Probability Map September 20

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Tuesday Update —
— Monday Morning Update with additional post-FOMC volatility event assessment. —

The current pullback looks quite different compared to the last V-bottom drawdowns in the S&P.

After a big options expiration date, the way is open for faster, larger moves. Extremely negative seasonality supports the case for a volatile down-market next week.

The movement in the stock market has led to a lot of interesting new data points from many different angles, which overwhelmingly point to the same conclusion: A volatile 2 – 4 week period is likely to be followed by strength into year end.

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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