Meta Strategy Derivatives Portfolio – Probability Map Update.

— Thursday Update —

The expected volatility expansion (in both directions) after the September options expiration played out neatly around a highly anticipated (and feared) FOMC meeting.

I provide a detailed analysis of “The Post-Event Vol Crush” trade setup, which I consider to be one of the most promising edges in today’s options driven market.

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.