Probability Map December 20

Meta Strategy Derivatives Portfolio – Probability Map Update.

Choppy Waters

OpEx week, which is often erratic, was particularly choppy this time around.

To me, the main culprits are two divergent forces that drove prices in opposite directions: yet another Vol-Crush Rally after the FOMC announcement and the pronounced tendency throughout 2021 to sell off into monthly options expirations.

However, with a new all-time high, many professional investors are now forced to dress-up their books for the year-end.

The most “natural” way this expresses itself is through a slow and steady grind-up of the stock market.

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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