Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated December 22, pre-market —

The end of 2020 combined with the beginning of January, will release a flow of structural liquidity into the market, that will make a significant decline difficult.

Meanwhile, we are in the middle of a battle between extreme momentum and extreme sentiment. These are conditions that frequently lead to any further shorter-term gains to be erased during a subsequent pullback.

Thus, we are looking for indications of an approaching tipping point, by analyzing weakening liquidity flows that will eventually exhaust themselves in the new year.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.