Meta Strategy Derivatives Portfolio – Probability Map Update.

Santa’s Fake-out

For several days, it looked like Santa was planning to stay away from the stock market this year, but then the year-end rally took off with a vengeance late last Monday.

This caught many market participants, who had already written off the current positive seasonality, by surprise.

The size of this rally may have front-run the majority of year-end gains already, but the thinly traded holiday week is traditionally skewed towards positive returns.

Barring price-moving news the natural course is up, albeit at a more sustainable pace.

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.