Meta Strategy Derivatives Portfolio – Probability Map Update.

— Thursday update: New trade setup levels —

— Wednesday update: New trading setup active —

Liquidity Panic

A sharp sell-off during the low-liquidity environment of Black Friday led to one of the sharpest VIX spikes in history.

Analyzing the catalysts, I come to the conclusion that we may soon see a post-panic volatility crush that sets up a year-end rally.

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.