Meta Strategy Derivatives Portfolio – Probability Map Update.
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.