Meta Strategy Derivatives Portfolio – Probability Map Update.

The typical summer slowdown is often followed by the Summer Doldrums, which usually appear out of the blue in a low liquidity vacation period. As a sudden melt-up is as common as a melt-down, I mentally prepare and keep an eye out for either scenario.

The combination of inflation surprises and tightening FED liquidity remains the greatest current threat to equity markets.

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.