Probability Map November 22

Meta Strategy Derivatives Portfolio – Probability Map Update.

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

Clouds in the Sky

Last week’s seesaw price action in the S&P caused some unhealthy divergences underneath the market’s surface, however an uncommonly large options expiration last Friday may provide an alternative explanation to these issues.

We might just be seeing a mechanical consequence of a gamma pin during the options expiration cycle that looks like an extremely worrisome divergence, but that was actually resolved by the expiration on Friday.

Now the way is open for a larger price move in either direction, and I analyze the main factors that influence whether we go up or down.

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.

This content is for premium members only.
Log In Register