{"id":36969,"date":"2026-10-12T07:00:00","date_gmt":"2026-10-12T05:00:00","guid":{"rendered":"https:\/\/volbeast.com\/?p=36969"},"modified":"2026-10-12T14:35:04","modified_gmt":"2026-10-12T12:35:04","slug":"sezonalita-volatility-a-opcni-kalendarni-spready","status":"publish","type":"post","link":"https:\/\/volbeast.com\/cs\/blog\/sezonalita-volatility-a-opcni-kalendarni-spready\/","title":{"rendered":"Sezonalita volatility a kalend\u00e1\u0159n\u00ed spready"},"content":{"rendered":"\t\t
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P\u0159ed \u010dasem jsem na X narazil na zaj\u00edmav\u00fd post, kter\u00fd upozor\u0148oval<\/a> na sezonalitu indexu VIX<\/a>.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\"Sloupcov\u00fd\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t
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Okam\u017eit\u011b m\u011b napadlo, \u017ee by to mohl b\u00fdt n\u00e1m\u011bt na krat\u0161\u00ed studii. Co tenhle fenom\u00e9n d\u011bl\u00e1 s n\u011bkter\u00fdmi m\u00fdmi op\u010dn\u00edmi strategiemi. Prvn\u00ed pohledy na backtest \u0159\u00edkaly, \u017ee tam n\u011bco bude. A jo, je za t\u00edm logika. Podobn\u00e9 tendence jsou i na indexu strachu pro Nasdaq, VXN.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\"Sloupcov\u00fd\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t
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Dneska si uk\u00e1\u017eeme, k \u010demu jsem do\u0161el. Nejd\u0159\u00edv co a pro\u010d jsem testoval. Pak \u010d\u00edsla.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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Pro\u010d zrovna kalend\u00e1\u0159e<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Volatilita h\u00fdbe cenou opc\u00ed. Vy\u0161\u0161\u00ed volatilita, vy\u0161\u0161\u00ed ceny nap\u0159\u00ed\u010d expiracemi. Ni\u017e\u0161\u00ed volatilita, ni\u017e\u0161\u00ed ceny.<\/p>

Z dat VIX a VXN je vid\u011bt sez\u00f3nn\u00ed pokles od druh\u00e9 p\u016flky b\u0159ezna do srpna a od za\u010d\u00e1tku listopadu do za\u010d\u00e1tku ledna. \u010cekal jsem, \u017ee to bude bolet kalend\u00e1\u0159n\u00ed spready<\/a>. Nejv\u00edc ty, kde je v\u011bt\u0161\u00ed \u010dasov\u00fd rozd\u00edl mezi short leg a long leg. Pokles volatility pom\u00e1h\u00e1 vypsan\u00e9 noze. Na nakoupen\u00e9 del\u0161\u00ed noze ale bere v\u00edc, ne\u017e short stihne vr\u00e1tit.<\/p>

VIX i VXN po\u010d\u00edtaj\u00ed o\u010dek\u00e1vanou volatilitu podkladu na p\u0159\u00ed\u0161t\u00edch 30 dn\u00ed. Zaj\u00edmaly m\u011b proto kalend\u00e1\u0159e, kter\u00e9 maj\u00ed long leg aspo\u0148 20 a v\u00edce dn\u00ed p\u0159i vstupu a rozd\u00edl mezi shortem a longem aspo\u0148 50 % \u010dasov\u00e9 hodnoty. A\u0165 se pokles na spreadu podep\u00ed\u0161e.<\/p>

V portfoliu jsou dva takov\u00e9 dvojit\u00e9 kalend\u00e1\u0159e, kter\u00e9 jedu \u017eiv\u011b. QQQ, expirace 14 a 28 dn\u00ed. SPY, expirace 9 a 23 dn\u00ed.<\/p>

Oba v posledn\u00edch letech d\u00e1valy slu\u0161n\u00e9 zhodnocen\u00ed p\u0159i zaj\u00edmav\u00e9m riziku. Oba dostaly letos v l\u00e9t\u011b na frak, kdy\u017e volatilita vyklesala. Ide\u00e1ln\u00ed kandid\u00e1ti. Nejen pro leto\u0161ek. Cht\u011bl jsem v\u011bd\u011bt, jestli jim sezonalita \u0161kodila i d\u0159\u00edv. Testoval jsem od roku 2018.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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Okna a test<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Z dat VIX a VXN jsem vybral obdob\u00ed, kdy volatilita sez\u00f3nn\u011b kles\u00e1. V nich jsem necht\u011bl otev\u00edrat nov\u00e9 obchody. Vy\u0161la mi dv\u011b \u010dasov\u00e1 okna, obvykle od 17. 3. do 30. 8. a od 3. 11. do 3. 1. dal\u0161\u00edho roku.<\/p>

Backtestoval jsem p\u0159es Option Omega. Spoiler: CAGR klesl. Drawdown taky.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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QQQ, 14 a 28 dn\u00ed<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Na QQQ filtr nen\u00ed zadarmo. Syst\u00e9m obchodoval m\u00e9n\u011b. Na obchod vyd\u011bl\u00e1val v\u00edc. \u00dasp\u011b\u0161nost \u0161la nahoru. CAGR spadl. N\u011bkdo \u0159ekne, \u017ee p\u016fvodn\u00ed syst\u00e9m m\u011bl na konci mnohem v\u011bt\u0161\u00ed zisk. Pod\u00edvej se, za jakou cenu. Max drawdown<\/a> 26 % je \u010dtvrtina \u00fa\u010dtu. Ani u jedn\u00e9 strategie bys s\u00a0t\u00edmto v\u00fdsledkem nem\u011bl b\u00fdt v klidu. A v portfoliu nechce\u0161, aby se takov\u00e9 drawdowny se\u0161ly najednou u v\u00edce strategi\u00ed.
QQQ <\/strong>p\u016fvodn\u00ed test:<\/strong><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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QQQ <\/strong>s\u00a0filtrem <\/strong>sezonality<\/strong>:<\/strong><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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SPY, 9 a 23 dn\u00ed<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Stejn\u00fd test na SPY dopadl je\u0161t\u011b l\u00e9pe. Teze plat\u00ed i tady. M\u00e9n\u011b obchod\u016f, lep\u0161\u00ed pr\u016fm\u011br, v\u00fdrazn\u011b men\u0161\u00ed drawdown. Ale CAGR klesl m\u00ed\u0148 ne\u017e na QQQ.<\/p>

SPY <\/strong>p\u016fvodn\u00ed test<\/strong><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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SPY <\/strong>s\u00a0filtrem <\/strong>sezonality<\/strong><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\"V\u00fdsledky\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t
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Srovn\u00e1n\u00ed<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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\u00a0<\/th>QQQ p\u016fvodn\u00ed<\/th>QQQ filtr<\/th>SPY p\u016fvodn\u00ed<\/th>SPY filtr<\/th><\/tr><\/thead>
Obchody<\/th>484<\/td>190<\/td>374<\/td>146<\/td><\/tr>
CAGR<\/th>20.50 %<\/td>10.10 %<\/td>20.60 %<\/td>15.40 %<\/td><\/tr>
Max DD<\/th>26.30 %<\/td>16.50 %<\/td>13.30 %<\/td>4.10 %<\/td><\/tr>
Sortino<\/th>1.96<\/td>1.55<\/td>3.45<\/td>4.59<\/td><\/tr>
Win rate<\/th>55.00 %<\/td>60.00 %<\/td>58.00 %<\/td>66.40 %<\/td><\/tr>
Avg P&L \/ obchod<\/th>$29.00<\/td>$35.00<\/td>$29.00<\/td>$60.00<\/td><\/tr>
Profit factor<\/th>2.12<\/td>2.46<\/td>2.05<\/td>4.01<\/td><\/tr>
Tail Risk<\/th>3.7<\/td>2<\/td>2.5<\/td>1.4<\/td><\/tr><\/tbody><\/table><\/div>\t\t\t\t<\/div>\n\t\t\t\t
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Co se mi na tom l\u00edb\u00ed? P\u0159edev\u0161\u00edm do\u0161lo k\u00a0v\u00fdrazn\u00e9 redukci drawdown\u016f u obou strategi\u00ed. V\u00a0testu se nav\u00edc nepostupovalo klasick\u00fdm optimaliza\u010dn\u00edm zp\u016fsobem, kdy provede\u0161 backtest a hled\u00e1\u0161 nejlep\u0161\u00ed parametry. Ne, \u0161lo se na to naopak. Nejd\u0159\u00edve teze, pro\u010d by to mohlo pomoct a n\u00e1sledn\u011b ov\u011b\u0159en\u00ed hypot\u00e9zy na datech.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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Co s t\u00edm ud\u011bl\u00e1m<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Od listopadu do ledna tyhle strategie vypnu. Pak znovu od p\u016flky b\u0159ezna do konce srpna. Kv\u016fli stabilit\u011b k\u0159ivky. V t\u011bch \u010dasov\u00fdch oknech bude kapit\u00e1l pracovat efektivn\u011bji v jin\u00fdch p\u0159\u00edstupech.<\/p>

Pokud jede\u0161 kalend\u00e1\u0159n\u00ed spready, ud\u011blej si sv\u016fj test. Pod\u00edvej se, co se stane, kdy\u017e jim d\u00e1\u0161 volno v obdob\u00edch, kdy VIX obvykle kles\u00e1.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t

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Rozpracov\u00e1no<\/h3>\t\t\t\t<\/div>\n\t\t\t\t
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Sezonalita a tyhle dva kalend\u00e1\u0159e. Pro dne\u0161ek hotov\u00e9. Filtr zapnut\u00fd v botovi, ne v hlav\u011b.<\/p>

Exekuce a management v apce po\u0159\u00e1d vis\u00ed. \u010cek\u00e1m na nov\u00fd test release.<\/p>

Dr\u017ete se. V\u00edc obchod\u016f neznamen\u00e1 v\u017edycky stabiln\u011bj\u0161\u00ed v\u00fdsledky.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

Sez\u00f3nn\u00ed pokles VIXu bol\u00ed kalend\u00e1\u0159e. Na QQQ a SPY filtr srazil drawdown. CAGR taky. Od listopadu tyhle strategie vypnu.<\/p>\n","protected":false},"author":7,"featured_media":28131,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_surecart_dashboard_logo_width":"180px","_surecart_dashboard_show_logo":true,"_surecart_dashboard_navigation_orders":true,"_surecart_dashboard_navigation_invoices":true,"_surecart_dashboard_navigation_subscriptions":true,"_surecart_dashboard_navigation_downloads":true,"_surecart_dashboard_navigation_billing":true,"_surecart_dashboard_navigation_account":true,"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[47,66],"tags":[],"class_list":["post-36969","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volbeast","category-zakulisi"],"_links":{"self":[{"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/posts\/36969","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/comments?post=36969"}],"version-history":[{"count":9,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/posts\/36969\/revisions"}],"predecessor-version":[{"id":36981,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/posts\/36969\/revisions\/36981"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/media\/28131"}],"wp:attachment":[{"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/media?parent=36969"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/categories?post=36969"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/volbeast.com\/cs\/wp-json\/wp\/v2\/tags?post=36969"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}