Probability Map April 19

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated Tables April 21, pre-market —

The S&P 500 rally is now extremely over-stretched by any measure, while plenty of warning signals are flashing.

In addition to reaching strong technical resistance levels and highly overbought measures, we see extremes in sentiment, equity positioning, and low levels of hedging, as well as reliable indications of trouble beneath the surface (volatility correlations & gamma exposure).

This leads me to expect short-term weakness, within the context of a positive environment for stocks over the longer term.

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.

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