{"id":950,"date":"2017-10-30T12:18:40","date_gmt":"2017-10-30T10:18:40","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=950"},"modified":"2024-06-19T12:04:17","modified_gmt":"2024-06-19T10:04:17","slug":"vix-index","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=950","title":{"rendered":"VIX Index"},"content":{"rendered":"

\u00a0\u00a0 \u201eKdo se boj\u00ed, mus\u00ed do lesa<\/strong>\u201c. Parafr\u00e1ze na legend\u00e1rn\u00ed r\u010den\u00ed o osobn\u00ed odvaze je mottem dne\u0161n\u00edho \u010dl\u00e1nku. Ka\u017ed\u00fd trader musel o n\u011bm p\u0159inejmen\u0161\u00edm sly\u0161et a ka\u017ed\u00fd op\u010dn\u00ed mentor jeho n\u00e1zev musel p\u0159inejmen\u0161\u00edm n\u011bkolikr\u00e1t \u201evypustit z\u00a0\u00fast\u201c. VIX Index. \u201eVIX Index je navr\u017een tak, aby odr\u00e1\u017eel n\u00e1hled investor\u016f na budouc\u00ed 30-ti denn\u00ed o\u010dek\u00e1vanou volatilitu akciov\u00fdch trh\u016f<\/em><\/strong>\u201c je doslovn\u00e1 definice t\u00e9to entity ze str\u00e1nek jej\u00edho tv\u016frce \u2013 CBOE (Chicago Board Option Exchange). Jak\u00e1 je jeho konstrukce, z\u00a0\u010deho je vlastn\u011b tvo\u0159en, jak se konkr\u00e9tn\u011b vypo\u010d\u00edt\u00e1 a co to vlastn\u011b v\u0161echno znamen\u00e1 bude p\u0159edm\u011btem tohoto \u010dl\u00e1nku.<\/span><\/p>\n

\u00a0\u00a0 \u201e\u2026vstupte do pozice, kdy\u017e je VIX na hodnot\u011b 13.50<\/em>\u2026\u201c, \u201e\u2026.bu\u010fte ve st\u0159ehu, pokud je VIX Index v\u00edce ne\u017e 20<\/em>\u2026\u201c, \u201e\u2026obchodov\u00e1n\u00ed s VIX je ur\u010deno jenom pro zku\u0161en\u00e9 obchodn\u00edky a pro drobn\u00e9 investory se v\u016fbec nehod\u00ed<\/em>\u2026\u201c, podobn\u00fdmi m\u00fdty, zhusta \u010dir\u00fdmi nesmysly, je pak op\u0159edena existence tohoto tajemn\u00e9ho finan\u010dn\u00edho instrumentu, kter\u00e9 vych\u00e1zej\u00ed t\u00e9m\u011b\u0159 ve v\u0161ech p\u0159\u00edpadech z\u00a0jeho tot\u00e1ln\u00ed neznalosti nebo nepochopen\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Abych n\u011bco dokonale pochopil, tak se mus\u00edm p\u0159inejmen\u0161\u00edm zab\u00fdvat my\u0161lenkou, jak to vlastn\u011b funguje a z \u010deho je to sestrojeno. Pochopen\u00ed z\u00e1kladn\u00edch princip\u016f konstrukce pak povede k zodpov\u011bzen\u00ed v\u0161emo\u017en\u00fdch ot\u00e1zek, kter\u00e9 se kolem \u00a0VIX Indexu \u201ejenom roj\u00ed\u201c a tak\u00e9 se t\u00edmto pochopen\u00edm mohu utvrdit, jestli je obecn\u00e1 definice VIX Indexu vlastn\u011b v\u016fbec p\u0159esn\u00e1.<\/span><\/p>\n

\u00a0\u00a0 Podstatou VIX Indexu je \u201em\u011b\u0159en\u00ed nap\u011bt\u00ed\u201c na trhu opc\u00ed podkladov\u00e9ho aktiva\u00a0\u2013 indexu S&P 500 (SPX). V\u00a0tuto chv\u00edli navazuje tento \u010dl\u00e1nek na p\u0159edchoz\u00ed \u010dl\u00e1nky o Beta, proto\u017ee tento op\u010dn\u00ed trh (SPX) je z\u00a0velk\u00e9 \u010d\u00e1sti utv\u00e1\u0159en a vyu\u017e\u00edv\u00e1n pro zaji\u0161\u0165ov\u00e1n\u00ed akciov\u00fdch (a jin\u00fdch) portfoli\u00ed nebo pro mo\u017enost \u201evytv\u00e1\u0159et s\u00e1zky\u201c pomoc\u00ed opc\u00ed na pohyby tohoto trhu. Nyn\u00ed tedy p\u0159ich\u00e1z\u00ed prvn\u00ed up\u0159esn\u011bn\u00ed obecn\u00e9 definice VIX Indexu<\/strong>. VIX Index ukazuje na o\u010dek\u00e1vanou volatilitu akciov\u00fdch trh\u016f m\u011b\u0159en\u00fdch indexem S&P 500<\/u><\/strong>, tedy nic jin\u00e9ho. Nem\u00e1 to nic spole\u010dn\u00e9ho s\u00a0o\u010dek\u00e1vanou 30-ti denn\u00ed volatilitou kuku\u0159i\u010dn\u00e9ho kontraktu, akci\u00ed \u010cEZu nebo trhu japonsk\u00fdch dluhopis\u016f. I kdy\u017e si mohu myslet, \u017ee tyto trhy spolu koreluj\u00ed, tak p\u0159ece jen trh, m\u011b\u0159en\u00fd indexem S&P 500, si \u017eije sv\u016fj vlastn\u00ed \u017eivot a utv\u00e1\u0159\u00ed jej pohyby v\u0161ech jeho \u010dlen\u016f podle sv\u00e9 v\u00e1hy v\u00a0n\u011bm, a to m\u016f\u017ee b\u00fdt ve v\u00fdsledku odli\u0161n\u00e9, ne\u017e trh m\u011b\u0159en\u00fd indexem Nasdaq 100, Russell 2000 nebo jin\u00fdm n\u00e1strojem, co\u017e nakonec vyplynulo z\u00a0\u010dl\u00e1nk\u016f o Beta.<\/span><\/p>\n

\u00a0 Pomysln\u00e9 \u201evstoupen\u00ed do lesa\u201c k\u00a0rozpt\u00fdlen\u00ed obavy z\u00a0podstaty VIX Indexu se budu sna\u017eit demonstrovat na v\u00fdpo\u010dtu VIX Indexu pomoc\u00ed Excelu. Pochopen\u00ed jednotliv\u00fdch krok\u016f pak bude mo\u017en\u00e1 lep\u0161\u00ed n\u00e1hradou k\u00a0objasn\u011bn\u00ed podstaty ne\u017e akademick\u00e9 teze nebo mentorsk\u00e9 fr\u00e1ze.<\/span><\/p>\n

\u00a0 V\u00a0obdob\u00ed, kdy se obchodovaly pouze SPX opce s\u00a0m\u011bs\u00ed\u010dn\u00ed expirac\u00ed, byly pou\u017eity k\u00a0v\u00fdpo\u010dtu hodnoty VIX Indexu ceny jednotliv\u00fdch m\u011bs\u00ed\u010dn\u00edch op\u010dn\u00edch kontrakt\u016f z\u00a0prvn\u00edch dvou expirac\u00ed, a to podle n\u011bjak\u00e9ho kl\u00ed\u010de. S\u00a0p\u0159\u00edchodem a listov\u00e1n\u00edm weeklys op\u010dn\u00edch kontrakt\u016f se tento postup upravil o existenci hodnot t\u011bchto t\u00fddenn\u00edch opc\u00ed. Konkr\u00e9tn\u011b, hodnota VIX Indexu je po\u010d\u00edt\u00e1na z\u00a0cen op\u010dn\u00edch kontrakt\u016f s\u00a0expirac\u00ed v\u011bt\u0161\u00ed ne\u017e 23 dn\u016f a men\u0161\u00ed ne\u017e 37 dn\u016f<\/strong>. To je praz\u00e1klad cel\u00e9ho v\u00fdpo\u010dtu. Zapojen\u00edm weeklys opc\u00ed do\u0161lo k\u00a0lep\u0161\u00ed preciznosti s\u00a0ur\u010den\u00edm o\u010dek\u00e1v\u00e1n\u00e9 volatility pr\u00e1v\u011b t\u011bsn\u011bj\u0161\u00ed \u010dasovou vzd\u00e1lenost\u00ed jednotliv\u00fdch cen. Pokud tedy vyberu oba p\u0159\u00edslu\u0161n\u00e9 op\u010dn\u00ed kontrakty, mohu u konstrukt\u00e9r\u016f VIX Indexu zjistit jeho vzorec v\u00fdpo\u010dtu. Tento je slo\u017een ze dvou identick\u00fdch \u010d\u00e1st\u00ed, pouze se bude li\u0161it pro ka\u017edou z\u00a0op\u010dn\u00edch s\u00e9ri\u00ed pou\u017eit\u00fdmi daty.<\/span><\/p>\n

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\u00a0 Vzorec vypad\u00e1 na prvn\u00ed pohled slo\u017eit\u011b, ale nepracuje se v\u00a0n\u011bm s\u00a0ni\u010d\u00edm jin\u00fdm ne\u017e s\u00a0\u010dasem (T), hodnotou strike opci (K), \u00farokovou m\u00edrou (R), cenou opce (Q) a ur\u010den\u00ed \u201ejak\u00e9hosi\u201c forward strike (F), a to pro ka\u017edou op\u010dn\u00ed s\u00e9rii zvl\u00e1\u0161\u0165.<\/span><\/p>\n

\u00a0\u00a0 Jak\u00e1 je jeho logika. V\u00fd\u0161e uveden\u00fd vzorec je obecn\u00fd a krom\u011b v\u00fd\u0161e uveden\u00fdch hodnot obsahuje pouze matematick\u00e9 v\u00fdpo\u010dty. Tento matematick\u00fd vzorec pak bude uplatn\u011bn na ka\u017edou ze dvou s\u00e9ri\u00ed op\u010dn\u00edch kontrakt\u016f vstupuj\u00edc\u00edch do v\u00fdpo\u010dtu<\/strong>. Ka\u017ed\u00e1 ze dvou vybran\u00fdch op\u010dn\u00edch s\u00e9ri\u00ed, kter\u00e1 respektuje pravidlo pro v\u00fdb\u011br (doba do expirace v\u011bt\u0161\u00ed ne\u017e 23 dn\u016f a men\u0161\u00ed ne\u017e 37 dn\u016f) tak bude podrobena stejn\u00e9mu v\u00fdpo\u010dtu podle tohoto vzorce. Bude tak stanovena hodnota VIX Indexu pro ka\u017edou ze dvou s\u00e9ri\u00ed opc\u00ed zvl\u00e1\u0161\u0165<\/strong>. Oba v\u00fdsledn\u00e9 v\u00fdpo\u010dty pak budou, s\u00a0ohledem na jinou d\u00e9lku \u010dasu opc\u00ed do expirace, mezi sebou \u201ezv\u00e1\u017eeny\u201c<\/strong>, aby v\u00fdsledkem tohoto v\u00e1\u017een\u00ed byla \u201evyplivnuta\u201c hodnota celkov\u00e9ho VIX Indexu<\/strong>. Shrnuto, cel\u00fd v\u00fdpo\u010det bude o hled\u00e1n\u00ed hodnot T, K, R, Q a F, zbytek jsou jednoduch\u00e9 matematick\u00e9 operace.<\/span><\/p>\n

\u00a0\u00a0 Budu tedy konkr\u00e9tn\u00ed. Je 14.9.2017<\/strong> a chci zjistit hodnotu VIX Indexu<\/strong>. Pro stanoven\u00ed v\u00fdpo\u010dtu VIX Indexu pou\u017eiji opce na podklad SPX s\u00a0expirac\u00ed za 25 dn\u016f<\/strong> a za 32 dn\u016f<\/strong>.\u00a0 \u00a0<\/span><\/p>\n

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V\u00fdb\u011br op\u010dn\u00edch kontrakt\u016f<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Do v\u00fdpo\u010dtu VIX Indexu vstupuj\u00ed, podle definice jeho tv\u016frc\u016f, dv\u011b s\u00e9rie op\u010dn\u00edch kontrakt\u016f<\/strong> s\u00a0expirac\u00ed mezi 23<\/strong> a\u017e 37<\/strong> dny. Proto\u017ee VIX Index zachycuje 30denn\u00ed o\u010dek\u00e1v\u00e1n\u00ed, je tato 30denn\u00ed hranice d\u016fle\u017eit\u00e1 pro stanoven\u00ed v\u00fdb\u011br\u016f jednotliv\u00fdch opc\u00ed. Jedna z op\u010dn\u00edch \u0159ad mus\u00ed b\u00fdt pod hranic\u00ed 30 dn\u016f a jedna z \u0159ad mus\u00ed b\u00fdt nad touto hranic\u00ed. V p\u0159\u00edpad\u011b zasa\u017een\u00ed hranice 30 dn\u016f<\/strong> do expirace jednou z\u00a0op\u010dn\u00edch \u0159ad, doch\u00e1z\u00ed k\u00a0rolov\u00e1n\u00ed do dal\u0161\u00ed op\u010dn\u00ed \u0159ady<\/strong>. Tato logika je zn\u00e1zorn\u011bna na obr\u00e1zku n\u00ed\u017ee.<\/span><\/p>\n

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\u00a0\u00a0 V ur\u010dit\u00e9m \u010dasov\u00e9m okam\u017eiku v minulosti je v\u00fdpo\u010det VIX Indexu prov\u00e1d\u011bn z opc\u00ed s expirac\u00ed za 24 (bli\u017e\u0161\u00ed Near-Term Opce) a 31 dn\u016f (vzd\u00e1len\u011bj\u0161\u00ed Next-Term opce), toto zn\u00e1zor\u0148uj\u00ed prvn\u00ed zelen\u00e9 a \u010derven\u00e9 \u010dtverce vlevo na obr\u00e1zku. N\u00e1sleduj\u00edc\u00ed den, kdy op\u010dn\u00ed s\u00e9rie, kter\u00e1 dos\u00e1hla mety 30dn\u016f do expirace, se tato op\u010dn\u00ed s\u00e9rie st\u00e1v\u00e1 Near-Term opc\u00ed a nov\u00e1 op\u010dn\u00ed s\u00e9rie s expirac\u00ed za 37 dn\u016f do expirace se st\u00e1v\u00e1 Next-Term opc\u00ed (zelen\u00fd a \u010derven\u00fd \u010dtverec vpravo). Tento rolovac\u00ed cyklus se pak v\u017edy p\u0159i zasa\u017een\u00ed \u010dasu do expirace za 30 dn\u016f neust\u00e1le opakuje. V obr\u00e1zku jsem \u010derven\u00fdm obd\u00e9ln\u00edkem zachytil okam\u017eik, kter\u00fd bude vstupovat do m\u00e9ho v\u00fdpo\u010dtu, tedy opce s expirac\u00ed za 25 dn\u016f a 32 dn\u016f.\u00a0<\/span><\/p>\n

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Po\u010d\u00edt\u00e1n\u00ed \u010dasu<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Proto\u017ee pracuji s\u00a0op\u010dn\u00edmi kontrakty o dvou r\u016fzn\u00fdch expirac\u00edch<\/strong>, kter\u00e9 vstupuj\u00ed do v\u00fdpo\u010dtu, mus\u00edm se nejd\u0159\u00edve vypo\u0159\u00e1dat s\u00a0po\u010d\u00edt\u00e1n\u00edm \u010dasu<\/strong>. Mus\u00edm tyto \u010dasy n\u011bjak sjednotit, abych je mohl porovn\u00e1vat a tak\u00e9 si p\u0159ipravit \u010dasov\u00e9 \u00fadaje pro kone\u010dn\u00e9 v\u00e1\u017een\u00ed vypo\u010dten\u00fdch \u00fadaj\u016f pro ob\u011b \u010dasov\u00e9 \u0159ady cen op\u010dn\u00edch kontrakt\u016f. Nyn\u00ed to zn\u00ed nep\u0159ehledn\u011b, ale z\u00a0dal\u0161\u00edho vyplyne podstata takov\u00e9ho kon\u00e1n\u00ed.<\/span><\/p>\n

\u00a0 P\u0159edstav\u00edm si, jak se m\u011b m\u00e1 p\u011btilet\u00e1 dcera zv\u00eddav\u011b pt\u00e1 \u201e\u2026a co je to minuta?\u201c. Demonstrac\u00ed na cifern\u00edku m\u00fdch hodinek ji ukazuji, \u017ee to je doba, kdy vte\u0159inov\u00e1 ru\u010di\u010dka ob\u011bhne jedenkr\u00e1t dokola. Proto\u017ee je st\u0159eda podve\u010der a my let\u00edme v\u00a0sobotu o p\u016fl p\u00e1t\u00e9 odpoledne na spole\u010dnou dovolenou, \u010del\u00edm dal\u0161\u00edmu dotazu \u201e\u2026kolikr\u00e1t mus\u00ed ob\u011bhnout ta ru\u010di\u010dka, abychom u\u017e let\u011bli k\u00a0tomu mo\u0159i?\u201c. Jak odpov\u011bd\u011bt rychle a p\u0159esn\u011b? Provedu v\u00fdpo\u010det zbyl\u00fdch minut do odletu tak, \u017ee ud\u011bl\u00e1m t\u0159i podv\u00fdpo\u010dty. Nejd\u0159\u00edve vypo\u010d\u00edt\u00e1m, kolik mi dnes zb\u00fdv\u00e1 minut do dne\u0161n\u00ed st\u0159ede\u010dn\u00ed p\u016flnoci. Pot\u00e9 vypo\u010d\u00edt\u00e1m, kolik dn\u016f zb\u00fdv\u00e1 do soboty a vyn\u00e1sob\u00edm po\u010dtem minut za tyto dny a nakonec spo\u010d\u00edt\u00e1m, kolik minut mi zb\u00fdv\u00e1 v\u00a0sobotu do odletu letadla (od p\u016flnoci do p\u016fl p\u00e1t\u00e9). Se\u010dtu tyto t\u0159i hodnoty a v\u00fdpo\u010det je hotov.<\/span><\/p>\n

\u00a0\u00a0 Stejn\u011b tak postupuji, abych zjistil, kolik minut zb\u00fdv\u00e1 op\u010dn\u00edmu kontraktu do jeho expirace, tedy op\u010dn\u00edm kontrakt\u016fm, kter\u00e9 vstupuj\u00ed do m\u00e9ho v\u00fdpo\u010dtu. K\u00a0po\u010dtu minut do dne\u0161n\u00ed p\u016flnoci p\u0159i\u010dtu po\u010det dn\u016f, kter\u00fd zb\u00fdv\u00e1 do expirace (p\u0159eveden\u00fd na minuty) a k\u00a0n\u011bmu p\u0159ipo\u010dtu po\u010det minut v\u00a0expira\u010dn\u00edm dni, kdy \u201elet\u00ed letadlo\u201c \u2013 expiruj\u00ed op\u010dn\u00ed kontrakty. Pokud vstupuj\u00ed do v\u00fdpo\u010dtu klasick\u00e9 SPX kontrakty<\/strong>, tak tyto kon\u010d\u00ed jejich settlement procedurou p\u0159i Open v\u00a08:30 posledn\u00edho dne<\/strong>, pokud se jedn\u00e1 o weeklys SPX op\u010dn\u00ed kontrakty<\/strong>, tak ty expiruj\u00ed p\u0159i Close posledn\u00edho obchodn\u00edho dne v\u00a015:00<\/strong>. Abych mohl jednotliv\u00e9 \u010dasy porovn\u00e1vat, mus\u00edm zm\u011b\u0159en\u00e9 \u010dasy n\u011bjak\u00fdm zp\u016fsobem standardizovat, toto pak provedu vyd\u011blen\u00edm v\u00fdsledn\u00e9 hodnoty d\u00e9lky \u017eivotnosti jednotliv\u00fdch op\u010dn\u00edch kontrakt\u016f v minut\u00e1ch po\u010dtem minut za rok, t\u00edm z\u00edsk\u00e1m jejich \u201eanualizovan\u00fd tvar\u201c<\/strong>, tedy hledanou hodnotu T1<\/sub><\/strong> a T2<\/sub><\/strong>\u00a0pro ka\u017edou op\u010dn\u00ed s\u00e9rii.<\/span><\/p>\n

\u00a0\u00a0 Cel\u00fd v\u00fdpo\u010det \u010das\u016f pro ob\u011b op\u010dn\u00ed \u0159ady je vid\u011bt na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0 \u00a0 1\/ Aktu\u00e1ln\u00ed \u010desk\u00fd \u010das<\/strong>, kdy p\u00ed\u0161u tento p\u0159\u00edsp\u011bvek\u00a0<\/span><\/p>\n

\u00a0\u00a0 2\/ Po\u010det minut do dne\u0161n\u00ed p\u016flnoci<\/strong>. Minuty do p\u016flnoci jsem posunul o sedmihodinov\u00fd \u010dasov\u00fd posun proti americk\u00e9mu \u010dasu<\/span><\/p>\n

\u00a0\u00a0 3\/ Po\u010det minut v\u00a0p\u0159\u00edpad\u011b, \u017ee ve v\u00fdpo\u010dtu pou\u017e\u00edv\u00e1m weeklys SPX<\/strong> op\u010dn\u00ed kontrakt (expiruje v\u00a015:00 hodin)\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 4\/ Po\u010det minut v\u00a0p\u0159\u00edpad\u011b, \u017ee ve v\u00fdpo\u010dtu pou\u017e\u00edv\u00e1m klasick\u00fd SPX op\u010dn\u00ed kontrakt<\/strong> (expiruje v 8:30 hodin)<\/span><\/p>\n

\u00a0\u00a0 5\/ Po\u010det minut za rok<\/strong><\/span><\/p>\n

\u00a0\u00a0 6\/ Po\u010det minut pro cel\u00e9 dny<\/strong> zb\u00fdvaj\u00edc\u00ed do expirace bli\u017e\u0161\u00ed opce<\/strong><\/span><\/p>\n

\u00a0\u00a0 7\/ Po\u010det minut pro cel\u00e9 dny<\/strong> zb\u00fdvaj\u00edc\u00ed do expirace vzd\u00e1len\u011bj\u0161\u00ed opce<\/strong><\/span><\/p>\n

\u00a0\u00a0 8\/ Sou\u010det v\u0161ech minu<\/strong>t pro d\u00e9lku \u017eivota bli\u017e\u0161\u00ed opce<\/strong> (dne\u0161n\u00ed zbytek do p\u016flnoci + dny do expirace + po\u010det minut v\u00a0expira\u010dn\u00ed den)<\/span><\/p>\n

\u00a0\u00a0 9\/ Sou\u010det v\u0161ech minut<\/strong> pro d\u00e9lku \u017eivota vzd\u00e1len\u011bj\u0161\u00ed opce<\/strong> (dne\u0161n\u00ed zbytek do p\u016flnoci + dny do expirace + po\u010det minut v\u00a0expira\u010dn\u00ed den)<\/span><\/p>\n

\u00a0\u00a0 10\/ V\u00fdpo\u010det T1<\/sub><\/strong> pro bli\u017e\u0161\u00ed opci<\/strong>\u00a0anualizac\u00ed v\u00fdsledku z\u00a0p\u0159edch\u00e1zej\u00edc\u00edho v\u00fdpo\u010dtu (8) vypo\u010dten\u00e1 d\u011blen\u00edm po\u010dtem minut za rok<\/strong><\/span><\/p>\n

\u00a0\u00a0 11\/ V\u00fdpo\u010det T2<\/sub><\/strong> pro vzd\u00e1len\u011bj\u0161\u00ed opci<\/strong>\u00a0anualizac\u00ed v\u00fdsledku z\u00a0p\u0159edch\u00e1zej\u00edc\u00edho v\u00fdpo\u010dtu (9) vypo\u010dten\u00e1 d\u011blen\u00edm po\u010dtem minut za rok<\/strong><\/span><\/p>\n

\u00a0 \u00a0T\u00edmto v\u00fdpo\u010dtem jsem vy\u0159e\u0161il vyhled\u00e1n\u00ed prvn\u00ed hodnoty T1<\/sub><\/strong> a T2<\/sub><\/strong> (\u010derven\u00e9 krou\u017eky) pro oba vzorce v\u00fdpo\u010dtu VIX Indexu<\/span><\/p>\n

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\n

\u00daroky<\/strong><\/span><\/h1>\n

\u00a0 Do vzorce v\u00fdpo\u010dtu VIX Indexu vstupuje tak\u00e9 hodnota \u00farok\u016f<\/strong> (R1 <\/sub><\/strong>a R2<\/sub><\/strong>). \u00daroky reprezentuj\u00ed hodnotu v\u00fdnosu americk\u00fdch dluhopis\u016f U.S. T-Bills nejbl\u00ed\u017ee splatn\u00fdch k\u00a0expiraci jednotliv\u00fdch pou\u017eit\u00fdch op\u010dn\u00edch kontrakt\u016f. Proto\u017ee je to velmi mikroskopick\u00e1 \u010d\u00e1stka, ovliv\u0148uj\u00edc\u00ed v\u00fdsledek v\u00fdpo\u010dtu velmi nepatrn\u011b, budu se dr\u017eet vzorov\u00fdch \u00fadaj\u016f ze str\u00e1nek CBOE, kter\u00e9 pou\u017eily pro bli\u017e\u0161\u00ed op\u010dn\u00ed kontrakt hodnotu R1\u00a0<\/sub><\/strong>ve v\u00fd\u0161i 0,0305%<\/strong> a pro vzd\u00e1len\u011bj\u0161\u00ed op\u010dn\u00ed kontrakt hodnotu R2<\/sub><\/strong> ve v\u00fd\u0161i 0,0286%<\/strong>.<\/span><\/p>\n

\u00a0 Tyto hodnoty \u00farok\u016f se objevuj\u00ed ve vzorci v\u00fdpo\u010dtu VIX Indexu jako koeficient exponenci\u00e1ln\u00ed funkce<\/strong> (zelen\u00fd krou\u017eek).<\/span><\/p>\n

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\u00a0\u00a0 Koeficient<\/strong> exponenci\u00e1ln\u00ed funkce je tedy tvo\u0159en sou\u010dinem hodnot \u00farokov\u00e9 m\u00edry<\/strong> a jednotliv\u00fdch hodnot vypo\u010dten\u00e9ho \u010dasu<\/strong>, kter\u00fd ji\u017e m\u00e1m vypo\u010dten podle p\u0159edchoz\u00edho odstavce. Mohu pak hodnotu t\u00e9to exponenci\u00e1ln\u00ed funkce vypo\u010d\u00edtat jednodu\u0161e pomoc\u00ed Excelu<\/span><\/p>\n

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\u00a0 K\u00a0v\u00fdpo\u010dtu jsem pou\u017eil funkci EXP z Excelu s\u00a0argumentem \u2013 n\u00e1sobkem \u00farok\u016f a vypo\u010dten\u00e9ho anualizovan\u00e9ho \u010dasu. Proto\u017ee hodnota anualizovan\u00e9ho \u010dasu je mal\u00e9 desetinn\u00e9 \u010d\u00edslo a hodnota \u00farok\u016f je je\u0161t\u011b men\u0161\u00ed desetinn\u00e9 \u010d\u00edslo, bude se hodnota exponentu bl\u00ed\u017eit hodnot\u011b nula. Cokoli t\u00e9m\u011b\u0159 na nultou je t\u00e9m\u011b\u0159 jedna, proto bude hodnota t\u00e9to \u010d\u00e1sti vzorce v\u017edy t\u00e9m\u011b\u0159 rovna jedn\u00e9 a nebude tak velikost kone\u010dn\u00e9 vypo\u010dten\u00e9 hodnoty VIX Indexu n\u011bjak z\u00e1sadn\u011b ovliv\u0148ovat. Mohu tak jednodu\u0161e konstatovat, \u017ee \u00faroky nehraj\u00ed ve v\u00fdpo\u010dtu VIX Indexu t\u00e9m\u011b\u0159 \u017e\u00e1dnou roli<\/strong>.<\/span><\/p>\n

\n

V\u00fdpo\u010det Forward Strike<\/strong><\/span><\/h1>\n

\u00a0\u00a0\u00a0 Mohu si p\u0159edstavit, \u017ee hled\u00e1n\u00ed v\u00fdpo\u010dtu VIX Indexu je sout\u011b\u017e v\u00a0p\u0159etahov\u00e1n\u00ed lanem. Ve smyslu tohoto p\u0159\u00edm\u011bru by pak na jedn\u00e9 stran\u011b lana st\u00e1ly OTM Call opce a na druh\u00e9 stran\u011b lana by st\u00e1ly OTM Put opce. Hled\u00e1n\u00ed tzv. Forward strike<\/strong> bych pak mohl p\u0159irovnat ke zji\u0161\u0165ov\u00e1n\u00ed, kde je p\u0159esn\u00fd st\u0159ed takov\u00e9ho lana. Tato zji\u0161t\u011bn\u00e1 hodnoty pak vstupuje do v\u00fdpo\u010dtu takto (hn\u011bd\u00e9 krou\u017eky)<\/span><\/p>\n

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\u00a0\u00a0 S\u00a0t\u00edmto \u00fakolem se tv\u016frce v\u00fdpo\u010dtu vypo\u0159\u00e1dal velmi jednodu\u0161e. Z\u00a0op\u010dn\u00edch \u0159et\u011bzc\u016f obou op\u010dn\u00edch kontrakt\u016f vstupuj\u00edc\u00edch do v\u00fdpo\u010dtu, je z\u00e1kladem pro hled\u00e1n\u00ed takov\u00e9ho Forward strike nejmen\u0161\u00ed absolutn\u00ed hodnota rozd\u00edlu mezi Call i Put cenami<\/strong>. Jak toto vypozorovat prakticky? Do sv\u00e9ho Excelu si st\u00e1hnu op\u010dn\u00ed \u0159et\u011bzce obou sledovan\u00fdch op\u010dn\u00edch s\u00e9ri\u00ed.\u00a0<\/span>Tyto op\u010dn\u00ed \u0159et\u011bzce mohu po\u0159\u00eddit pro sledovan\u00fd den 14.9.2017<\/strong> nap\u0159\u00edklad z\u00a0papertradingov\u00e9 aplikace thinkorswim, kdy\u017e po kliknut\u00ed na z\u00e1lo\u017eku Analyze<\/strong> a kartu „thinkback<\/strong>“ p\u0159i zad\u00e1n\u00ed tickeru SPX<\/strong> vyberu a nech\u00e1m si zobrazit pro zadan\u00fd den 14.9.2017 mnou po\u017eadovan\u00e9 opce s\u00a0expirac\u00ed za 25<\/strong> a 32<\/strong> dn\u016f.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0prav\u00e9m horn\u00edm rohu aplikace kliknu na Menu<\/strong> a vyberu mo\u017enost Export to file\u2026<\/strong><\/span><\/p>\n

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

\u00a0\u00a0 <\/strong>Ve vysko\u010den\u00e9m okn\u011b se nab\u00edz\u00ed soubor .csv, kter\u00fd obsahuje excelovsk\u00e1 data obou vybran\u00fdch \u0159et\u011bzc\u016f z\u00a0tohoto dne. Tyto si nech\u00e1m ulo\u017eit a zobrazit ve sv\u00e9m Excelu. Po grafick\u00e9 \u00faprav\u011b m\u00e1m mo\u017enost n\u00e1sleduj\u00edc\u00edho pohledu<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Pro ka\u017edou opci Call i Put<\/strong> na ka\u017ed\u00e9m strike m\u00e1m zobrazeny jejich Ask<\/strong> a Bid<\/strong>. Pro pot\u0159eby zji\u0161t\u011bn\u00ed nejmen\u0161\u00edho absolutn\u00edho rozd\u00edlu mus\u00edm nejd\u0159\u00edve vypo\u010d\u00edtat jejich st\u0159edov\u00e9 ceny<\/strong> \u2013 MID<\/strong>. Jednodu\u0161e (Ask+Bid)\/2<\/strong> \u2013 oby\u010dejn\u00fd pr\u016fm\u011br. Pak mohu vid\u011bt, nap\u0159\u00edklad pro strike 2465, pr\u016fm\u011brnou cenu Call opce 41.00 a pro Put opci pr\u016fm\u011brnou cenu 9.45. Jejich rozd\u00edl je 31.55. Takto provedu vyhled\u00e1n\u00ed rozd\u00edlu pro v\u0161echny opce v\u00a0op\u010dn\u00edm \u0159et\u011bzci. Z\u00a0takto jednoduch\u00e9ho v\u00fdpo\u010dtu zjist\u00edm, \u017ee nejmen\u0161\u00ed hodnota je u strike 2495 a \u010din\u00ed 1.50<\/strong>. Je to pochopiteln\u011b strike nejbl\u00ed\u017ee moment\u00e1ln\u00ed cen\u011b trhu. Abych mohl vypo\u010d\u00edst hodnotu Forward Strike<\/strong> (tedy p\u0159esn\u00e9ho st\u0159edu lana pro p\u0159etahov\u00e1n\u00ed) pou\u017eiji vzorec konstrukt\u00e9r\u016f VIX Indexu<\/span><\/p>\n

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\u00a0\u00a0 Nen\u00ed to nic slo\u017eit\u00e9ho. Hodnotu exponenci\u00e1ln\u00ed funkce ji\u017e m\u00e1m vypo\u010dtenu z\u00a0p\u0159edchoz\u00edho v\u00fdpo\u010dtu s\u00a0\u00faroky a na ostatn\u00ed hodnoty se d\u00edv\u00e1m do sv\u00e9ho op\u010dn\u00edho \u0159et\u011bzce. Strike Price je 2495 (ten s\u00a0nejmen\u0161\u00ed hodnotou rozd\u00edlu cen) a samotn\u00fd rozd\u00edl je 1,50. Mohu proto hrav\u011b vypo\u010d\u00edtat hodnotu Forward strike pro opce s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Podle tohoto jednoduch\u00e9ho v\u00fdpo\u010dtu mohu stanovit hodnotu Forward strike<\/strong> pro oba op\u010dn\u00ed \u0159et\u011bzce<\/strong> z\u00a0v\u00fdpo\u010dtu. V\u00a0m\u00e9m p\u0159\u00edpad\u011b jsou to hodnoty velmi podobn\u00e9 a \u010din\u00ed zhruba 2496,50<\/strong>. To je pomysln\u00fd \u201est\u0159ed lana\u201c pro oba o\u010dn\u00ed \u0159et\u011bzce.<\/span><\/p>\n

\n

V\u00fdb\u011br opc\u00ed pro v\u00fdpo\u010det<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Do v\u00fdpo\u010dtu ceny VIX Indexu podle jejich tv\u016frc\u016f pat\u0159\u00ed ceny OTM Call<\/strong> a OTM Put<\/strong> opc\u00ed. Zb\u00fdv\u00e1 tak definovat, kter\u00e9 opce jsou t\u00edmto my\u0161leny<\/strong>. I s\u00a0takovou zd\u00e1nlivou jednoduchost\u00ed se museli tv\u016frci v\u00fdpo\u010dtu vypo\u0159\u00e1dat. V p\u0159\u00edkladu s\u00a0p\u0159etahov\u00e1n\u00ed lanem by takov\u00fd probl\u00e9m znamenal, \u017ee chci poznat jm\u00e9na chlap\u016f na obou stran\u00e1ch lana (hodnoty strike) a jejich s\u00edlu, kterou um\u00ed lano t\u00e1hnout (ceny opc\u00ed na t\u011bchto strike). V\u00a0logice v\u00fdpo\u010dtu je to za\u0159\u00edzeno tak, \u017ee se bude definovat jak\u00fdsi \u201estrike nula\u201c<\/strong> K0<\/sub><\/strong>\u00a0(\u010dern\u00fd krou\u017eek) pro ka\u017edou op\u010dn\u00ed s\u00e9rii.<\/span><\/p>\n

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\u00a0\u00a0 Za\u0159\u00edzeno je to jednodu\u0161e. T\u00edmto strike je nejbl\u00ed\u017ee ni\u017e\u0161\u00ed strike<\/strong> pod vypo\u010dten\u00fdm Forward strike<\/strong> z\u00a0p\u0159edch\u00e1zej\u00edc\u00edho odstavce. Zjednodu\u0161en\u011b takto si tv\u016frci v\u00fdpo\u010dtu VIX Indexu vysv\u011btluj\u00ed hodnotu ide\u00e1ln\u00edho ATM strike. Pokud se tedy n\u011bkdy dostanete v\u00a0restauraci do odborn\u00e9 diskuze o tom, co je vlastn\u011b ATM strike, tak takov\u00e9 vysv\u011btlen\u00ed by ur\u010dit\u011b m\u011blo sta\u010dit :c). V\u00a0m\u00e9m p\u0159\u00edpad\u011b p\u0159i hodnot\u00e1ch Forward strike zhruba 2496,50<\/strong>, t\u00e9m\u011b\u0159 stejn\u00fdch pro oba op\u010dn\u00ed \u0159et\u011bzce, je t\u00edmto ATM strike v\u00a0obou p\u0159\u00edpadech <\/strong>strike 2495<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 V\u0161echny opce na ni\u017e\u0161\u00edm strike ne\u017e je K0<\/sub><\/strong> strike 2495<\/strong> jsou pak pova\u017eov\u00e1ny za OTM Put opce<\/strong> a v\u0161echny opce na strike vy\u0161\u0161\u00edm ne\u017e tento K0<\/sub><\/strong>\u00a0strike 2495<\/strong> jsou pak pova\u017eov\u00e1ny za OTM Call opce.<\/strong><\/span><\/p>\n

\n

Pr\u00e1ce s\u00a0OTM opcemi<\/strong><\/span><\/h1>\n

\u00a0\u00a0 T\u00e9m\u011b\u0159 v\u0161echny hodnoty, kter\u00e9 jsem musel definovat pro budouc\u00ed v\u00fdpo\u010det m\u00e1m stanoveny. Vybral jsem si dv\u011b p\u0159\u00edslu\u0161n\u00e9 s\u00e9rie op\u010dn\u00edch kontrakt\u016f a m\u00e1m spo\u010d\u00edtanou annualizovanou hodnotu jejich \u010dasu. D\u00e1le v\u00edm, \u017ee \u00faroky nebudou hr\u00e1t ve v\u00fdpo\u010dtu t\u00e9m\u011b\u0159 \u017e\u00e1dnou roli a pochopil jsem, kter\u00e9 op\u010dn\u00ed kontrakty jsou pova\u017eov\u00e1ny za opce \u201emimo pen\u00edze\u201c. Zb\u00fdv\u00e1 tak samotn\u00e1 podstata v\u00fdpo\u010dtu, a tou je pr\u00e1ce s\u00a0cenami jednotliv\u00fdch strike vybran\u00fdch OTM op\u010dn\u00edch kontrakt\u016f. Mus\u00edm se prost\u011b vypo\u0159\u00e1dat s\u00a0n\u00ed\u017ee uvedenou \u010d\u00e1st\u00ed vzorc\u016f pro v\u00fdpo\u010det VIX Indexu.<\/span><\/p>\n

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\u00a0 P\u00edsmeno \u201eK<\/strong>\u201c\u00a0ozna\u010duje jednotliv\u00e9 vybran\u00e9 OTM strike<\/strong> a p\u00edsmeno \u201eQ<\/strong>\u201c cenu opc\u00ed<\/strong> na t\u011bchto strike. Pokud n\u011bkomu p\u0159ijde, \u017ee je to doposud slo\u017eit\u00e9, m\u00e1lo srozumiteln\u00e9 nebo dokonce zbyte\u010dn\u00e9 k porozum\u011bn\u00ed, tak mohu \u0159\u00edct, \u017ee to vlastn\u011b ani nevad\u00ed, proto\u017ee j\u00e1dro pochopen\u00ed<\/strong> funkce v\u00fdpo\u010dtu hodnoty VIX Indexu (tedy i kl\u00ed\u010d k jeho samotn\u00e9ho fungov\u00e1n\u00ed) je vyzna\u010den pr\u00e1v\u011b v\u00a0t\u00e9to f\u00e1zi<\/strong>. Podstatou fungov\u00e1n\u00ed je vlo\u017eena pr\u00e1v\u011b do t\u00e9to \u010d\u00e1sti celkov\u00e9ho vzorce v\u00fdpo\u010dtu hodnoty VIX Indexu<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Podle t\u00e9to \u010d\u00e1sti vzorce se jedn\u00e1 o celkov\u00fd sou\u010det pod\u00edl\u016f rozd\u00edlu sousedn\u00edch strike<\/strong> (\u2206K<\/strong>) a druh\u00e9 mocniny tohoto strike<\/strong> a toto v\u0161e je n\u00e1sobeno cenou op\u010dn\u00edho kontraktu na tomto strike<\/strong>. Pokud vyhodnot\u00edm situaci matematicky a budu ji cht\u00edt takto interpretovat, tak hodnota VIX Indexu bude p\u0159\u00edmo \u00fam\u011brn\u00e1 kroku jednotliv\u00fdch strike a jejich cen\u011b a nep\u0159\u00edmo \u00fam\u011brn\u00e1 druh\u00e9 mocnin\u011b t\u011bchto jednotliv\u00fdch strike.<\/span><\/p>\n

\u00a0\u00a0 Co to prakticky znamen\u00e1? Proto\u017ee j\u00e1 ji\u017e m\u00e1m samoz\u0159ejm\u011b v\u00fdpo\u010det cel\u00e9ho VIX Indexu hotov, mohu s\u00a0n\u00edm libovoln\u011b experimentovat ve smyslu tohoto vzorce. Mohu si nap\u0159\u00edklad p\u0159edstavit, \u017ee p\u0159i cen\u011b SPX 2495<\/strong> je VIX Index<\/strong> na hodnot\u011b 10.45<\/strong>. Z\u00a0n\u011bjak\u00e9ho d\u016fvodu za\u010dnou investo\u0159i nakupovat OTM Long Put opce, a to na\u00a0hodn\u011b vzd\u00e1len\u00fdch strike. Ceny ATM opc\u00ed z\u016fstanou t\u00e9m\u011b\u0159 beze zm\u011bny, ale ceny na t\u011bchto velmi vzd\u00e1len\u00fdch strike za\u010dnou podstatn\u011b r\u016fst. D\u00edky vyvolan\u00e9 popt\u00e1vce. Modelov\u011b jsem na strike 2275 a ni\u017e\u0161\u00edch (10% a v\u00edce od sou\u010dasn\u00e9 ceny) zvedl ceny t\u011bchto opc\u00ed skokov\u011b o n\u00e1r\u016fst 50%, toto jsou strike opc\u00ed s\u00a0t\u0159icetidenn\u00ed expirac\u00ed t\u00e9m\u011b\u0159 mimo jakoukoliv b\u011b\u017enou traderskou pozornost. Ta opce, kter\u00e1 st\u00e1la p\u016fvodn\u011b 10 USD nyn\u00ed bude st\u00e1t 15 USD. Pohledem do op\u010dn\u00edho \u0159et\u011bzce takovou zm\u011bnu ani nezaregistrujete. VIX Index<\/strong> ale zm\u011bn\u00ed svou hodnotu skokov\u011b na 12.46<\/strong> \u2013 pos\u00edl\u00ed o neuv\u011b\u0159iteln\u00fdch +17% sv\u00e9 hodnoty.<\/strong> Nen\u00e1padn\u00e9 a t\u00e9m\u011b\u0159 nepozorovateln\u00e9 zdra\u017een\u00ed vzd\u00e1len\u00fdch OTM Long Put opc\u00ed zp\u016fsob\u00ed brut\u00e1ln\u00ed pohyb na VIX Indexu.<\/span><\/p>\n

\u00a0\u00a0 Na z\u00e1klad\u011b t\u00e9to zku\u0161enosti pak mohu formulovat druh\u00e9 up\u0159esn\u011bn\u00ed obecn\u00e9 definice VIX Indexu<\/strong>. Jeho v\u00fd\u0161e z\u00e1vis\u00ed pouze na zm\u011bn\u011b cen OTM opc\u00ed na podkladov\u00e9 aktivum SPX<\/u><\/strong>, na ni\u010dem jin\u00e9m. Index S&P 500 tedy m\u016f\u017ee r\u016fst nebo klesat, ale hodnota OTM opc\u00ed m\u016f\u017ee z\u016fstat stejn\u00e1 a t\u00edm tak\u00e9 hodnota VIX Indexu. Nez\u00e1le\u017e\u00ed pak na hodnot\u011b tohoto indexu, ale n\u00e1lad\u011b obchodn\u00edk\u016f po\u0159izovat nebo nepo\u0159izovat OTM opce na SPX. To je tak\u00e9 vysv\u011btlen\u00ed, \u017ee inverzn\u00ed chov\u00e1n\u00ed VIX Indexu a SPX nen\u00ed \u00fapln\u011b stoprocentn\u00ed. SPX tak m\u016f\u017ee klesat a hodnota VIX Indexu m\u016f\u017ee stagnovat nebo dokonce klesat tak\u00e9, jednodu\u0161e proto, \u017ee nen\u00ed na trhu n\u00e1lada kupovat takov\u00e9 OTM Long Put opce, tedy zejm\u00e9na se zaji\u0161\u0165ovat proti poklesu trh\u016f. Plat\u00ed to samoz\u0159ejm\u011b tak\u00e9 naopak. R\u016fst SPX a r\u016fst VIX Indexu (nebo jeho vysok\u00e9 hodnoty) by m\u011bl signalizovat, \u017ee zaji\u0161\u0165ovac\u00ed opce prudce zdra\u017euj\u00ed, proto\u017ee po nich roste popt\u00e1vka. Roste p\u0159esv\u011bd\u010den\u00ed o tom, \u017ee je dobr\u00e9 b\u00fdt zaji\u0161t\u011bn nebo se \u201ezvy\u0161uj\u00ed s\u00e1zky\u201c na propad trh\u016f, proto obchodn\u00edci kupuj\u00ed tyto OTM Put opce.<\/span><\/p>\n

\u00a0 \u00a0Jak tedy pokro\u010dit ve v\u00fdpo\u010dtu VIX Indexu podle tohoto vzorce. V Excelu, kde m\u00e1m na\u010dteny oba op\u010dn\u00ed \u0159et\u011bzce, provedu \u00fapravy a v\u00fdpo\u010dty podle n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0\u00a0\u00a0 P\u0159ed \u00fapravou tabulky s\u00a0op\u010dn\u00edm \u0159et\u011bzcem vylou\u010d\u00edm ve\u0161ker\u00e9 strike, kter\u00e9 nemaj\u00ed stanovenu cenu BID, vylou\u010d\u00edm tak z\u00a0v\u00fdpo\u010dtu opce, kde nen\u00ed mo\u017en\u00e9 f\u00e9rov\u011b stanovit jejich cenu. Budou to zejm\u00e9na opce na \u00fapln\u00fdch \u201eokraj\u00edch op\u010dn\u00edho \u0159et\u011bzce\u201c, tedy ty s\u00a0velmi vzd\u00e1len\u00fdmi strike. Pot\u00e9 provedu \u00fapravy podle jednotliv\u00fdch bod\u016f obr\u00e1zku:<\/span><\/p>\n

\u00a0\u00a0 1\/ Vytvo\u0159\u00edm si nov\u00fd sloupec<\/strong>, do kter\u00e9ho budu p\u0159esouvat ceny OTM opc\u00ed<\/strong> Call i Put<\/span><\/p>\n

\u00a0\u00a0 2\/ Do v\u00fd\u0161e vytvo\u0159en\u00e9ho sloupce p\u0159ekop\u00edruji ceny v\u0161ech OTM cen Put opc\u00ed<\/strong>, kter\u00e9 jsou pod ATM strike<\/strong>, kter\u00fd je podbarven \u017elut\u011b<\/span><\/p>\n

\u00a0\u00a0 3\/ Do v\u00fd\u0161e vytvo\u0159en\u00e9ho sloupce p\u0159ekop\u00edruji ceny v\u0161ech OTM cen Call opc\u00ed<\/strong>, kter\u00e9 jsou nad ATM strike<\/strong>, kter\u00fd je podbarven \u017elut\u011b<\/span><\/p>\n

\u00a0\u00a0 4\/ Vytvo\u0159\u00edme si dal\u0161\u00ed sloupec, do kter\u00e9ho budeme po\u010d\u00edtat \u2206K<\/strong>, tedy rozd\u00edly mezi sousedn\u00edmi strike<\/strong>. Nap\u0159\u00edklad rozd\u00edl strike 2455 a 2450 je +5.<\/span><\/p>\n

\u00a0\u00a0\u00a0 5\/ V\u00a0p\u0159\u00edpad\u011b ATM strike K0<\/sub><\/strong>\u00a0nep\u0159en\u00e1\u0161\u00edme hodnotu ceny MID p\u0159\u00edslu\u0161n\u00e9 opce, ale vypo\u010dteme ji jako pr\u016fm\u011br Call a Put ceny<\/strong> (Call+Put)\/2<\/span><\/p>\n

\u00a0\u00a0\u00a0 6\/ Vypo\u010dteme si cel\u00fd vzorec v\u00fd\u0161e pro ka\u017ed\u00fd jednotliv\u00fd strike<\/strong> podle tohoto uveden\u00e9ho vzorce. Budeme tedy v\u00a0ka\u017ed\u00e9m \u0159\u00e1dku zji\u0161\u0165ovat pod\u00edl rozd\u00edlu strike (\u2206K) d\u011blit druhou mocninou hodnoty strike. Toto budeme n\u00e1sobit exponenci\u00e1ln\u00ed funkc\u00ed (ji\u017e m\u00e1me vypo\u010dtenu d\u0159\u00edve) a n\u00e1sobit cenou opce ze sloupce podle kroku (3). Vzorec pro n\u011bjak\u00fd m\u016fj \u0159\u00e1dek (nap\u0159\u00edklad \u0159\u00e1dek \u010d. 70) bude vypadat n\u00e1sledovn\u011b =(K70\/POWER(F70;2))*EXP($AE$5+$AE$8)*L70 (pod\u00edl strike a druh\u00e9 mocniny strike x exponenci\u00e1ln\u00ed funkce x cena opce). Vypo\u010d\u00edtan\u00e9 \u010d\u00edslo v\u00a0tomto sloupci pro ka\u017ed\u00fd \u0159\u00e1dek p\u0159edstavuje \u201ev\u00fd\u0161i \u00fa\u010dasti<\/strong>\u201c ka\u017ed\u00e9ho strike v\u00a0celkov\u00e9m v\u00fdpo\u010dtu VIX Indexu<\/strong> pro danou op\u010dn\u00ed s\u00e9rii.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 <\/span><\/p>\n

\u00a0 \u00a07\/ Proto\u017ee hled\u00e1me sou\u010det<\/strong> t\u011bchto jednotliv\u00fdch polo\u017eek, tak vypo\u010d\u00edtan\u00e9 hodnoty ze v\u0161ech \u0159\u00e1dk\u016f sloupce se\u010dteme. Se\u010dteme tak \u201ecelkovou \u00fa\u010dast\u201c<\/strong> t\u00e9to op\u010dn\u00ed s\u00e9rie na celkov\u00e9 budouc\u00ed hodnot\u011b VIX Indexu.<\/span><\/p>\n

\u00a0 \u00a0\u00a0<\/span>Stejn\u00fd v\u00fdpo\u010det provedeme i pro druhou op\u010dn\u00ed s\u00e9rii se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed vstupuj\u00edc\u00ed do v\u00fdpo\u010dtu VIX Indexu. Pot\u00e9 budeme m\u00edt v\u0161e co pot\u0159ebujeme k\u00a0v\u00fdpo\u010dtu VIX Indexu pro den 14.9.2017.<\/span>\u00a0V\u00fd\u0161e uveden\u00fd v\u00fdpo\u010det znamenal zji\u0161t\u011bn\u00ed, jak\u00fdm zp\u016fsobem ka\u017ed\u00fd konkr\u00e9tn\u00ed OTM strike<\/strong> (Call nebo Put) p\u0159isp\u00edv\u00e1 do celkov\u00e9ho v\u00fdpo\u010dtu VIX Indexu<\/strong>, a to pro ka\u017edou op\u010dn\u00ed s\u00e9rii zvl\u00e1\u0161\u0165. Proto\u017ee to nen\u00ed pouh\u00fdm okem tak patrn\u00e9, zobrazil jsem si v\u00a0grafick\u00e9 podob\u011b takov\u00e9 \u201ep\u0159\u00edsp\u011bvky\u201c pro v\u0161echny strike, kde je rozd\u00edl mezi t\u011bmito strike 5 bod\u016f, a to pro Call i Put stranu.<\/span><\/p>\n

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

\u00a0\u00a0 Je z\u0159eteln\u00e9, \u017ee nejvy\u0161\u0161\u00ed pod\u00edl ve v\u00fdpo\u010dtu budou m\u00edt zm\u011bny nejbli\u017e\u0161\u00edch hodnot okolo ATM strike, a to na \u201eobou stran\u00e1ch lana\u201c, tam tahaj\u00ed nejsiln\u011bj\u0161\u00ed borci. Pokud si ale prom\u00edtnu v\u00fd\u0161i \u00fa\u010dasti ve vzd\u00e1lenosti -50 strike<\/strong> a +50 strike<\/strong>, tak je velmi z\u0159eteln\u011b vid\u011bt, \u017ee p\u0159\u00edsp\u011bvek OTM Call opc\u00ed<\/strong> je nevaln\u00fd<\/strong>, zat\u00edmco na stran\u011b OTM Put opc\u00ed<\/strong> je nepom\u011brn\u011b vy\u0161\u0161\u00ed<\/strong>. Celkov\u00fd prudk\u00fd sp\u00e1d na stran\u011b Call oproti pozvoln\u00e9mu sp\u00e1du na stran\u011b Put d\u00e1v\u00e1 jasn\u011b najevo, \u017ee Put \u201eborci\u201c jsou daleko v\u011bt\u0161\u00ed sil\u00e1ci a je jich tak\u00e9 nepom\u011brn\u011b v\u00edce. P\u0159etahovanou o lano v\u017edycky vyhraj\u00ed. I velmi vzd\u00e1len\u00e9 Put strike hraj\u00ed sv\u00fdm p\u0159\u00edsp\u011bvkem v hodnot\u011b VIX Indexu podstatnou roli. Znamen\u00e1 to jedin\u00e9, a bude to t\u0159et\u00ed up\u0159esn\u011bn\u00ed obecn\u00e9 definice VIX Indexu<\/strong>. Jeho v\u00fd\u0161e z\u00e1vis\u00ed zcela z\u00e1sadn\u011b na zm\u011bn\u00e1ch cen OTM Put op\u010dn\u00edch kontrakt\u016f na podkladov\u00e9 aktivum SPX<\/u><\/strong>. \u00a0<\/span><\/p>\n

\n

VIN a VIF<\/span><\/strong><\/h1>\n

\u00a0\u00a0 P\u0159istoup\u00edm k\u00a0finalizaci v\u00fdpo\u010dtu. Pro ka\u017edou op\u010dn\u00ed s\u00e9rii vypo\u010d\u00edt\u00e1m hodnotu \u201e\u03b4<\/strong>2<\/strong>\u201c, <\/sup>kter\u00e1 bude p\u0159edstavovat VIX Index<\/strong> pro ka\u017edou op\u010dn\u00ed s\u00e9rii<\/strong>. Pracovn\u011b jsem cel\u00fd vzorec rozd\u011blil do dvou \u010d\u00e1st\u00ed na \u201eChuchvalec1<\/strong>\u201c a \u201eChuchvalec2<\/strong>\u201c<\/span><\/p>\n

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\u00a0\u00a0 Nejd\u0159\u00edve si shrnu, kter\u00e9 hodnoty jsem ji\u017e vypo\u010d\u00edtal<\/strong> a kter\u00e9 m\u00e1m ze vzorce pro v\u00fdpo\u010det VIX Indexu k\u00a0dispozici a kter\u00e9 budou slou\u017eit k\u00a0\u0159e\u0161en\u00ed chuchvalc\u016f.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 M\u00e1m tak pro ob\u011b op\u010dn\u00ed s\u00e9rie vypo\u010dten\u00fd anualizovan\u00fd \u010das<\/strong>, zji\u0161t\u011bnu \u00farokovou m\u00edru<\/strong>, hodnotu exponenci\u00e1ln\u00ed funkce<\/strong>, forward strike<\/strong> a stanoven ATM strike<\/strong>. Nyn\u00ed jsou tedy na \u0159ad\u011b pouze nejjednodu\u0161\u0161\u00ed matematick\u00e9 operace s\u010d\u00edt\u00e1n\u00ed, od\u010d\u00edt\u00e1n\u00ed, n\u00e1soben\u00ed, d\u011blen\u00ed a odmocnina pro v\u00fdpo\u010det cel\u00e9ho vzorce ve dvou vyhotoven\u00edch pro ka\u017edou op\u010dn\u00ed s\u00e9rii vstupuj\u00edc\u00ed do v\u00fdpo\u010dtu.<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdpo\u010det je z\u0159eteln\u00fd z\u00a0v\u00fd\u0161e uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

\u00a0\u00a0 1\/ Pro v\u00fdpo\u010det Chuchvalec1<\/strong>\u201c m\u00e1m ji\u017e hodnotu sumy v\u00fd\u0161e p\u0159\u00edsp\u011bvk\u016f vypo\u010d\u00edtanou v\u00a0m\u00e9m Excelu a je to \u010d\u00e1stka ozna\u010den\u00e1 \u010d\u00edslem (7) v\u00a0p\u0159edchoz\u00edm obr\u00e1zku s\u00a0vyobrazen\u00edm Excelovsk\u00e9 tabulky. Zb\u00fdv\u00e1 ji jenom vyn\u00e1sobit hodnotou 2\/T1<\/sub><\/strong>\u00a0a m\u00e1m tento chuchvalec rozpleten.<\/span><\/p>\n

\u00a0\u00a0 2\/ Stejn\u00fd v\u00fdpo\u010det pro op\u010dn\u00ed s\u00e9rii se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed vyn\u00e1soben\u00edm hodnotou\u00a0 2\/<\/strong>T2<\/sub><\/strong>\u00a0<\/span><\/p>\n

\u00a0\u00a0 3\/ V\u00fdpo\u010det Chuchvalec2<\/strong>, krok po kroku v\u00a0matematick\u00fdch operac\u00edch pro bli\u017e\u0161\u00ed op\u010dn\u00ed s\u00e9rii<\/span><\/p>\n

\u00a0\u00a0 4\/ Stejn\u00fd v\u00fdpo\u010det Chuchvalce2<\/strong> pro vzd\u00e1len\u011bj\u0161\u00ed s\u00e9rii op\u011bt v jednotliv\u00fdch kroc\u00edch<\/span><\/p>\n

\u00a0\u00a0 5\/ Kompletace vzorce Chuchvalec1<\/strong> m\u00ednus Chuchvalec2<\/strong> pro bli\u017e\u0161\u00ed op\u010dn\u00ed s\u00e9rii<\/span><\/p>\n

\u00a0\u00a0 6\/ Stejn\u00e1 kompletace vzorce pro vzd\u00e1len\u011bj\u0161\u00ed op\u010dn\u00ed s\u00e9rii<\/span><\/p>\n

\u00a0\u00a0 7\/ Odmocn\u011bn\u00ed<\/strong> p\u0159edch\u00e1zej\u00edc\u00edho v\u00fdpo\u010dtu (5) a n\u00e1sobek x 100<\/strong> \u2013 VIN<\/strong> pro bli\u017e\u0161\u00ed op\u010dn\u00ed s\u00e9rii<\/span><\/p>\n

\u00a0\u00a0 8\/ Stejn\u00e9 odmocn\u011bn\u00ed<\/strong> p\u0159edch\u00e1zej\u00edc\u00edho v\u00fdpo\u010dtu (6) a n\u00e1sobek x 100 \u2013 VIF<\/strong> pro vzd\u00e1len\u011bj\u0161\u00ed op\u010dn\u00ed s\u00e9rii<\/span><\/p>\n

\u00a0\u00a0 Pokud jste do\u010detli \u010dl\u00e1nek do tohoto m\u00edsta, tak v\u011bzte, \u017ee jsem ji\u017e kr\u016f\u010dek od v\u00fdpo\u010dtu hodnoty VIX Indexu. Vypo\u010dten\u00e9 VIN<\/strong> (CBOE Near-Term VIX)<\/strong> a VIF<\/strong> (CBOE Far-Term VIX) jsou toti\u017e hodnoty VIX Indexu<\/strong> pro ka\u017edou op\u010dn\u00ed s\u00e9rii zvl\u00e1\u0161\u0165<\/strong>. Tyto dv\u011b hodnoty, tedy VIX bli\u017e\u0161\u00ed a vzd\u00e1len\u011bj\u0161\u00ed opce m\u016f\u017eete sledovat p\u0159\u00edmo na str\u00e1nk\u00e1ch CBOE<\/u><\/a><\/strong><\/span>. M\u016f\u017eete tak, krom\u011b samotn\u00e9 hodnoty kone\u010dn\u00e9ho VIX Indexu, kter\u00fd vid\u00edte ve sv\u00fdch platform\u00e1ch, sledovat tak\u00e9 tyto jej\u00ed dv\u011b komponenty VIN a VIF. Pokud bych cht\u011bl pozorov\u00e1n\u00ed takov\u00e9 o\u010dek\u00e1van\u00e9 volatility na trz\u00edch SPX v\u00edce rozkl\u00ed\u010dovat, tak se mohu pono\u0159it do zkoum\u00e1n\u00ed \u201eTerm Structure<\/strong>\u201c takov\u00fdch v\u00fdpo\u010dt\u016f, tedy po\u017eitou metodu v\u00fdpo\u010dtu popsanou v \u010dl\u00e1nku pou\u017e\u00edt na v\u00edce op\u010dn\u00edch \u0159ad s\u00a0r\u016fznou expirac\u00ed v budoucnosti a pozorovat, jak\u00e1 je jejich \u010dasov\u00e1 struktura. Na str\u00e1nk\u00e1ch CBOE je mo\u017en\u00e9 takovou Term Structure pozorovat zde<\/span><\/strong><\/a><\/span>\u00a0.\u00a0 \u00a0\u00a0<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Takov\u00fd obr\u00e1zek by pak byl k\u00a0vid\u011bn\u00ed na t\u011bchto str\u00e1nk\u00e1ch a zobrazuje v\u010derej\u0161\u00ed \u00fadaje o takov\u00e9 \u010dasov\u00e9 struktu\u0159e. V\u00a0grafu jsou vyneseny hodnoty vypo\u010dten\u00e9 metodou pro v\u00fdpo\u010det VIX Indexu pro ka\u017edou op\u010dn\u00ed s\u00e9rii s\u00a0budouc\u00ed expirac\u00ed<\/strong> vyzna\u010denou v\u00a0tabulce pod grafem (budouc\u00ed expirace klasick\u00fdch m\u011bs\u00ed\u010dn\u00edch opc\u00ed). Touto \u010dasovou strukturou se budu podrobn\u011b zab\u00fdvat v\u00a0dal\u0161\u00edch \u010dl\u00e1nc\u00edch, tak\u017ee na jej\u00ed interpretaci p\u0159ijde v\u00a0budoucnosti \u0159ada.<\/span><\/p>\n

\n

VIX Index<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Fin\u00e1le. V\u00fdpo\u010det VIX Indexu nen\u00ed nyn\u00ed nic jin\u00e9ho, ne\u017e jen matematick\u00e1 operace s\u00a0\u00fadaji vypo\u010dten\u00fdmi podle p\u0159edchoz\u00edho odstavce. M\u00e1me vypo\u010dteny hodnoty jednotliv\u00fdch VIX Index\u016f pro ka\u017edou ze dvou op\u010dn\u00edch \u0159ad, nyn\u00ed sta\u010d\u00ed jejich hodnoty pouze \u201ezv\u00e1\u017eit v\u00a0\u010dase<\/strong>\u201c, tedy p\u0159ilo\u017eit pat\u0159i\u010dnou v\u00e1hu jedn\u00e9 hodnot\u011b na \u00fakor hodnoty druh\u00e9 podle \u010dasov\u00e9ho hlediska, vzhledem k\u00a0r\u016fzn\u00fdm d\u00e9lk\u00e1m expirac\u00ed pou\u017eit\u00fdch op\u010dn\u00edch kontrakt\u016f. K\u00a0tomuto v\u00fdpo\u010dtu vyrobili konstrukt\u00e9\u0159i v\u00fdpo\u010dtu vzorec, kter\u00fd je zobrazen n\u00ed\u017ee.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Vypad\u00e1 d\u011bsiv\u011b, ale nen\u00ed tomu tak. Hodnoty sigma<\/strong> a T<\/strong> ji\u017e m\u00e1me d\u00e1vno vypo\u010dteny, zbyl\u00e9 \u00fadaje jsou \u00fadaje o \u010dasech v\u00a0minut\u00e1ch, kter\u00e9 se v\u00e1\u017eou k\u00a0pou\u017eit\u00fdm op\u010dn\u00edm kontrakt\u016fm. T\u011bmito \u010dasov\u00fdmi v\u00fdpo\u010dty jsem se zab\u00fdval v\u00a0\u00favodu \u010dl\u00e1nku<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Zb\u00fdv\u00e1 jen takov\u00e9 \u00fadaje dosadit do v\u00fd\u0161e uveden\u00e9ho vzorce, kter\u00fd \u201ezv\u00e1\u017e\u00ed\u201c VIX Indexy pro ka\u017edou op\u010dn\u00ed \u0159adu podle hlediska \u010dasu. Jsou to pouze jednoduch\u00e9 matematick\u00e9 operace. Jejich v\u00fdsledkem by m\u011blo b\u00fdt n\u00ed\u017ee zn\u00e1zorn\u011bn\u00e9.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Vypo\u010dten\u00e9 desetinn\u00e9 \u010d\u00edslo vygenerovan\u00e9 v\u00fdpo\u010dtem vzorce vyn\u00e1sob\u00edm stem<\/strong> a dostanu\u00a0hodnotu kone\u010dn\u00e9ho VIX Indexu<\/strong> pro dan\u00fd \u010das dan\u00e9ho dne, tedy konkr\u00e9tn\u011b pro m\u016fj v\u00fdpo\u010det hodnotu 10.46<\/strong>. Pokud bych cht\u011bl tuto skute\u010dnost ov\u011b\u0159it v\u00a0praxi, tak na n\u00ed\u017ee uveden\u00e9m grafu je hodnota VIX Indexu dne 14.9.2017<\/strong>. Proto\u017ee z\u00e1kladem v\u00fdpo\u010dtu byly op\u010dn\u00ed \u0159et\u011bzce s Close cenami SPX, m\u011bla by hodnota vypo\u010dten\u00e9ho VIX Indexu odpov\u00eddat sv\u00e9 Close cen\u011b v tento den.<\/span><\/p>\n

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

\n

\u00a0 Je to mo\u017en\u00e1 slo\u017eit\u00e9, ale m\u00e1 to svou vlastn\u00ed logiku. Necht\u011bl jsem opravdu \u010dten\u00e1\u0159e otr\u00e1vit n\u011bjakou suchop\u00e1rnou matematikou. Nem\u011blo by b\u00fdt ambic\u00ed si po\u010d\u00edtat VIX Index v\u00a0n\u011bjak\u00e9m sv\u00e9m Excelu, to je \u00fapln\u011b zbyte\u010dn\u00e9, je ale zapot\u0159eb\u00ed v\u011bd\u011bt, jak to vlastn\u011b cel\u00e9 funguje. Z\u00e1sadn\u00ed informac\u00ed je, \u017ee VIX Index je po\u010d\u00edt\u00e1n pomoc\u00ed cen op\u010dn\u00edch kontrakt\u016f podkladu SPX a ni\u010deho jin\u00e9ho, bude tedy odr\u00e1\u017eet jeho pohyby a pohyby jeho nejv\u00fdznamn\u011bj\u0161\u00edch komponent. Pro pochopen\u00ed pak d\u00e1le sta\u010d\u00ed v\u011bd\u011bt, \u017ee existuj\u00ed n\u011bjak\u00e9 dv\u011b op\u010dn\u00ed s\u00e9rie s\u00a0expirac\u00ed kolem t\u0159ic\u00e1t\u00e9ho dne v\u00a0budoucnosti a \u017ee z\u00a0t\u011bchto op\u010dn\u00edch s\u00e9rii se k\u00a0v\u00fdpo\u010dtu pou\u017e\u00edvaj\u00ed pouze hodnoty op\u010dn\u00edch kontrakt\u016f, kter\u00e9 jsou \u201emimo pen\u00edze\u201c. D\u00e1le je dobr\u00e9 pochopit, \u017ee Put op\u010dn\u00ed kontrakty, kter\u00e9 jsou \u201emimo pen\u00edze\u201c hraj\u00ed ve v\u00fdpo\u010dtu z\u00e1sadn\u00ed vliv a sta\u010d\u00ed pouze nepatrn\u00e9 a okem nepozorovateln\u00e9 zv\u00fd\u0161en\u00ed jejich cen k\u00a0tomu, aby hodnota VIX Indexu podstatn\u011b vystoupala. Pokud si p\u0159e\u010dtete \u010dl\u00e1nky o Beta, tak je jasn\u00e9, \u017ee toto nap\u011bt\u00ed na cen\u00e1ch OTM Put opc\u00ed vyvol\u00e1vaj\u00ed zejm\u00e9na zaji\u0161\u0165ovatel\u00e9 portfoli\u00ed nebo spekulanti na pokles trhu, proto je n\u011bkdy naz\u00fdv\u00e1n VIX Index jako \u201eIndex strachu\u201c\u2026. :c) <\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 \u201eKdo se boj\u00ed, mus\u00ed do lesa\u201c. Parafr\u00e1ze na legend\u00e1rn\u00ed r\u010den\u00ed o osobn\u00ed odvaze je mottem dne\u0161n\u00edho \u010dl\u00e1nku. Ka\u017ed\u00fd trader musel o n\u011bm p\u0159inejmen\u0161\u00edm sly\u0161et a ka\u017ed\u00fd op\u010dn\u00ed mentor jeho n\u00e1zev musel p\u0159inejmen\u0161\u00edm n\u011bkolikr\u00e1t \u201evypustit z\u00a0\u00fast\u201c. VIX Index. \u201eVIX Index je navr\u017een tak, aby odr\u00e1\u017eel n\u00e1hled investor\u016f na budouc\u00ed 30-ti Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":981,"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_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":[37],"tags":[39],"class_list":["post-950","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-fk","jetpack-related-posts":[{"id":2853,"url":"https:\/\/dobretrejdy.com\/?p=2853","url_meta":{"origin":950,"position":0},"title":"VVIX – Volatilita Volatility","author":"dobretrejdy :c)","date":"26.1.2019","format":false,"excerpt":"\u00a0 \u00a0\u00a0Gepard ub\u011bhne sto metr\u016f za \u010dty\u0159i vte\u0159iny, z\u00a0Olomouce do Brna pojedu ve sv\u00e9m aut\u011b hodinu a \u017eralok pr\u00fd plave stejn\u011b rychle, jako si to uh\u00e1n\u00ed Usain Bolt. Ka\u017ed\u00fd tvor nebo ka\u017ed\u00e1 v\u011bc, v\u0161e, co m\u00e1 schopnost pohybu, m\u00e1 svou vlastn\u00ed rychlost. M\u016f\u017eu ji nejr\u016fzn\u011bji m\u011b\u0159it, stopkami, tachometrem nebo prost\u00fdm\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\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":950,"position":1},"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":1030,"url":"https:\/\/dobretrejdy.com\/?p=1030","url_meta":{"origin":950,"position":2},"title":"VIX technologie + Akciov\u00e9 indexy","author":"dobretrejdy :c)","date":"14.11.2017","format":false,"excerpt":"\u00a0\u00a0 V\u00a0\u010dl\u00e1nku o VIX Indexu \u00a0jsem popsal metodu jeho v\u00fdpo\u010dtu, abych se v\u00a0n\u00e1sleduj\u00edc\u00edm \u010dl\u00e1nku sna\u017eil uk\u00e1zat, jak vyu\u017e\u00edt tento v\u00fdpo\u010det pro stanoven\u00ed \u201ejin\u00fdch VIX\u016f\u201c pro jin\u00e9 podklady, nap\u0159\u00edklad velmi likvidn\u00ed akcie. \u00dadaje o takov\u00fdch vypo\u010dten\u00fdch hodnot\u00e1ch lze nal\u00e9zt na str\u00e1nk\u00e1ch CBOE s\u00a0jej\u00ed ka\u017edodenn\u00ed aktualizac\u00ed, tak\u017ee pro obchodn\u00edka t\u011bchto podkladov\u00fdch aktiv\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-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1010,"url":"https:\/\/dobretrejdy.com\/?p=1010","url_meta":{"origin":950,"position":3},"title":"VIX technologie + Akcie","author":"dobretrejdy :c)","date":"8.11.2017","format":false,"excerpt":"\u00a0\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku VIX Index\u00a0jsem otev\u0159el z\u00e1kladn\u00ed t\u00e9ma t\u00fdkaj\u00edc\u00ed se deriv\u00e1t\u016f volatility t\u00edm, \u017ee jsem se sna\u017eil popsat konstrukci samotn\u00e9ho v\u00fdpo\u010dtu VIX Indexu, ze kter\u00e9 vyplynuly z\u00e1kladn\u00ed principy jeho fungov\u00e1n\u00ed a vlivy, kter\u00e9 zp\u016fsobuj\u00ed jeho pohyb. Z\u00a0\u010dl\u00e1nku vyplynulo, \u017ee podstatou je \u201em\u011b\u0159en\u00ed nap\u011bt\u00ed\u201c na OTM opc\u00edch podkladov\u00e9ho aktiva SPX s\u00a0horizontem\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-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":950,"position":4},"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":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":950,"position":5},"title":"VX Futures – gravitace k VIX Indexu","author":"dobretrejdy :c)","date":"26.12.2017","format":false,"excerpt":"\u00a0\u00a0 Isaac Newton by m\u011bl radost. Nejenom\u017ee jeho dv\u011b koule hozen\u00e9 z\u00a0\u0161ikm\u00e9 v\u011b\u017ee v\u00a0Pise skon\u010dily v\u017edy bezpardonu v\u00a0italsk\u00e9m pa\u017eitu pod v\u011b\u017e\u00ed a potvrdily tak j\u00edm popsan\u00e9 gravita\u010dn\u00ed z\u00e1kony (a\u0165 s\u00a0nimi h\u00e1zel jakkoliv a m\u011bly r\u016fznou hmotnost), tak tak\u00e9 ka\u017ed\u00fd futures kontrakt (a\u0165 na n\u011bj p\u016fsob\u00ed cokoliv a m\u00e1 jakoukoliv moment\u00e1ln\u00ed\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\/12\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/950","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=950"}],"version-history":[{"count":29,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/950\/revisions"}],"predecessor-version":[{"id":7169,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/950\/revisions\/7169"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/981"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=950"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=950"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=950"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}