Meta Strategy Derivatives Portfolio – Probability Map Update.

Warning signs, for example low breadth or rising VIX / SPX correlations, still do a good job pinpointing market tops, but the downside remains constrained to 3% – 4%.

As the market failed to work through these issues, by putting in a very fast, relatively uncommon V-bottom, we are left with a dissatisfyingly unclear picture: Most indications of market fragility remain unresolved, while they are counteracted by a positive momentum burst.

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.