Meta Strategy Derivatives Portfolio – Probability Map Update.
Falling summer volumes in combination with options dealers’ high long gamma exposure make it hard for any directional move to gather momentum.
Next Wednesday marks the beginning of a more interesting period in the market cycle, as VIX futures expiration coincides with the June FED meeting and is closely followed by OpEx on Friday.
Barring a significant FED surprise, a post-event volatility crush, paired with an unpinning of the market, has the potential to add temporary fuel to the market rally.
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.