u00e1vislosti ceny opce na pohybu podkladov\u00e9ho aktiva. 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