Probability Map December 13

Meta Strategy Derivatives Portfolio – Probability Map Update.

Thrusts, Thrusts, Thrusts

In a déjà-vu of late October, up-thrust signals triggered across the board last week.

It seems to have become typical for the current environment to see such swings from risk-off to risk-on — and back again — in a short period of time.

In conjunction with deterioration in long-term market breadth and the looming specter of liquidity withdrawal, these jitters look to me to be symptomatic for the beginning of a prolonged regime change.

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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