Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated February 11 (position change) —
— Updated February 10, pre-market —

Mixed signals are the defining feature of the current market. Despite a substantial pullback, signs of excessive speculation have not normalized in the slightest. Quite to the contrary, many sentiment indicators reached fresh extremes even while the market dropped, pointing to a continuation of the excesses that are endangering a long-term recovery.

On the other hand, momentum returned with a vengeance last week, pushing equity indices to fresh all-time highs — such strength carries a message that mustn’t be ignored.

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.