Probability Map September 13

Meta Strategy Derivatives Portfolio – Probability Map Update.

Last week, we saw the stock market slowly deteriorate before the monthly “window of potential weakness”, which centers on options expiration.

The current level is where, in recent months, the pavlovian reaction of dip buyers would have kicked in: This has resulted in increasingly shallow drawdowns.

I remain skeptical that this simple tactic will continue to pay off.

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.

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