Jan Kaška

In the last part of the educative series, I mentioned that there is a certain risk of assignment when shorting inefficient ETF markets through bear call spreads. This is usually the case when the option strike is in-the-money, and there is practically no time value for the sold option. What does it mean for us […]

In the previous part of the educative series, we have explained how the trade length affects the potential probability of success and we have also pointed out that there is a relatively direct relation between holding time and profitability. Of course – it is very important whether we choose an aggressive approach (we expect a […]

In the previous article, we have explained that the VIX index is one of the most important entry parameter when it comes to our system for shorting volatile ETFs. Today, we will focus on specifying why it is so and how important for the success of the strategy is the length of the trade (that […]

In the last part of the series, we set out a basic overview of components that are needed for creating a trading system for shorting inefficient ETFs. In today’s work, I would like to focus on entry situations suitable for opening the trade.     There can be of course many entry signals for short. […]

In today’s part of our educative series, I would like to focus on how to start building your own specific trading system for shorting inefficient ETFs. Above all, I would like to focus on the basic blocks of such a system, which I will then discuss in detail in later chapters.   Market selection First […]

In the previous two articles I described how to use pair trading – in our case double short – to benefit from inefficient ETF. We said that when selecting suitable candidates, it is necessary to take into account the borrowing fee (in % per year) for short, the volatility of these markets and, last but […]

In the last part of our series, we explained that pair trading of inefficient ETFs – more precisely the shorting of both ETFs in a given pair – may be considered as an interesting way to benefit from their inefficiency. But we have also said that in order to be able to think about trading […]

Dear readers, in today’s article I want to introduce you to a slightly different approach of trading ETF inefficiencies. So, let’s take a short break from the option constructions. First, I would like to follow p with the article in which I have described a very basic approach – direct ETF short. However, as I […]

In this article, I would like to make small summary and comparison of the option strategies discussed so far, and that can be used to short – speculate on the decline (not only) of the inefficient ETFs. I would like to mention their advantages, disadvantages and compare the situations when they can be used.   […]

In the previous article on vertical spreads, we have discussed the bear call spread strategy. We explained why it represents a very interesting opportunity to speculate on the decline of the underlying market, with a clear risk-profit ratio. The same can be said about the strategy that will be the subject of today’s article, and […]

Dear readers, let me come back to the interesting events of the past week, which literally brought a storm to calm waters of the financial markets and brought an unexpectedly high volatility to the financial world. To events that are to a certain extent extreme and respectful with regard to the speed at which they […]

In previous parts of this series, we have explained some basic strategies and approaches to shortening inefficient ETFs / ETNs – whether it was a short or option strategy short call or long put strategy. We have explained their advantages and disadvantages. In this work, I would like to focus on my favorite strategy, which […]

In previous parts of this series, I have explained the basics of ETF short strategy and naked short call strategy. With both strategies, we can benefit from the decline of the underlying ETF to gain an interesting profit, but – as we have seen – with the thread of the theoretically unlimited loss. It is […]

In the last part I have described the basic principles of short-call strategy trading in connection with inefficient ETFs. I have noted that in a situation where the price of the ETF reaches a low level, there might appear a so-called reverse split (the conditions under which it occurs, are usually described in the fund´s […]

In the last part, I have described the basic outlines of the ETF’s direct shorting strategy. We have explained that, despite the undeniable yield potential, such strategy also brings many risks that must be kept in mind. Today I would like talk about option strategies that can also be used to short most of the […]

Today’s part of my educational series will focus on specific strategies that can be used for trading inefficient leveraged ETFs. I think, that those who read my articles on a regular basis understand, that keeping these products for a long time – to have these ETFs in the portfolio – is kind of financial suicide. […]

I want to write my first post in the new year as a small recapitulation and a look back to the last year from the ETF point of view, and especially – and as you can probably guess – to those that did badly last year. Paradoxically, those are the most interesting for us.   […]

In the last part of the series, we have described the main potential issues connected to the holding of leveraged ETFs for a long time – it is so called compounding, or tracking-error, as we say in our fund. When the market is volatile, this phenomenon can wreak havoc on the value of the leveraged […]

In this part of my series, I will make an introduction to the leveraged ETFs and explain how the “tracking-error” or if you want compounding works with those instruments. The leveraged ETFs are designed in the way that their daily % yield or loss is multiplied compare to the non-leveraged instrument. At first glance, this […]

In the previous articles, I explained what does contango mean, what the VIX index is, and how some ETF / ETNs work in the volatile markets. I have focused mainly on the inefficiencies which are brought by such construction and which can be very interesting for our trading.   In today’s article, I would like […]

In the last part of our series we have explained the concepts of contango and backwardation, and we have said what does it mean when the market is in contango or backwardation.   Let me now show you how based on ETFs or ETNs, we can use the contango phenomenon in our benefit. The existence […]

In the last two parts of my series, I have shown you why I consider VIX and its derivatives as a very interesting source for generating alpha. In today’s article, I would like to focus more on the first condition, i.e. high contango. So, let me explain what the contango is all about and what […]

In the last article, we have explored the possibilities of generating alpha on the market. As it can be seen from the list, alpha can be achieved by many ways and through many strategies and instruments.     Reason why I would like to focus in the next chapters of this series on the systematic […]

In the long run, investor’s profitability consists of two components. The first one is alpha, which basically tells us what are the investor’s abilities to generate revenue, regardless of the favourable market conditions. It can be said that alpha expresses the investor’s skills. The second part is beta, that tells us how big leverage is being […]

Dear friends and Quastic visitors. My name is Jan Kaška, I am a member of the investment committee of the Charles Bridge GMF hedge fund, the author of many investment strategies – working mainly with options and structured products – and a long-time investor in the financial markets.    New series about trading inefficient ETFs […]