Meta Strategy Derivatives Portfolio – Probability Map Update.

The last six months have seen one of the strongest rallies year-to-date in the S&P 500’s history.

It would be naively recency-biased to expect this to continue indefinitely. But, on the other hand, long-term momentum effects have shown a very convincing tendency to persist in the past. Thus, a shake-up, but not the end of this bull market, is the most likely trajectory for this summer.

Right now, however, we are facing a very specific short-term market dynamic that started to develop last 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.