Proper Valuations for Nasdaq 100 9/3/2021
- Strategeriest
- Sep 3, 2021
- 6 min read
Updated: Sep 5, 2021
Good afternoon,
Please note the below is academic research, it is not investment advice. I was wondering why I was having margin issues last weekend. It looks like it was attributed to the structure of my off-book leverage, and the broker’s pricing was correct. There was a huge drop off in the portfolio’s value from last Friday to Monday. I adjusted the model and traded down my risk through out the week.
I was not able to price positions for ANSS, IDXX, VRSK, or VRSN to a point where I was comfortable purchasing downside protection at market rates, even though I believe the securities are overvalued. I liquidated these shorts. Part of this could be due to my inability to accurately price risk, hopefully I have fixed my model and the portfolio will perform more in line with expectations. The gambling side of me wanted to hold onto ANSS,IDXX,VRSK, and VRSN for another week, but I am sticking with math on the decision.
I took an inter week short position in PDD when the stock climbed and cashed out when the position dropped back down. I also took what I hope were short term gains in ADP, SNPS, ZM, and ROST’s short positions and bought their shares despite them being overvalued by my model.
The Long Short Portfolio is up, but is lagging the index over the last two weeks. During the time period the index was up over 4%. In my opinion part of this run can be attributed to a reallocation of the index. By positions being allocated towards companies with the most potential for returning capital to investors, they are making the index more valuable as a whole. However, now that I have the portfolio balanced from a risk perspective I will most like begin focusing on the valuations that are on the cusp of holds and sells in an attempt to achieve some alpha next week.
Below are the trades I made Monday through end of day today.
Monday 8/30:
*Sold TCOM Put At 370.65 bought TCOM at 716.65 Call based upon revaluation
*Sold CHTR Put due to reevaluation of EPS projections to be more in line with market expectations bought shares at 814.2
*Sold Maxim Shares @ 103.14 bought Crowd Strike Shares at @286.37
*Rebought NTES Call Based up reevaluation/devaluation of price @ -2040.65, sold 2 Shares of NTES for 179.24
Tuesday 8/31:
*Sold BKNG Put @ 1880 for 16400.65 , bought BKNG put @ 2150 for 26790.65
*Sold SPLK Put @ 130 for 1785.65 , bought SPLK put @ 150 for 2610.65
*Sold OKTA Put @ 210 for 2815.65 , bought OKTA put @ 260 for 4860.65
*Sold XLNX Put @ 140 for 2445.65 , bought XLNX put @ 150 for 3000.65
*Sold TSLA Put @ 650 for 15000.65 , bought TSLA put @ 650 for 20070.65 both for Jun 16 2023
*Sold ALGN Put @ 660 for 10700.65 , bought ALGN put @ 680 for 11510.65
*Sold TEAM Put @ 310 for 4200.65 , bought TEAM put @ 350 for 5980.65
*Sold WDAY Put @ 220 for 2600.65 , bought WDAY put @ 260 for 4430.65
*Sold MCHP Put @ 135 for 1520.65 , bought MCHP put @ 150 for 2220.65
*Sold CDNS Put @ 150 for 1720.65 , bought CDNS put @ 165 for 2480.65
*Sold ISRG Put @ 1000 for 12200.65 , bought ISRG put @ 1080 for 16350.65
*Sold NVDA Put @ 200 for 3500.65 , bought NVDA put @ 250 for 6750.65
*Sold INCY Put @ 72.5 for 1140.65 , bought INCY put @ 80 for 1630.65
*Sold PYPL Put @ 260 for 2990.65 , bought PYPL put @ 310 for 5750.65
*Sold 375 FB Jan 20 2023 Call @ 7140.65 and Bought 380 FB Jun 16 2023 Call @ 6700.65
Wednesday 9/1:
*Sold SNPS Put @ 310 for 1680.65 , bought SNPS put @ 330 for 2510.65
*Sold TEAM Put @ 350 for 6050.65 , bought TEAM put @ 360 for 6250.65
*Sold 2 Shares of PDD for 217.98 bought a 155 Put of PDD for 5950.65
*Sold REGN Call @ 680 for 11350.65 , bought REGN call @ 330 for 14500.65
*Sold FOXA Call @ 40 for 420.65 , bought FOXA call @ 30 for 950.65
*Sold SWKS Call @ 185 for 2810.65 , bought SWKS call @ 165 for 3845.65
*Sold QCOM Call @ 155 for 1760.65 , bought QCOM call @ 145 for 2205.65
*Sold MAR Put @ 120 for 1515.65 , bought MAR Put @ 130 for 1975.65
*Sold WDAY Put @ 260 for 4275.65 , bought WDAY Put @ 270 for 4780.65
*Sold DOCU Put @ 260 for 3885.65 , bought DOCU Put @ 290 for 5450.65
*Sold MCHP Put @ 150 for 2130.65 , bought MCHP Put @ 160 for 2650.65
*Sold DXCM Put @ 500 for 7850.65 , bought DXCM Put @ 560 for 10630.65
*Sold CDNS Put @ 160 for 2040.65 , bought CDNS Put @ 165 for 2280.65
*Sold MU Call @ 75 for 1450.65 , bought MU Call @ 60 for 2180.65
*Sold LRCX Call @ 600 for 10345.65 , bought LRCX Call @ 520 for 14555.65
*Sold ALGN Put @ 680 for 11100.65 , bought ALGN Put @ 800 for 17890.65
*Sold QCOM Call @ 145 for 2260.65 , bought QCOM Call @ 140 for 2465.65
*Sold ILMN Put @ 460 for 9600.65 , bought ILMN Put @ 500 for 11900.65
*Sold EA Put @ 135 for 1495.65 , bought EA Put @ 150 for 2320.65
*Sold MTCH Put @ 125 for 2045.65 , bought MTCH Put @ 140 for 2830.65
*Sold NXPI Put @ 195 for 2995.65 , bought NXPI Put @ 220 for 4335.65
*Sold AMAT Call @ 135 for 2990.65 , bought AMAT Call @ 110 for 3600
*Sold TXN Call @ 195 for 2035.65 , bought TXN Call @ 185 for 2525.65
*Sold COST Call @ 490 for 3385.65 , bought COST Call @ 480 for 3810.65
*Sold VRTX Call @ 210 for 2850.65 , bought VRTX Call @ 170 for 4790.65
*Sold ISRG Put @ 1080 for 15990.65 , bought ISRG Put @ 1120 for 18350.65
*Sold LULU Put @ 380 for 5650.65 , bought LULU Put @ 410 for 7065.65
*Sold XLNX Put @ 150 for 3000.65 , bought XLNX Put @ 170 for 4195.65
*Sold ADBE Put @ 620 for 7455.65 , bought ADBE Put @ 740 for 13965.65
*Sold PAYX Put @ 110 for 1380.65 , bought PAYX Put @ 120 for 1900.65
*Sold INCY Put @ 80 for 1540.65 , bought INCY Put @ 90 for 2100.65
*Sold INTU Put @ 520 for 5970.65 , bought INTU Put @ 560 for 7600.65
*Sold NTES Call @ 85 for 2600.65 , bought NTES Call @ 80 for 2820.65
*Sold FISV Put @ 110 for 1300.65 , bought FISV Put @ 120 for 1730.65
*Sold AMD Call @ 110 for 2290.65 , bought AMD Call @ 85 for 3530.65
*Sold KLAC Call @ 340 for 5140.65 , bought KLAC Call @ 300 for 7180.65
*Sold ATVI Call @ 87.5 for 1000.65 , bought ATVI Call @ 75 for 1600.65
*Sold GILD Call @ 77.5 for 520.65 , bought GILD Call @ 75 for 610.65
Thursday 9/2:
*Sold PDD 155 Put @ $6,375.65 bought shares at 102.64
*Sold MELI Put @ 1640 for 21690.65 , bought MELI Put @ 2000 for 38850.65
*Sold ORLY Call @ 660 for 1260.65 , bought ORLY Call @ 630 for 1830.65
*Sold MTCH Call @ 140 for 2595.65 , bought MTCH Call @ 145 for 2890.65
*Sold TSLA Put @ 730 for 19500.65 , bought TSLA Put @ 850 for 27200.65
*Sold ILMN Put @ 500 for 11750.65 , bought ILMN Put @ 600 for 18550.65
*Sold NTES Call @ 80 for 2660.65 , bought NTES Call @ 75 for 2960.65
*Sold GOOG Call @ 2900 for 43420.65 , bought GOOG Call @ 2800 for 48280.65
*Sold GOOGL Call @ 2900 for 42250.65 , bought GOOGL Call @ 2700 for 51970.65
*Sold FB Call @ 380 for 6370.65 , bought FB Call @ 340 for 8545.65
*Sold 120 ROST Put @ -$1,860.65 bought shares @ 116.96
*Sold BIDU Call @ 145 for 4210.65 , bought BIDU Call @ 150 for 3835.65
*Sold JD Call @ 65 for 2585.65 , bought JD Call @ 55 for 3230.65
*Sold PCAR Call @ 85 for 520.65 , bought PCAR Call @ 80 for 770.65
*Sold CHKP Call @ 135 for 1070.65 , bought CHKP Call @ 130 for 1140.65
*Sold ANSS Put @ 350 for 2580.65
*Sold ISRG Call @ 1120 for 18000.65 , bought ISRG Call @ 1140 for 19200.65
*Sold TEAM Call @ 360 for 6260.65 , bought TEAM Call @ 370 for 6730.65
*Sold OKTA Put @ 260 for 4480.65 , bought OKTA put @ 300 for 7110.65
Friday 9/3:
*Sold TCOM Call @ 30 for 810.65 , bought TCOM Call @ 23 for 1130.65
*Sold VRSK Call @ 185 for 720.65
*Sold CDNS Put @ 165 for 2430.65 , bought CDNS Put @ 170 for 2670.65
*Sold DOCU Put @ 290 for 4840.65 , bought DOCU Put @ 370 for 9850.65
*Sold MTCH Put @ 290 for 2775.65 , bought MTCH Put @ 150 for 3060.65
*Sold IDXX Put @ 650 for 4810.65
*Sold NXPI Put @ 220 for 4310.65 , bought IDXX Put @ 230 for 4900.65
*Sold ADP Put @ 210 for 2530.65 bought shares @ 206.885
*Sold ZM Put @ 210 for 8200.65 , bought shares @ -300.17
*Sold MRVL Put @ 55 for 535.65 , bought MRVL Put @ 65 for 1295.65
*Sold VRSN Put @ 200 for 650.65
*Sold NVDA Put @ 250 for 6145.65 , bought NVDA Put @ 260 for 6980.65
*Sold SNPS Put @ 330 for 2400.65
*Sold BIDU Call @ 150 for 3850.65 , bought BIDU Call @ 130 for 4950.65
*Sold FAST Put @ 54.6 for 640 , bought FAST Put @ 59.6 for 910.65
*Sold EXC Put @ 47 for 440.65 , bought EXC Put @ 50 for 565.65
*Sold REGN Call @ 620 for 14200.65 , bought REGN Call @ 610 for 14800.65
Warmest Regards,
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