Profile
Been active in the financial markets for more than 10 years, graduated from University of Economics in Prague, major being valuation of companies and minor being money theories and banking. I spent part of my studies at the Chinese University of Hong Kong, then gained experience in Deloitte in the management consulting field, and also worked as a financial analyst for one of the first Czech global macro hedge funds, being responsible for investment research. I am a Member of Advisory Board of Charles Bridge Global Macro Fund, being responsible for macro research and development of trading strategies - mainly using options and structured products.
Been active in the financial markets for more than 10 years, graduated from University of Economics in Prague, major being valuation of companies and minor being money theories and banking. I spent part of my studies at the Chinese University of Hong Kong, then gained experience in Deloitte in the management consulting field, and also worked as a financial analyst for one of the first Czech global macro hedge funds, being responsible for investment research. I am a Member of Advisory Board of Charles Bridge Global Macro Fund, being responsible for macro research and development of trading strategies - mainly using options and structured products.Posts by author
Option trading in practice – Weeks 14 and 15
Dear Readers and Traders, in this article I want to summarize our gas trading activities, show you the changes in the portfolio as well as the conclusions we have made in our models regarding the temperature adjusted balance between supply and demand. Also, I would like to thank you for a number of very good […]
Option trading in practice – Weeks 14 and 15
Option trading in practice – Week 13
Dear readers and traders, since last week, we saw a slight loss due to an increase in the gas prices. What makes us happier is the overview of our trading since first May, when we started. Since then, ETF: UNG has grown by about 1%. Since we are trying to be short on gas, an […]
Option trading in practice – Week 13
Option trading series – Week 12
Dear readers and traders, our portfolio has shifted from the last article to the new highs and currently reaches + 1.52%. If we would not open ETF: KOLD hedge positions, our performance would have reached + 2.52%, but of course it is not an excuse, just a statement :). Hedging positions still have their meaning, […]
Option trading series – Week 12
Option trading in practice – Week 11
Dear readers and traders, natural gas continued to decline last week and thanks to this, we got with our portfolio to the new highs. Summary of the week At the end of last week, we were in profit of about + 1.2%. In our portfolio – due to the decrease in gas […]
Option trading in practice – Week 11
Option trading in practice – Week 10
Dear readers and traders, there has been another fall in the price of natural gas last week, which meant for us an increased value of the portfolio and return back to positive performance. Summary of the week A large number of the options in the portfolio are now under strike, but the majority […]
Option trading in practice – Week 10
Option trading in practice – Week 7
Dear Readers and Traders, today I’ll summarize what happened to the natural gas market in the previous and current week, and how it looks like in our account which was affected by increased volatility. We’ll focus on the roll over of the options positions as well as a development of the pair trade-ETF (dual short) […]
Option trading in practice – Week 7
Option trading in practice – Week 6
Dear Readers and traders, in today’s article – which is also a trading report for the last week trading, I would like to summarize events of the last week’s trading and also analyse the first week of pair strategy trading (double short) on gas-related ETFs. Summary of the week There has been a slight […]
Option trading in practice – Week 6
Option Trading in Practice – Week 5
Dear readers and traders, in today’s article you will find both a summary of last week gas trading and a demonstration of a new trading approach – a pair trade (or a double short ETF). I have already written about this kind of trades in the past as a possible alternative approach for trading inefficient […]
Option Trading in Practice – Week 5
Option Trading in Practice –- Week 4
Dear Readers and Traders, in this article I want to make the summary of our gas option trading and in the second part I have some news for you. As I mentioned in the introductory part of this series, our goal is to show you our trading even when we are failing, when the market […]
Option Trading in Practice –- Week 4
Trading System for Short Efficient ETFs – Part 6 – Trade Exits
Dear readers and traders, in this part of the option educational series, I would like to continue with speaking about the ineffective ETFs, and in the second part of my article, I would then summarize the development of gas trading on our trading account. That means from theory right away to practice, all within one […]
Trading System for Short Efficient ETFs – Part 6 – Trade Exits
Option Trading in Practice – Week 2
Dear readers, as I have announced in the first part of our option trading series, I’m going to tell you how our gas trading has developed in the second week of May. We’ll catch up with time and you’ll always have the next reports on time after signing into your client’s section on Quastic. […]
Option Trading in Practice – Week 2
Option Trading in Practice – Week 1
Dear readers and traders, here is the first part of our practical series on gas option trading. This week you will enjoy our reports a bit more than usual, because we have to catch up with time slip. So, I have decided that today I will describe you trading in the first week of May, […]
Option Trading in Practice – Week 1
Trading inefficient ETFs in practice – Quastic new series
Dear readers, I would like to thank you very much for the huge number of messages and emails I get from you every week. I’m really glad you like our series on how to deal with inefficient ETFs and you already apply these principles in your own trading. I am very happy about that. Many […]
Trading inefficient ETFs in practice – Quastic new series
Trading System for Short Efficient ETFs – Part 5 – What to do when assignment occurs?
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 […]
Trading System for Short Efficient ETFs – Part 5 – What to do when assignment occurs?
Trading System for Short Inefficient ETFs – part 4 – call or put?
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 […]
Trading System for Short Inefficient ETFs – part 4 – call or put?
Trading system for short inefficient ETFs – 3rd part – length of the trade
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 […]
Trading system for short inefficient ETFs – 3rd part – length of the trade
Trading system for shorting inefficient ETFs – 2nd part – Entry Signals
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. […]
Trading system for shorting inefficient ETFs – 2nd part – Entry Signals
Trading System for Shorting inefficient ETFs – Part 1 – Basic Overview
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 […]
Trading System for Shorting inefficient ETFs – Part 1 – Basic Overview
Alternative Approaches to short inefficient ETFs – Pair Trading (3/3)
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 […]
Alternative Approaches to short inefficient ETFs – Pair Trading (3/3)
Alternative approaches to shorting inefficient ETFs – pair trading (2/3)
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 […]
Alternative approaches to shorting inefficient ETFs – pair trading (2/3)
Alternative approaches to short inefficient ETF – pair trading (1/3)
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 […]
Alternative approaches to short inefficient ETF – pair trading (1/3)
Option Strategies for Shorting Inefficient ETFs – Summary
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. […]
Option Strategies for Shorting Inefficient ETFs – Summary
Ineffective ETFs and Option Vertical Spreads (2/2)
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 […]
Ineffective ETFs and Option Vertical Spreads (2/2)
How to earn on a black swan?
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 […]
Inefficient ETF and Option Vertical Spreads (1/2)
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 […]
Inefficient ETF and Option Vertical Spreads (1/2)
Inefficient ETFs and long put option strategy
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 […]
Inefficient ETFs and long put option strategy
Reverse split and options
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 […]
Short call option strategies and inefficient ETFs
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 […]
Short call option strategies and inefficient ETFs
Trading strategies for inefficient ETFs – basic overview
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. […]
Trading strategies for inefficient ETFs – basic overview
PF 2018 and a list of the most losing ETFs in 2017
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. […]
PF 2018 and a list of the most losing ETFs in 2017
Leveraged ETFs risks and what to look after
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 […]
Leveraged ETFs risks and what to look after
Introduction to leveraged ETFs
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 […]
Introduction to leveraged ETFs
Contango and inefficient commodity ETFs
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 […]
Contango and inefficient commodity ETFs
Contango and its use (2/2)
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 […]
Contango and its use (1/2)
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 […]
What is alpha and how it can be generated (2/2)?
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 […]
What is alpha and how it can be generated (2/2)?
What is alpha and how it can be generated?
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 […]
What is alpha and how it can be generated?
Quastic new series: Options and Trading of Inefficient ETFs
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 […]
Quastic new series: Options and Trading of Inefficient ETFs
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