Results: off to a good start!
Missed the post-FOMC rally, but our precision would have saved us.
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Last week was a test run, this week we trade live!
Performance was decent; missed the rally in SPX and QQQ, but delivered on the DJI and VIX
We only did paper trades (post-FOMC) to see how we’d perform, and it would have been a +1.5% week. This all resets this week.
The 2023 Q1 competition is now open for its second week, the first week where we start live trading. Thank you all for joining us, and I hope you’ll find the competition challenging and interesting. As you know, the competition has changed a bit (read about all the new features here) to give you all a greater chance of getting rewarded, both quarterly and at the end of each year by participating in our annual profits.
Obviously, this has attracted some new users and the competition is already tough:
Very high precision from the top 6 players already - a tough group to beat. Or was it a one-off lucky guess? Let’s see :)
For all those new to the whole thing, watch this quick video guiding you through the survey, showing you all its features, and briefly explaining how the competition works:
Watch more on our YouTube channel. Thanks for participating, and keep having fun!
Last week’s performance
Last week was FOMC week. Typically during such weeks we made it a rule not to trade any positions until after Powell’s speech, to eliminate the risk of reaching our stop-losses too early due to high volatility in those 1,5 hours. And volatile it was. The markets rallied hard, both that day and the next day, and finally reversed on Friday.
Our expectation was a reversal that would start already on Thursday, so we would have entered SPY and DIA shorts (both classic shorts and puts) as well as the condors (see below) about 5 minutes before the end of day on Wednesday (see the red arrow). The post-FOMC jump was significant, so that seemed like the perfect time to short, especially since the BASON suggested a negative week. It would have worked for the DJI, but not for SPX. A capped loss for SPX condors and puts would have been offset by the gains from DJI condors and the raised stop-loss for DIA on Thursday (after the initial gap down).
What was surprising last week was how long the post-FOMC rally persisted. Yes, it was a vol crush event, but we didn’t think it would extend to the next day. It took until Friday to finally come down, although intraday Friday was also interesting as the indices reversed the initial 1.5% decline, but eventually ended the day on new lows.
If we live traded this we would have lost on both the SPY condors and the SPY puts (both would have been reached stop-losses on Thursday). DIA condors would have delivered their full premium, while the DIA put would have been profitable initially, and then the intraday reversal on Thursday would have reached its revised stop-limit so the profit would have been minimal. The options book would have been down by 6.6% last week. The long-shorts would have lost on SPY, but gained on DIA and UVXY for a total positive return of 4.8%. Finally, the macro book would have been up by 7.1% (long positions on SPY and QQQ due to momentum signals from January), so the overall portfolio would have been up by 1.5%.
We are not yet trading (even paper trading) QQQ options, as we want to see how the BASON will perform with this instrument before we fully engage it.
Altogether, our precision across the board was like this:
Very good on the 10-year T-bill and the DJI, and a miss for the others, which were all driven by the post-FOMC rally. For the VIX, it finished lower than predicted, but the UVXY ETF (which we would have traded) actually finished higher (by 4.7%). Altogether, not a good week due to the FOMC miss, but the precision over DJI saved us.
This week, it all goes live. Needless to say, excitement is on a high!
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DISCLAIMER: Neither the survey nor any of the contents of this website can act as investment advice of any kind. The results of the survey need not correspond to actual market preferences or trends, so they should be interpreted with caution. Oraclum Capital, LLC (Henceforth ORCA) is a management company responsible for running the ORCA BASON Fund, LP, and for organizing a survey competition each week, where it invites the subscribers to its newsletter (this website) to participate in an ongoing prediction competition. The information presented on this website and through the survey competition should under no circumstances be used to solicit any investment advice, nor is it allowed to be of commercial use to any of its readers. The survey and this website contain no information that a user may use as financial or investment advice. All rights reserved. Oraclum Capital LLC.
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