Meta Strategy Derivatives Portfolio – Probability Map Update.

In this liquidity-driven rally, a plethora of signs tells us that a cooling-off period is overdue, but, due to the unprecedented amount of money flooding the system as well as an exuberant buy-the-dip mentality, it is hard to tell just how far the initial bull market rally can push higher.

Signs are now pointing to a larger correction with an increased probability to occur in May/June.

Traditionally, we face the highest probability for weakness around the middle of the month, but due to the uncommonly large options expiration at the end-of-month weekly OpEx, I am on the lookout for a break below initial support levels in the coming week.

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.