Meta Strategy Derivatives Portfolio – Probability Map Update.

— Thursday Update: New Gamma Dip levels for long re-entry —

— Wednesday Update: New Gamma Dip levels for long re-entry —

Breakouts Galore

The Nasdaq followed the S&P 500 to new highs; small caps broke out after 9 months of consolidation; and European stocks broke out after 6 months: all of these indices closed the week at fresh all-time highs.

There is a strong feeling of “this is too much, in too short a time — it can’t possibly continue” in the air, and I take a close look at whether the data supports that intuition.

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.