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.