Meta Strategy Derivatives Portfolio – Probability Map Update.

The week around monthly OpEx has increased potential to see a structural market break this month, as overstretched positioning and weak market breadth may prove to be unsustainable.

OpEx week usually sees a decreasing price range as high long gamma exposure tends to pin the market to areas of large options’ open interest. In recent months, a clear pattern of an S&P falling during the week before monthly OpEx Friday has emerged.

A “window of weakness” opens when structural liquidity flows from the options markets wane into expiration Friday.

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.