{"id":907,"date":"2017-10-23T17:14:00","date_gmt":"2017-10-23T15:14:00","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=907"},"modified":"2022-02-13T15:10:12","modified_gmt":"2022-02-13T13:10:12","slug":"beta-ii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=907","title":{"rendered":"Beta – II."},"content":{"rendered":"

\u00a0 \u00a0\u201eZdra\u017een\u00ed m\u00e1sla budeme kompenzovat zlevn\u011bn\u00edm lokomotiv\u201c by mohlo b\u00fdt vysv\u011btlen\u00ed komunistick\u00e9ho ideologa v\u00a0reakci na vysok\u00e9 ceny obl\u00edben\u00e9 potraviny v\u00a0dob\u011b p\u0159ed pades\u00e1ti lety. Kuri\u00f3zn\u00ed my\u0161lenka by ale mohla b\u00fdt z\u00e1kladn\u00edm stavebn\u00edm kamenem, jak efektivn\u011b postupovat p\u0159i hled\u00e1n\u00ed zp\u016fsobu, jak zajistit portfolia cenn\u00fdch pap\u00edr\u016f.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku<\/strong><\/span><\/a> \u00a0jsem uk\u00e1zal, jak vypo\u010d\u00edtat hodnotu Beta<\/strong>, charakterizuj\u00edc\u00ed vztah komponent portfolia k\u00a0mo\u017en\u00fdm zaji\u0161\u0165ovac\u00edm n\u00e1stroj\u016fm a pokusil se aplikovat na fiktivn\u00ed akciov\u00e9 portfolio jednoduch\u00e9 zaji\u0161t\u011bn\u00ed formou futures kontraktu. Nebylo to ide\u00e1ln\u00ed, proto\u017ee pou\u017eit\u00e9 zaji\u0161\u0165ovac\u00ed futures prokazovalo sv\u00e9 slu\u017eby pouze v\u00a0p\u0159\u00edpad\u011b poklesu ceny portfolia, v\u00a0p\u0159\u00edpad\u011b r\u016fstu v\u0161ak tuto vlastnost ztr\u00e1celo a naopak, bylo zdrojem ztr\u00e1ty p\u0159evy\u0161uj\u00edc\u00ed v\u00fdkonnost portfolia.<\/span><\/p>\n

\u00a0 Op\u010dn\u00ed obchodn\u00edk m\u016f\u017ee s\u00e1hnout po lep\u0161\u00edm n\u00e1stroji k\u00a0zaji\u0161t\u011bn\u00ed<\/strong>, a t\u00edm jsou op\u010dn\u00ed kontrakty<\/strong>. Pokus\u00edm se na n\u00e1sleduj\u00edc\u00edch uk\u00e1zk\u00e1ch demonstrovat, jak by si vedlo miniportfolio sestaven\u00e9 ze 400 akci\u00ed AAPL<\/strong>, 200 akci\u00ed ADSK<\/strong> a 100 akci\u00ed LVS<\/strong> z\u00a0minul\u00e9ho \u010dl\u00e1nku. Jedn\u00e1 se o jednoduch\u00e9 portfolio sestaven\u00e9 z\u00a0p\u0159ev\u00e1\u017en\u011b technologick\u00fdch akci\u00ed, kter\u00e9 jsem po\u0159\u00eddil dne 13.10.2016, tedy zhruba p\u0159ed rokem (vzhledem k\u00a0dob\u011b kdy p\u00ed\u0161u tento \u010dl\u00e1nek) a jeho po\u0159izovac\u00ed hodnota je 66.459 USD<\/strong>. Pokud bych vych\u00e1zel z\u00a0marginov\u00e9ho overnight po\u017eadavku u m\u00e9ho brokera (Interactive Brokers) ve v\u00fd\u0161i 50%, tak by takov\u00e9 portfolio bylo zat\u00ed\u017eeno blokov\u00e1n\u00edm zhruba 34.000 USD, co\u017e p\u0159edstavuje zhruba t\u0159i\u010dtvrt\u011bmilionu \u010desk\u00fdch korun. Pro toto portfolio jsem si vypo\u010d\u00edtal jednotliv\u00e9 hodnoty Beta<\/strong> pro obdob\u00ed rok zp\u011bt<\/strong> od doby po\u0159\u00edzen\u00ed akci\u00ed a provedl jejich v\u00e1\u017een\u00fd pr\u016fm\u011br<\/strong> stejn\u011b, jako v\u00a0minul\u00e9m \u010dl\u00e1nku. T\u00edmto v\u00e1\u017een\u00fdm pr\u016fm\u011brem jsem potom upravil dolarovou po\u0159izovac\u00ed hodnotu m\u00e9ho portfolia<\/strong> a situace by pak po t\u011bchto \u00faprav\u00e1ch vypadala tak, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku. Nyn\u00ed jsem ve sv\u00e9m v\u00fdpo\u010dtu Beta bral v\u00a0potaz pouze vztah k\u00a0technologick\u00e9mu indexu Nasdaq 100<\/strong>, kter\u00fd se uk\u00e1zal jako t\u011bsn\u011bj\u0161\u00ed, ne\u017e vztah m\u00fdch akci\u00ed k\u00a0\u0161irok\u00e9mu indexu S&P\u00a0500.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Pro rekapitulaci uv\u00e1d\u00edm, \u017ee (1)<\/strong> p\u0159edstavuje dolarovou hodnotu<\/strong> m\u00e9 investice, (2)<\/strong> je vypo\u010d\u00edtan\u00fd v\u00e1\u017een\u00fd pr\u016fm\u011br Beta<\/strong> pro m\u00e9 t\u0159i akcie z\u00a0portfolia, kter\u00fd zohled\u0148uje jejich dolarovou v\u00e1hu v\u00a0portfoliu, (3)<\/strong> zobrazuje dolarovou hodnotu m\u00e9ho portfolia vyn\u00e1sobenou v\u00e1\u017eenou Beta<\/strong>, za pov\u0161imnut\u00ed pak stoj\u00ed, \u017ee hodnota v\u00e1\u017een\u00e9 Beta je \u201et\u00e9m\u011b\u0159 jedna\u201c, proto se nebude dolarov\u00e1 hodnota portfolia od upraven\u00e9 hodnoty p\u0159\u00edli\u0161 li\u0161it a d\u00e1v\u00e1 mi ur\u010ditou m\u00edru jistoty, \u017ee pohyb portfolia by mohl b\u00fdt v\u00a0budoucnosti shodn\u00fd s\u00a0pohybem indexu Nasdaq 100. (4)<\/strong> zachycuje hodnotu NDX ke dni po\u0159\u00edzen\u00ed<\/strong> m\u00e9ho portfolia.<\/span><\/p>\n

\n

ATM Long Put<\/span><\/strong><\/h1>\n

\u00a0\u00a0 V\u00a0situaci p\u0159ed jedn\u00edm rokem, ze kter\u00e9ho poch\u00e1z\u00ed m\u016fj v\u00fd\u0161e uveden\u00fd obr\u00e1zek, jsem se rozhodl, \u017ee sv\u00e9 portfolio zajist\u00edm ATM Long Put opc\u00ed<\/strong> podkladov\u00e9ho futures NQ<\/strong> – E-mini Nasdaq 100<\/strong>, jeho\u017e hodnota se ke dni po\u0159\u00edzen\u00ed (13.10.2016) pohybovala kolem hranice 4800 bod\u016f<\/strong>. Pohledem do grafu mus\u00edm konstatovat, \u017ee jak\u00fdkoliv budouc\u00ed sc\u00e9n\u00e1\u0159 budouc\u00edho v\u00fdvoje je mo\u017en\u00fd.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0 Na tomto 4800 strike<\/strong> jsem po\u0159\u00eddil Long Put 4800<\/strong> opci za podm\u00ednek podle n\u00e1sleduj\u00edc\u00edho obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Parametry po\u0159\u00edzen\u00e9ho op\u010dn\u00edho kontraktu:<\/p>\n

    \n
  1. Zvolil jsem si expiraci za 336 dn\u016f<\/strong>, horizont zhruba jeden rok je obdob\u00ed, kdy bych cht\u011bl portfolio dr\u017eet a m\u00edt jej zaji\u0161t\u011bn\u00e9<\/span><\/li>\n
  2. Hodnota bodu pohybu<\/strong> op\u010dn\u00edho kontraktu o jeden bod je 20 USD<\/strong><\/span><\/li>\n
  3. Cena opce je 334 bod\u016f<\/strong>, za ATM Long Put 4800 op\u010dn\u00ed kontrakt jsem tak utratil 334*20 USD = -6.860 USD<\/span><\/li>\n
  4. Dolarov\u00e1 hodnota<\/strong> m\u00e9ho op\u010dn\u00edho zaji\u0161\u0165ovac\u00edho kontraktu je Hodnota strike*Hodnota bodu, tedy 4800*20USD = 96.000 USD<\/span><\/li>\n
  5. Po\u010det <\/strong>po\u0159izovan\u00fdch op\u010dn\u00edch kontrakt\u016f<\/strong> k\u00a0ide\u00e1ln\u00edmu zaji\u0161t\u011bn\u00ed je pod\u00edlem Dolarov\u00e9 hodnoty m\u00e9ho portfolia upraven\u00e9ho o Beta z\u00a0p\u0159edchoz\u00edho obr\u00e1zku a Dolarov\u00e9 hodnoty m\u00e9ho op\u010dn\u00edho zaji\u0161\u0165ovac\u00edho kontraktu podle p\u0159edch\u00e1zej\u00edc\u00edho bodu, tedy 68.032\/96.000 = 0.71. Sta\u010dilo by mi tak „t\u0159i\u010dtvrt\u011b“ op\u010dn\u00edho kontraktu k\u00a0zaji\u0161t\u011bn\u00ed. Toto ale nen\u00ed prakticky mo\u017en\u00e9, proto mus\u00edm po\u0159\u00eddit jeden takov\u00fd Long Put 4800 op\u010dn\u00ed kontrakt<\/span><\/li>\n<\/ol>\n

    \u00a0\u00a0 P\u0159i hodnot\u011b portfolia ve v\u00fd\u0161i 66.459 USD jsem po\u0159\u00eddil ochranu ve v\u00fd\u0161i -6.860 USD, vynalo\u017eil jsem tak 10 % hodnoty portfolia<\/strong> na poji\u0161t\u011bn\u00ed<\/strong> proti propadu trh\u016f. Z\u00a0logiky op\u010dn\u00edho kontraktu Long Put pak vypl\u00fdv\u00e1, \u017ee bych m\u011bl b\u00fdt proti propadu dokonale zaji\u0161t\u011bn a tak\u00e9 to, \u017ee portfolio by m\u011blo v\u00a0p\u0159\u00edpad\u011b uptrendu na takov\u00e9 zaji\u0161t\u011bn\u00ed vyd\u011blat, jinak bude po\u0159\u00edzen\u00ed zaji\u0161t\u011bn\u00ed p\u0159edstavovat mo\u017en\u00e1 i v\u00fdznamnou polo\u017eku tvo\u0159\u00edc\u00ed mo\u017enou budouc\u00ed ztr\u00e1tu, pokud uptrend nebude dostate\u010dn\u00fd.<\/span><\/p>\n

    \u00a0 P\u0159esunu-li se ke dni expirace m\u00e9ho zaji\u0161t\u011bn\u00ed (14.9.2017), tak mohu zjistit, \u017ee k\u00a0uptrendu opravdu do\u0161lo. Index Nasdaq 100 se pohyboval okolo hranice 5980 bod\u016f a za necel\u00fd rok tak pos\u00edlil o v\u00edce ne\u017e 1100 bod\u016f<\/strong>. To je neuv\u011b\u0159iteln\u00fd v\u00fdsledek, kter\u00fd m\u00e1 samoz\u0159ejm\u011b dopad na m\u00e9 zaji\u0161t\u011bn\u00ed \u2013 nebylo ho zapot\u0159eb\u00ed a situace by pak vypadala jako na obr\u00e1zku<\/span><\/p>\n

    \"\"<\/p>\n

      \n
    1. Hodnota<\/strong> pos\u00edlen\u00e9ho indexu Nasdaq100<\/strong> ke dni expirace zaji\u0161t\u011bn\u00ed<\/span><\/li>\n
    2. Akciov\u00e9 portfolio by pos\u00edlilo o skv\u011bl\u00fdch +26.356 USD<\/strong><\/span><\/li>\n
    3. Long Put 4800<\/strong> by vypr\u0161ela jako bezcenn\u00e1<\/strong> a p\u0159inesla by ztr\u00e1tu ve v\u00fd\u0161i jejich po\u0159izovac\u00edch n\u00e1klad\u016f<\/span><\/li>\n
    4. Celkov\u00e1 hodnota profitu m\u00e9ho portfolia ke dni expirace<\/span><\/li>\n<\/ol>\n

      \u00a0\u00a0 Pravd\u011bpodobn\u011b bych m\u011bl b\u00fdt velmi nespokojen s\u00a0v\u00fddajem na zaji\u0161t\u011bn\u00ed, kter\u00e9 se uk\u00e1zalo jako zbyte\u010dn\u00e9. Z\u00a0dne\u0161n\u00edho pohledu by to tak mohlo vypadat, ale proto\u017ee j\u00e1 osobn\u011b do budoucnosti nevid\u00edm, tak radost z\u00a0v\u00fdd\u011blku by zcela ur\u010dit\u011b p\u0159ev\u00e1\u017eila nad zklam\u00e1n\u00edm s\u00a0v\u00fddajem na \u201ezbyte\u010dn\u00e9\u201c zaji\u0161t\u011bn\u00ed.<\/span><\/p>\n

      Pokles trh\u016f<\/strong><\/span><\/h2>\n

      \u00a0\u00a0 Pro plasti\u010dnost bych si cht\u011bl vyzkou\u0161et modelovat situaci<\/strong>, kdyby m\u00e9 portfolio takto z\u00e1vratn\u011b nepos\u00edlilo, ale naopak by v\u00a0pr\u016fb\u011bhu jeho dr\u017een\u00ed oslabovalo. Budu pak uva\u017eovat o 10% oslaben\u00ed trh\u016f<\/strong>, co\u017e je m\u00edrn\u011b katastrofick\u00fd sc\u00e9n\u00e1\u0159. Mohl bych pak vid\u011bt simulaci nap\u0159\u00edklad takov\u00e9 situace p\u0159i expiraci m\u00e9 zaji\u0161\u0165ovac\u00ed opce jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

      \"\"<\/p>\n

        \n
      1. Cena indexu Nasdaq 100<\/strong> by mohla m\u00edt moment\u00e1ln\u00ed cenu 4315 bod\u016f<\/strong><\/li>\n
      2. P\u0159i poklesu cen akci\u00ed o 10 % by byla ztr\u00e1ta m\u00e9ho portfolia -6.646 USD<\/strong><\/li>\n
      3. M\u00e1 zaji\u0161\u0165ovac\u00ed opce Long Put 4800<\/strong> by byla „v pen\u011bz\u00edch\u201c<\/strong> a m\u011bla by hodnotu nap\u0159\u00edklad 485 bod\u016f, tedy dolarovou hodnotu 485*20 USD = +9.700 USD. Proto\u017ee jsem ji po\u0159\u00eddil za -6.860 USD, byl by \u010dist\u00fd profit na tomto zaji\u0161t\u011bn\u00ed +9.700 USD \u2013 6.860 USD = +2.840 USD<\/strong><\/span><\/li>\n
      4. Profit na zaji\u0161t\u011bn\u00ed by \u010d\u00e1ste\u010dn\u011b kompenzoval ztr\u00e1tu portfolia<\/strong>, kter\u00e1 by byla nyn\u00ed -3.806 USD<\/strong>. Long Put 4800 opce by tak sanovala 43% vytvo\u0159en\u00e9 ztr\u00e1ty akciov\u00fdm portfoliem.<\/span><\/li>\n<\/ol>\n

        \u00a0\u00a0 Jestli\u017ee tedy po\u0159\u00edzen\u00ed \u010dist\u00e9ho futures kontraktu z\u00a0minul\u00e9ho \u010dl\u00e1nku ide\u00e1ln\u011b kompenzovalo ztr\u00e1tu akciov\u00e9ho portfolia v\u00a0dob\u011b jeho propadu, tak zaji\u0161t\u011bn\u00ed op\u010dn\u00edmi kontrakty podle v\u00fd\u0161e uveden\u00e9ho p\u0159\u00edkladu p\u0159in\u00e1\u0161\u00ed prvn\u00ed evidentn\u00ed nev\u00fdhodu<\/strong>, kterou je existence op\u010dn\u00edho pr\u00e9mia<\/strong>, tedy ceny \u010dasu, po kterou chci m\u00edt portfolio zaji\u0161t\u011bno. Proto\u017ee v\u00a0p\u0159\u00edpad\u011b Long Put opce jsem p\u0159i jej\u00edm po\u0159\u00edzen\u00ed pr\u00e9mium zaplatil (\u2026a bylo to -6.860 USD), mohu pak jeho sn\u00ed\u017een\u00ed \u0159e\u0161it tak, \u017ee se budu posouvat p\u0159i po\u0159izov\u00e1n\u00ed \u201ed\u00e1le od pen\u011bz\u201c, tedy na ni\u017e\u0161\u00ed strike. Utrat\u00edm sice m\u00e9n\u011b za zaji\u0161t\u011bn\u00ed, ale na druhou stranu si nech\u00e1m v\u011bt\u0161\u00ed prostor pro nezaji\u0161t\u011bnou mo\u017enost ztr\u00e1ty. Na vynalo\u017een\u00e9 pen\u00edze na Long Put se tak\u00e9 mohu pod\u00edvat tak, \u017ee mi k\u00a0dokonal\u00e9mu zaji\u0161t\u011bn\u00ed podle p\u0159edch\u00e1zej\u00edc\u00edho v\u00fdpo\u010dtu sta\u010dilo pouze t\u0159i\u010dtvrt\u011b takov\u00e9ho Long Put kontraktu, pro jeho ned\u011blitelnost jsem ale musel po\u0159\u00eddit cel\u00fd op\u010dn\u00ed kontrakt, poskytuje mi to sice dokonalej\u0161\u00ed zaji\u0161t\u011bn\u00ed, ale plat\u00edm tak\u00e9 vy\u0161\u0161\u00ed cenu. \u00a0\u00a0<\/span><\/p>\n

        \n

        OTM Short Call<\/span><\/strong><\/h1>\n

        \u00a0\u00a0 Zaplatit pr\u00e9mium za Long Put opci je jedna mo\u017enost. Druhou jednoduchou mo\u017enost\u00ed je pr\u00e9mium p\u0159ijmout<\/strong>. M\u016f\u017eu tak k\u00a0po\u0159\u00edzen\u00e9mu portfoliu, nap\u0159\u00edklad k\u00a0m\u00e9mu modelov\u00e9mu miniportfoliu, po\u0159\u00eddit vypsanou Short Call opci jako jej\u00ed zaji\u0161t\u011bn\u00ed. Proto\u017ee nemohu v\u016fbec p\u0159edpokl\u00e1dat, jak\u00fdm sm\u011brem se trhy po vstupu do pozice vydaj\u00ed, budu jednodu\u0161e p\u0159edpokl\u00e1dat, \u017ee by technologick\u00e9 trhy mohly za dobu dr\u017een\u00ed pos\u00edlit o +6%. V\u00a0t\u00e9to vzd\u00e1lenosti pak vyp\u00ed\u0161u dne 13.10.2016 (den po\u0159\u00edzen\u00ed akci\u00ed) p\u0159\u00edslu\u0161nou Short Call opci<\/strong>, t\u00edmto strike je hodnota 5100<\/strong> pro Nasdaq100.<\/span><\/p>\n

        \"\"<\/p>\n

        \u00a0\u00a0\u00a0 Tento v\u00fdpis by pak mohl m\u00edt tyto parametry, kter\u00e9 lze vypozorovat na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

        \"\"<\/p>\n

        \u00a0\u00a0 Short Call 5100 opci jsem vypsal za 172 bod\u016f. Jej\u00edm v\u00fdpisem jsem z\u00edskal 172*20 USD = +3.440 USD<\/strong>. Pokud bych tedy p\u0159ipustil, d\u00edky fungov\u00e1n\u00ed Beta, \u017ee jsem si tak na sv\u016fj \u00fa\u010det p\u0159ipsal pr\u00e9mium ve v\u00fd\u0161i +3.440 USD, jsem tak chr\u00e1n\u011bn proti propadu hodnoty m\u00e9ho portfolia o hodnotu 66.459 USD (Dolarov\u00e1 hodnota portfolia)\/3.440 USD(p\u0159ijat\u00e9 pr\u00e9mium) = -5.17%<\/strong>. Pokud by ale hodnota portfolia stoupala a trhy by byly v\u00a0uptrendu, musel bych po\u010d\u00edtat s\u00a0omezen\u00fdm profitem z\u00a0takov\u00e9ho uptrendu, proto\u017ee p\u0159ekon\u00e1n\u00edm strike m\u00e9 zaji\u0161\u0165uj\u00edc\u00ed NDX Short Call 5100 opce by byla p\u0159i expiraci tato opce „v\u00a0pen\u011bz\u00edch“, byla by vypo\u0159\u00e1d\u00e1na \u201ecash\u201c a hodnota tohoto vypo\u0159\u00e1d\u00e1n\u00ed by ubrala z\u00a0m\u00e9ho vytvo\u0159en\u00e9ho profitu na akciov\u00e9m portfoliu. Toto mohu demonstrovat na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

        \"\"<\/p>\n

          \n
        1. Hodnota<\/strong> pos\u00edlen\u00e9ho indexu Nasdaq100<\/strong> ke dni expirace zaji\u0161t\u011bn\u00ed<\/span><\/li>\n
        2. Hodnota strike Short Call<\/strong> \u00a0\u00a0<\/span><\/li>\n
        3. Ztr\u00e1ta p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed Short Call opce, kter\u00e1 je \u201ev pen\u011bz\u00edch\u201c. Po\u0159\u00edzen\u00ed za +172 bod\u016f a likvidace za -868 bod\u016f = -696 bod\u016f*20 = -13.920 USD<\/strong><\/span><\/li>\n
        4. Celkov\u00fd v\u00fdkon portfolia<\/strong> po vypo\u0159\u00e1d\u00e1n\u00ed zaji\u0161t\u011bn\u00ed<\/span><\/li>\n<\/ol>\n

          \u00a0 \u00a0Z\u00a0jednoduch\u00e9ho pohledu jsem vlastn\u011b po\u0159\u00eddil v\u00a0m\u00e9m portfoliu Covered Call<\/strong>, kdy podkladem<\/strong> bylo cel\u00e9 portfolio<\/strong> a \u201enad n\u00edm\u201c jsem vypsal adekv\u00e1tn\u00ed po\u010det Short Call opc\u00ed<\/strong>. Po zasa\u017een\u00ed strike opce m\u00e9ho Covered Call a n\u00e1sledn\u00e9m pokra\u010duj\u00edc\u00edm uptrendu, bude portfolio (d\u00edky Beta rovn\u00e9 t\u00e9m\u011b\u0159 jedn\u00e9), nab\u00edrat na hodnot\u011b stejn\u011b, jako budu ztr\u00e1cet na vypsan\u00e9 Short Call opci. Dalo by se tak \u0159\u00edct, \u017ee dr\u017eet takov\u00e9 portfolio by nem\u011blo d\u00e1le smysl, proto\u017ee to, co \u201evyd\u011bl\u00e1v\u00e1m na akci\u00edch\u201c tak \u201eodevzd\u00e1v\u00e1m m\u00e9mu zaji\u0161t\u011bn\u00ed\u201c. Dobr\u00fdm \u0159e\u0161en\u00edm by pak bylo rolov\u00e1n\u00ed takov\u00e9ho zaji\u0161t\u011bn\u00ed p\u0159i p\u0159ekon\u00e1n\u00ed nebo dotyku strike m\u00e9 Short Call opce, pokud by v\u00a0danou chv\u00edli d\u00e1valo smysl.<\/span><\/p>\n

          \u00a0 Nap\u0159\u00edklad dne 24.1.2017, kdy se cena NDX pohyboval kolem hranice 5101 bod\u016f, jsem se rozhodl, \u017ee svou Short Call 5100 vykoup\u00edm zp\u011bt a posunu jej\u00ed strike o 100 bodu v\u00fd\u0161e. Likvidace takov\u00e9, nyn\u00ed ATM Short Call 5100 opce, by m\u011b st\u00e1la -261 bod\u016f a vyps\u00e1n\u00edm Short Call na vy\u0161\u0161\u00edm strike 5200 bod\u016f ve stejn\u00e9 expiraci bych mohl z\u00edskat +198 bod\u016f. P\u016fvodn\u00ed Short Call 5100 jsem po\u0159\u00eddil za +172 bod\u016f. Potom v\u00fdpo\u010det +172-261+198 = +109 bod\u016f*20 USD = +2.180 USD. Takovou operac\u00ed bych upravil p\u016fvodn\u00ed p\u0159\u00edjem z\u00a0v\u00fdpisu m\u00e9 p\u016fvodn\u00ed Short Call opce na \u010d\u00e1stku +2.180 USD, ale jej\u00ed strike by byl o 100 bod\u016f v\u00fd\u0161e na hodnot\u011b 5200. Po pokra\u010duj\u00edc\u00edm uptrendu do expirace by pak celkov\u00e1 hodnota portfolia byla takov\u00e1, jak je vid\u011bt na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

          \"\"<\/p>\n

          \u00a0\u00a0 Celkov\u011b bych si rolov\u00e1n\u00edm polep\u0161il o +740 USD<\/strong>.<\/span><\/p>\n

          \n

          ATM Long Put + OTM Short Call<\/span><\/strong><\/h1>\n

          \u00a0\u00a0 Zna\u010dn\u011b logick\u00e9 by po prozkoum\u00e1n\u00ed obou p\u0159edchoz\u00edch mo\u017enost\u00ed bylo prov\u00e9st jej\u00ed kombinaci. Vynalo\u017eit tak prost\u0159edky na n\u00e1kup ATM Long Put<\/strong> opce a tento n\u00e1kup si \u201evylep\u0161it\u201c vyps\u00e1n\u00edm OTM Short Call<\/strong> opce. Ve zjednodu\u0161en\u00e9 p\u0159edstav\u011b bych po\u0159izoval op\u010dn\u00ed kombinaci Collar<\/strong><\/a><\/span>\u00a0, kdy\u017e podkladov\u00fdm aktivem by bylo cel\u00e9 m\u00e9 portfolio.<\/span><\/p>\n

          \"\"<\/p>\n

          \u00a0 \u00a0Kombinac\u00ed p\u0159edchoz\u00edch dvou mo\u017enost\u00ed bych pak Collar po\u0159\u00eddil tak, \u017ee bych koupil ATM Long Put 4800<\/strong> a vypsal Short Call<\/strong> ve vzd\u00e1lenosti +6% od strike Long Put, tedy na strike 5100<\/strong>. Zaji\u0161t\u011bn proti propadu bych p\u0159edpokl\u00e1dal r\u016fst technologick\u00fdch trh\u016f o \u0161est procent.<\/span><\/p>\n

          \"\"<\/p>\n

          \u00a0 Proto\u017ee se tato progn\u00f3za nakonec potvrdila, dopadl by cel\u00fd Collar, jako n\u00e1stroj zaji\u0161t\u011bn\u00ed p\u0159i expiraci zaji\u0161\u0165ovac\u00edch opc\u00ed n\u00e1sledovn\u011b<\/span><\/p>\n

          \"\"<\/p>\n

            \n
          1. Vytrval\u00fd uptrend trh\u016f<\/strong> zp\u016fsobil, \u017ee zaji\u0161\u0165ovac\u00ed Long Put 4800<\/strong> nakonec vypr\u0161ela jako bezcenn\u00e1<\/strong>, kdy\u017e Short Call 5100<\/strong> z\u016fstala hluboko \u201ev pen\u011bz\u00edch\u201c<\/strong>.\u00a0<\/strong>Ztr\u00e1ta na Long Put 4800 p\u0159edstavuje n\u00e1klady na jej\u00ed po\u0159\u00edzen\u00ed a ztr\u00e1ta na Short Call 5100 p\u0159edstavuje hodnotu jej\u00edho vypo\u0159\u00e1d\u00e1n\u00ed.<\/span><\/li>\n
          2. Velk\u00e1 \u010d\u00e1st v\u00fdd\u011blku portfolia tak padla na vrub vypo\u0159\u00e1d\u00e1n\u00ed Short Call<\/strong> opce. P\u0159esto profit ve v\u00fd\u0161i +5.576 USD<\/strong> p\u0159edstavuje v\u00edce ne\u017e 8%<\/strong> zhodnocen\u00ed p\u016fvodn\u00edho portfolia.<\/span><\/li>\n<\/ol>\n

            \u00a0\u00a0 Pokud jsem u p\u0159edch\u00e1zej\u00edc\u00edho p\u0159\u00edpadu upozor\u0148oval na mo\u017enost, \u017ee jako \u201eportfolio mana\u017eer\u201c mohu sv\u00e9 pozice rolovat, tak toto samoz\u0159ejm\u011b tak\u00e9 plat\u00ed pro tuto situaci. Mohl bych pak rolovat nejenom Short Call 5100 na vy\u0161\u0161\u00ed strike 5200, ale tak\u00e9 prodat svou Long Put 4800 a tuto tak\u00e9 posunout na vy\u0161\u0161\u00ed strike, nap\u0159\u00edklad 4900. Mohl bych si tak ji\u017e uzamknout ur\u010ditou \u010d\u00e1st profitu portfolia p\u0159i p\u0159\u00edpadn\u00e9m obratu trendu.\u00a0<\/span><\/p>\n

            Pokles trh\u016f<\/strong><\/span><\/h2>\n

            \u00a0\u00a0 Zaj\u00edmav\u00e1 by ale byla situace, kdybych si s\u00a0takto vytvo\u0159en\u00fdm zaji\u0161t\u011bn\u00edm portfolia pomoc\u00ed Collar nasimuloval situaci propadu trh\u016f o 10%<\/strong>, tak jak jsem tuto mo\u017enost simuloval p\u0159i dr\u017een\u00ed pouh\u00e9 Long Put 4800 opce v\u00fd\u0161e v \u010dl\u00e1nku<\/span><\/p>\n

            \"\"<\/p>\n

              \n
            1. Pokles o 10%<\/strong>, m\u011b\u0159en\u00fd technologick\u00fdm indexem Nasdaq 100, by znamenal jeho mo\u017enou hodnotu 4315 bod\u016f<\/strong>. Portfolio by ztratilo, p\u0159i stejn\u011b proporcion\u00e1ln\u00edm tempu ztr\u00e1ty, \u010d\u00e1stku p\u0159edstavuj\u00edc\u00ed -6.646 USD<\/strong>.<\/span><\/li>\n
            2. Long Put 4800<\/strong> by byla v\u00a0pen\u011bz\u00edch<\/strong> a jej\u00ed vypo\u0159\u00e1d\u00e1n\u00ed by p\u0159ineslo hotovost +2.840 USD<\/strong>. Short Call 5100<\/strong> by vypr\u0161ela jako bezcenn\u00e1<\/strong> a z\u016fstalo by mi cel\u00e9 jej\u00ed pr\u00e9mium +3.440 USD<\/strong><\/span><\/li>\n
            3. Zisk na zaji\u0161\u0165ovac\u00edch n\u00e1stroj\u00edch by t\u00e9m\u011b\u0159 zcela kompenzoval ztr\u00e1tu<\/strong> z\u00a0desetiprocentn\u00edho propadu trh\u016f s\u00a0celkov\u00fdm v\u00fdsledkem m\u00edrn\u00e9 ztr\u00e1ty ve v\u00fd\u0161i -366 USD. Ta by p\u0159edstavovala 0.06%<\/strong> znehodnocen\u00ed<\/strong> po\u0159\u00edzen\u00e9 investice.<\/span><\/li>\n<\/ol>\n

              \u00a0\u00a0 Efektivn\u00ed redukce ztr\u00e1ty p\u0159i omezen\u00e9 mo\u017enosti profitu by mohla b\u00fdt velmi dobr\u00e1 varianta nap\u0159\u00edklad pro konzervativn\u00ed typ investora. Ne v\u017edy toti\u017e trhy pouze rostou tak, jak je to patrn\u00e9 z\u00a0posledn\u00ed doby.<\/span><\/p>\n

              \n

              Vertical Spreads<\/span><\/strong><\/h1>\n

              \u00a0\u00a0 Kombinace v\u0161ech motiv\u016f uveden\u00fdch v\u00a0p\u0159edchoz\u00edch p\u0159\u00edpadech, tedy snaha o zaji\u0161t\u011bn\u00ed portfolia, sn\u00ed\u017een\u00ed n\u00e1klad\u016f na zaji\u0161t\u011bn\u00ed a mo\u017enost ponechat r\u016fst portfolia p\u0159i vytrval\u00fdch trendech by mohla b\u00fdt d\u016fvodem vytvo\u0159it zaji\u0161t\u011bn\u00ed pomoc\u00ed Vertik\u00e1ln\u00edch spread\u016f<\/strong>. Za v\u00fdchoz\u00ed situaci k\u00a0\u00favaze o zaji\u0161t\u011bn\u00ed pomoc\u00ed Vertik\u00e1ln\u00edch spread\u016f by mohla b\u00fdt m\u00e1 progn\u00f3za, \u017ee p\u0159edpokl\u00e1d\u00e1m r\u016fst portfolia<\/strong>, ale neum\u00edm kvantifikovat o kolik jednotek procent toto mohu o\u010dek\u00e1vat a nav\u00edc se chci zajistit proti 10% propadu<\/strong> technologick\u00fdch trh\u016f m\u011b\u0159en\u00fdch indexem Nasdaq 100.<\/span><\/p>\n

              \"\"<\/p>\n

              \u00a0 \u00a0 \u00a0 T\u011bmto po\u017eadavk\u016fm bych p\u0159izp\u016fsobil po\u0159\u00edzen\u00ed zaji\u0161t\u011bn\u00ed, kdy\u017e toto by mohlo m\u00edt n\u00e1sleduj\u00edc\u00ed parametry<\/span><\/p>\n

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

                \n
              1. K\u00a0zaji\u0161t\u011bn\u00ed proti propadu<\/strong> bych pou\u017eil op\u011bt ATM Long Put 4800<\/strong> na moment\u00e1ln\u00ed hodnot\u011b indexu Nasdax 100. K\u00a0vylep\u0161en\u00ed n\u00e1klad\u016f bych vypsal<\/strong> na ni\u017e\u0161\u00edm strike 4300 Short Put<\/strong>\u00a0ve stejn\u00e9 expiraci. Short Put 4300 jsem tak um\u00edstil ve vzd\u00e1lenosti -10% od moment\u00e1ln\u00ed hodnoty technologick\u00e9ho trhu. Vytvo\u0159en\u00fd Put Bear Spread +4800\/-4300<\/strong> m\u00e1 potenci\u00e1l maxim\u00e1ln\u00edho profitu<\/strong> vyj\u00e1d\u0159en\u00fd dolarov\u00fdm rozd\u00edlem hodnoty sv\u00fdch strike, tedy 4800-4300=500*20 USD = +10.000 USD, od kter\u00e9ho mus\u00edm ode\u010d\u00edst jeho po\u0159izovac\u00ed n\u00e1klady ve v\u00fd\u0161i -343 bod\u016f za Long Put 4800 +179 bod\u016f za v\u00fdpis Short Put 4300 = -164 bod\u016f x 20 USD = -3.280 USD. Maxim\u00e1ln\u00ed profit by pak byl +10.000 USD -3.280 USD = +6.720 USD<\/strong>. Pokud by tedy portfolio kleslo natolik, \u017ee strike Short Put 4300 ze zaji\u0161\u0165ovac\u00edho Put Bear Spreadu +4800\/-4300 bude prora\u017een, p\u0159ip\u00ed\u0161u si na sv\u016fj \u00fa\u010det p\u0159i expiraci spreadu \u010d\u00e1stku +6.720 USD. Proto\u017ee vstupn\u00ed hodnota portfolia je 66.459 USD, potom je to \u010d\u00e1stka odpov\u00eddaj\u00edc\u00ed p\u0159ibli\u017en\u011b 10% ztr\u00e1t\u011b cel\u00e9ho portfolia.<\/span><\/li>\n
              2. K\u00a0vylep\u0161en\u00ed v\u00fd\u0161e n\u00e1klad\u016f na zaji\u0161t\u011bn\u00ed<\/strong>, jsem po\u0159\u00eddil OTM Short Call<\/strong> na strike 5100<\/strong>, kter\u00e9 odpov\u00edd\u00e1 zhruba +6% o\u010dek\u00e1van\u00e9mu pos\u00edlen\u00ed technologick\u00fdch titul\u016f v\u00a0horizontu dr\u017een\u00ed m\u00e9ho zaji\u0161t\u011bn\u00e9ho portfolia. Tuto Short Call 5100 jsem ale pojistil po\u0159\u00edzen\u00edm OTM<\/strong>\u00a0Long Call<\/strong> na vy\u0161\u0161\u00edm strike 5300<\/strong>. Tento strike je ve vzd\u00e1lenosti +10% od moment\u00e1ln\u00ed hodnoty trh\u016f. Za tento kreditn\u00ed spread jsem obdr\u017eel pr\u00e9mium ve v\u00fd\u0161i 172-99 bod\u016f = 73 bod\u016f x 20 USD = +1.460 USD. Vytvo\u0159en\u00fd Call Bear Spread -5100\/+5300<\/strong> m\u00e1 potenci\u00e1l maxim\u00e1ln\u00ed ztr\u00e1ty<\/strong> vyj\u00e1d\u0159en\u00fd dolarov\u00fdm rozd\u00edlem hodnoty sv\u00fdch strike, tedy 5100-5300=200*20 USD = -4.000 USD, od kter\u00e9ho mus\u00edm ode\u010d\u00edst p\u0159ijat\u00e9 pr\u00e9mium ve v\u00fd\u0161i +1.460 USD. Maxim\u00e1ln\u00ed ztr\u00e1ta by pak byla -4.000 USD +1.460 USD = -2.540 USD<\/strong>. Pokud by tedy portfolio vystoupalo natolik, \u017ee strike Long Call 5300 ze zaji\u0161\u0165ovac\u00edho Call Bear Spread -5100\/+5300 bude prora\u017een, p\u0159ip\u00ed\u0161u si na sv\u016fj \u00fa\u010det p\u0159i expiraci spreadu ztr\u00e1tu -2.540 USD. Toto mi ale patrn\u011b nebude vadit, proto\u017ee tuto ztr\u00e1tu pln\u011b vykompenzuje vytvo\u0159en\u00fd profit samotn\u00fdm portfoliem. P\u0159i dal\u0161\u00edm r\u016fstu pak hodnota ztr\u00e1ty ji\u017e d\u00e1le neroste a portfiolio m\u016f\u017ee d\u00e1le nab\u00edrat dal\u0161\u00ed profity.<\/span><\/li>\n<\/ol>\n

                \u00a0 \u00a0 \u00a0Skute\u010dnost, jak by re\u00e1ln\u011b takov\u00e9 zaji\u0161t\u011bn\u00ed fungovalo je patrn\u00e9 z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku, kter\u00fd ilustruje situaci p\u0159i expiraci zaji\u0161\u0165ovac\u00edch opc\u00ed<\/span>
                \n\"\"<\/span><\/p>\n

                  \n
                1. Uptrend trh\u016f<\/strong> do expirace m\u00e1 za d\u016fsledek, \u017ee Short Put 4300<\/strong> vypr\u0161\u00ed jako bezcenn\u00e1<\/strong> a z\u016fst\u00e1v\u00e1 mi cel\u00e9 pr\u00e9mium<\/strong> z\u00edskan\u00e9 jej\u00edm v\u00fdpisem<\/span><\/li>\n
                2. Rovn\u011b\u017e Long Put 4800<\/strong> vypr\u0161\u00ed jako bezcenn\u00e1<\/strong> a ztr\u00e1tou<\/strong> pak jsou vynalo\u017een\u00e9 n\u00e1klady<\/strong> na jej\u00ed po\u0159\u00edzen\u00ed<\/span><\/li>\n
                3. Short Call 5100<\/strong> je p\u0159i expiraci \u201ev pen\u011bz\u00edch\u201c<\/strong> a je mi vypo\u0159\u00e1d\u00e1na za \u010d\u00e1stku, kterou je v\u00a0pen\u011bz\u00edch (-868 bod\u016f x 20 USD), od kter\u00e9 ode\u010d\u00edt\u00e1m pr\u00e9mium, kter\u00e9 jsem za ni utr\u017eil (+179 bod\u016f x 20 USD), celkov\u011b tedy -689 bod\u016f x 20 USD = -13.780 USD<\/strong><\/span><\/li>\n
                4. Long Call 5300<\/strong> je p\u0159i expiraci tak\u00e9 \u201ev pen\u011bz\u00edch\u201c<\/strong> a je mi tak\u00e9 vypo\u0159\u00e1d\u00e1na za \u010d\u00e1stku, kterou je v\u00a0pen\u011bz\u00edch (+668 bod\u016f x 20 USD), od kter\u00e9 ode\u010d\u00edt\u00e1m n\u00e1klady na jej\u00ed po\u0159\u00edzen\u00ed (-99 bod\u016f x 20 USD), celkov\u011b tedy +569 bod\u016f x 20 USD = +11.380 USD<\/strong>, (rozd\u00edlem je pak ztr\u00e1ta deklarovan\u00e1 v\u00a0odstavci v\u00fd\u0161e u vysv\u011btlen\u00ed maxim\u00e1ln\u00ed ztr\u00e1ty takov\u00e9ho spreadu)<\/span><\/li>\n
                5. Celkov\u00e1 v\u00fdkonnost<\/strong> portfolia je pak vyobrazena polo\u017ekou +20.536 USD<\/strong><\/span><\/li>\n<\/ol>\n

                  Pokles trh\u016f<\/strong><\/span><\/h2>\n

                  \u00a0\u00a0 Pro \u00fapln\u00e9 dokreslen\u00ed chov\u00e1n\u00ed po\u0159\u00edzen\u00fdch spread\u016f k\u00a0zaji\u0161t\u011bn\u00ed portfolia uk\u00e1\u017eu, jak by se takov\u00e9 zaji\u0161t\u011bn\u00ed chovalo p\u0159i poklesu trh\u016f o avizovan\u00fdch -10%<\/strong>. P\u0159i stejn\u00fdch vstupn\u00edch podm\u00ednk\u00e1ch bych op\u011bt po\u0159\u00eddil stejn\u00e9 Vertik\u00e1ln\u00ed Spready a pozoroval, \u017ee by mo\u017en\u00fd v\u00fdvoj mohl b\u00fdt po propadu trh\u016f takov\u00fd, jako je vid\u011bt na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

                  \"\"<\/p>\n

                    \n
                  1. Pokles<\/strong> o 10% by p\u0159inesl hodnotu technologick\u00e9ho indexu Nasdaq 100<\/strong> ve v\u00fd\u0161i 4.315 bod\u016f<\/strong><\/span><\/li>\n
                  2. Portfolio<\/strong> by mohlo ztratit 10% sv\u00e9 hodnoty, tedy -6.646 USD<\/strong><\/span><\/li>\n
                  3. Short Put 4300<\/strong> by vypr\u0161ela jako bezcenn\u00e1 <\/strong>a profitem by bylo p\u0159ijat\u00e9 pr\u00e9mium p\u0159i jej\u00edm v\u00fdpisu<\/span><\/li>\n
                  4. Long Put 4800<\/strong> by byla \u201ev pen\u011bz\u00edch\u201c<\/strong> a po vypo\u0159\u00e1d\u00e1n\u00ed by p\u0159inesla profit +2.840 USD<\/strong><\/span><\/li>\n
                  5. Short Call 5100<\/strong> by vypr\u0161ela jako bezcenn\u00e1<\/strong> a profitem by bylo p\u0159ijat\u00e9 pr\u00e9mium p\u0159i jej\u00edm v\u00fdpisu<\/span><\/li>\n
                  6. Long Call 5300<\/strong> by tak\u00e9 vypr\u0161ela jako bezcenn\u00e1<\/strong> a ztr\u00e1tou by pro m\u011b byly n\u00e1klady vynalo\u017een\u00e9 na jej\u00ed po\u0159\u00edzen\u00ed<\/span><\/li>\n
                  7. Celkov\u011b by 10% pokles<\/strong> v\u00fdkonnosti technologick\u00e9ho trhu a technologick\u00e9ho portfolia mohl b\u00fdt bez dramatick\u00e9ho vlivu<\/strong> na jeho hodnoty, dokonce by se mohlo jednat o p\u0159\u00edpadn\u00fd mal\u00fd profit vypl\u00fdvaj\u00edc\u00ed se zaji\u0161\u0165ovac\u00edch\u00a0op\u010dn\u00edch kontrakt\u016f.<\/span><\/li>\n<\/ol>\n
                    \n

                    \u00a0\u00a0 Opce jsou geni\u00e1ln\u00ed zaji\u0161\u0165ovac\u00ed n\u00e1stroj. Jejich vyu\u017eit\u00ed p\u0159i zaji\u0161t\u011bn\u00ed portfoli\u00ed je t\u00e9m\u011b\u0159 neomezen\u00e9 a zd\u00e1 se, \u017ee jejich jedin\u00fdm omezen\u00edm je jenom fantazie portfolio mana\u017eera. Uk\u00e1zal jsem n\u011bkolik velmi obecn\u00fdch a modelov\u00fdch p\u0159\u00edstup\u016f k\u00a0jednoduch\u00e9mu zaji\u0161t\u011bn\u00ed mal\u00e9ho portfolia. Pokud n\u011bco funguje na \u0159\u00e1dech desetitis\u00edc\u016f dolar\u016f, tak to tak\u00e9 funguje s\u00a0\u0159\u00e1dy miliony dolar\u016f nebo jednotek tis\u00edc dolar\u016f, pouze tomu p\u0159izp\u016fsobujete v\u00fdb\u011br zaji\u0161\u0165ovac\u00edho n\u00e1stroje. Pokud vlastn\u00edte p\u00e1r des\u00edtek r\u016fzn\u00fdch akci\u00ed, m\u016f\u017eete vyu\u017e\u00edt nap\u0159\u00edklad opce na ETF SPY a zajistit se tak proti propadu americk\u00fdch trh\u016f nebo opc\u00ed na ETF QQQ a jistit dr\u017een\u00e9 technologick\u00e9 akcie obchodovan\u00e9 na americk\u00fdch burz\u00e1ch. Pokud spravujete miliony dolar\u016f a obrovsk\u00e1 akciov\u00e1 portfolia, budete sahat po glob\u00e1ln\u00edch n\u00e1stroj\u00edch, kter\u00e9 jsou k\u00a0dispozici pro replikaci glob\u00e1ln\u00edch trh\u016f nebo sektor\u016f. M\u00e1te nep\u0159ebern\u00e9 mo\u017enosti volby, m\u016f\u017eete sv\u00e9 spravovan\u00e9 portfolio zaji\u0161\u0165ovat op\u010dn\u00edmi kontrakty glob\u00e1ln\u00edch, sektorov\u00fdch nebo n\u00e1rodn\u00edch trh\u016f a tyto mezi sebou kombinovat tak, jak jsou „nam\u00edchan\u00e9“ dr\u017een\u00e1 portfolia, m\u016f\u017eete vyu\u017e\u00edt p\u00e1kov\u00fdch instrument\u016f nebo jejich deriv\u00e1t\u016f nebo zaji\u0161\u0165ovat portfolia jin\u00fdmi, opa\u010dn\u011b orientovan\u00fdmi portfolii, fantazii se meze nekladou…\u00a0<\/span><\/p>\n

                    \u00a0\u00a0 K\u00a0Beta a jej\u00edmu vyu\u017eit\u00ed se mo\u017en\u00e1 v\u00a0kr\u00e1tk\u00e9m budoucnu je\u0161t\u011b vr\u00e1t\u00edm, kdy\u017e budu cht\u00edt k\u00a0v\u00fdb\u011bru zaji\u0161t\u011bn\u00ed tak\u00e9 p\u0159idat hledisko volatility. Kdy\u017e jsem v\u00a0\u00favodu minul\u00e9ho \u010dl\u00e1nku pokl\u00e1dal ot\u00e1zku, pro\u010d vlastn\u011b p\u00ed\u0161u o Beta, kdy\u017e se chci zab\u00fdvat deriv\u00e1ty volatility, tak jsem si s\u00e1m odpov\u011bd\u011bl, \u017ee \u201eto spolu \u00fazce souvis\u00ed\u201c. Nyn\u00ed mohu toto vysv\u011btlen\u00ed roz\u0161\u00ed\u0159it. N\u00e1kupy op\u010dn\u00edch kontrakt\u016f, kter\u00e9 jsou \u201emimo pen\u00edze\u201c, a kter\u00e9 jsem nap\u0159\u00edklad uv\u00e1d\u011bl v\u00a0tomto \u010dl\u00e1nku zp\u016fsobuj\u00ed nap\u011bt\u00ed na op\u010dn\u00edch trz\u00edch t\u011bchto n\u00e1stroj\u016f. Popt\u00e1vka po takov\u00fdch op\u010dn\u00edch kontraktech je odrazem o n\u00e1hledu na budouc\u00ed v\u00fdvoj trh\u016f. Pokud si budu myslet, \u017ee trhy budou klesat, budu nap\u0159\u00edklad popt\u00e1vat OTM Put opce, bu\u010f bude m\u00e1 popt\u00e1vka spekulativn\u00ed pro v\u00fdd\u011blek na op\u010dn\u00edm kontraktu nebo bude z\u00a0d\u016fvodu po\u0159\u00edzen\u00ed zaji\u0161t\u011bn\u00ed ji\u017e dr\u017een\u00fdch pozic r\u016fznorod\u00e9ho tvaru. Zvy\u0161ov\u00e1n\u00ed popt\u00e1vky po takov\u00fdch opc\u00edch, kter\u00e9 jsou \u201emimo pen\u00edze\u201c vyvol\u00e1v\u00e1 tlak na r\u016fst jejich cen, kter\u00fd se d\u00e1 n\u011bjak\u00fdm zp\u016fsobem m\u011b\u0159it. Nejsou patrn\u00e9 pouh\u00fdm pohledem do op\u010dn\u00edch \u0159et\u011bzc\u016f t\u011bchto zaji\u0161\u0165ovac\u00edch n\u00e1stroj\u016f, ale daj\u00ed se velmi precizn\u011b matematicky kvantifikovat a n\u00e1sledn\u011b reprodukovat. \u010cl\u00e1nky o Beta pak byly p\u0159edskokem k\u00a0takov\u00fdm t\u00e9mat\u016fm :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

                    \u00a0 \u00a0\u201eZdra\u017een\u00ed m\u00e1sla budeme kompenzovat zlevn\u011bn\u00edm lokomotiv\u201c by mohlo b\u00fdt vysv\u011btlen\u00ed komunistick\u00e9ho ideologa v\u00a0reakci na vysok\u00e9 ceny obl\u00edben\u00e9 potraviny v\u00a0dob\u011b p\u0159ed pades\u00e1ti lety. Kuri\u00f3zn\u00ed my\u0161lenka by ale mohla b\u00fdt z\u00e1kladn\u00edm stavebn\u00edm kamenem, jak efektivn\u011b postupovat p\u0159i hled\u00e1n\u00ed zp\u016fsobu, jak zajistit portfolia cenn\u00fdch pap\u00edr\u016f. \u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku \u00a0jsem uk\u00e1zal, jak vypo\u010d\u00edtat Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":934,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[37],"tags":[38],"class_list":["post-907","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-beta"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/profile-2.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-eD","jetpack-related-posts":[{"id":868,"url":"https:\/\/dobretrejdy.com\/?p=868","url_meta":{"origin":907,"position":0},"title":"Beta – I.","author":"dobretrejdy :c)","date":"19.10.2017","format":false,"excerpt":"\u00a0\u00a0 Tlakov\u00e1 pojistka na papi\u0148\u00e1ku, nouzov\u00fd v\u00fdchod v\u00a0hospod\u011b nebo babi\u010d\u010din bal\u00ed\u010dek tis\u00edcovek vtipn\u011b schovan\u00fd mezi na\u017eehlen\u00fdmi prost\u011bradly. To v\u0161echno jsou prost\u0159edky, kter\u00e9 jsou po\u0159izov\u00e1ny proto, aby v\u00a0p\u0159\u00edpad\u011b, \u017ee se n\u011bco nebude vyv\u00edjet tak, jak se p\u0159edpokl\u00e1d\u00e1, budou pom\u00e1hat \u0159e\u0161it nastal\u00e9 p\u0159ekvapiv\u00e9 situace. \u201eKdo je p\u0159ipraven, nen\u00ed zasko\u010den\u201c je pak jedno\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\/10\/profil.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/profil.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/profil.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/profil.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":5712,"url":"https:\/\/dobretrejdy.com\/?p=5712","url_meta":{"origin":907,"position":1},"title":"Fondov\u00e1n\u00ed – II.","author":"dobretrejdy :c)","date":"12.3.2022","format":false,"excerpt":"\u00a0 \u00a0Obchodov\u00e1n\u00ed m\u00e9ho osobn\u00edho tradersk\u00e9ho \u00fa\u010dtu nevy\u017eaduje nijak v\u00fdznamn\u00e9 n\u00e1roky na kontrolu rizika, se kter\u00fdm na tomto \u00fa\u010dtu pracuji. M\u00e1m p\u0159esn\u011b danou skladbu sv\u00fdch pozic, v\u00edm dop\u0159edu, kolik mohu maxim\u00e1ln\u011b ztratit a na po\u017e\u00e1d\u00e1n\u00ed pravd\u011bpodobn\u011b vyjmenuji kompletn\u011b v\u0161echny jednotliv\u00e9 pozice m\u00e9ho portfolia. Pov\u011bdom\u00ed o celkov\u00e9m p\u0159ijat\u00e9m riziku m\u00e9ho mal\u00e9ho \u00fa\u010dtu\u2026","rel":"","context":"V \u201eInvesti\u010dn\u00ed fond\u201c","block_context":{"text":"Investi\u010dn\u00ed fond","link":"https:\/\/dobretrejdy.com\/?cat=62"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/03\/RN1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/03\/RN1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/03\/RN1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":907,"position":2},"title":"Dluhopisy \u2013 XXIV.","author":"dobretrejdy :c)","date":"27.11.2025","format":false,"excerpt":"\u00a0 \u00a0Neuv\u011b\u0159iteln\u00fdch osm m\u011bs\u00edc\u016f od naps\u00e1n\u00ed posledn\u00edho \u010dl\u00e1nku nic neubralo na v\u00fdznamu zji\u0161t\u011bn\u00ed, \u017ee \u201edluhopisov\u00e9 opce\u201c opravdu nejsou \u201eopce na dluhopisy\u201c, tedy jejich podkladov\u00fdm aktivem nen\u00ed jak\u00e1koliv konkr\u00e9tn\u00ed emise dluhopis\u016f, ale tyto dluhopisov\u00e9 opce jsou nav\u00e1z\u00e1ny na futures kontrakty, kter\u00e9 ale ji\u017e souvisej\u00ed s konkr\u00e9tn\u00edmi dluhopisov\u00fdmi emisemi nebo \u00farokov\u00fdmi sazbami.\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":907,"position":3},"title":"VX Futures","author":"dobretrejdy :c)","date":"28.11.2017","format":false,"excerpt":"\u00a0 \u00a0VX futures je kr\u00e1lem mezi deriv\u00e1ty volatility. Je nejv\u00fdznamn\u011bj\u0161\u00ed odvozeninou VIX Indexu a p\u0159edstavuje nejjednodu\u0161\u0161\u00ed formu, jak VIX Index v\u00a0praxi obchodovat. Tento deriv\u00e1t je mo\u017en\u00e9 obchodovat na CFE (Chicago Futures Exchange) pat\u0159\u00edc\u00ed pod k\u0159\u00eddla CBOE. Pokud tedy chcete m\u00edt k\u00a0dispozici aktu\u00e1ln\u00ed nezpo\u017ed\u011bn\u00e1 \u017eiv\u00e1 data t\u011bchto futures kontrakt\u016f, nezb\u00fdv\u00e1 ne\u017e\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-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":6742,"url":"https:\/\/dobretrejdy.com\/?p=6742","url_meta":{"origin":907,"position":4},"title":"Dluhopisy \u2013 XIII.","author":"dobretrejdy :c)","date":"28.10.2023","format":false,"excerpt":"\u00a0\u00a0 Poznat a pochopit dluhopisov\u00fd trh, porozum\u011bt z\u00e1kladn\u00edm princip\u016fm spojen\u00fdch s nakl\u00e1d\u00e1n\u00ed s dluhopisy a zjednodu\u0161en\u00fd vhled do mo\u017enost\u00ed, jak je u sv\u00e9ho brokera nakoupit a co to m\u016f\u017ee pro m\u011b znamenat, bylo p\u0159edm\u011btem p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f. Nabyt\u00e9 poznatky pak mohu aplikovat na zapojen\u00ed dluhopis\u016f do sv\u00e9ho obchodov\u00e1n\u00ed a nemus\u00ed to\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":3202,"url":"https:\/\/dobretrejdy.com\/?p=3202","url_meta":{"origin":907,"position":5},"title":"Delta Neutral – VI.","author":"dobretrejdy :c)","date":"4.5.2019","format":false,"excerpt":"\u00a0 \u00a0Je pond\u011bl\u00ed 25.3.2019 a j\u00e1 sleduji t\u0159et\u00ed d\u00edl \u010dtvrt\u00e9 s\u00e9rie kultovn\u00edho seri\u00e1lu Billions. Taylor rozepisuje na tabuli matematickou \u00favahu, kter\u00e1 demonstruje spletitost, slo\u017eitost a sofistikovanost vyd\u011bl\u00e1v\u00e1n\u00ed pen\u011bz na finan\u010dn\u00edch trz\u00edch. Snaha je pravd\u011bpodobn\u011b uk\u00e1zat, \u017ee pokud to nem\u00e1te v\u00a0hlav\u011b matematicky v\u00a0po\u0159\u00e1dku, nem\u00e1te \u0161anci se takov\u00fdm investorsk\u00fdm veli\u010din\u00e1m rovnat. \u00a0\u00a0\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\/05\/mean.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/05\/mean.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/907","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=907"}],"version-history":[{"count":14,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/907\/revisions"}],"predecessor-version":[{"id":944,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/907\/revisions\/944"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/934"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=907"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=907"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=907"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}