Meta Strategy Derivatives Portfolio – Probability Map Update.

High Failure Rate

Friday’s high CPI print derailed another promising setup, as bad news instantly turned a contrarian take on sentiment into a self-fulfilling prophecy instead.

The remaining traders with long positioning all stampeded for the exit at once, and a low liquidity environment and negative gamma exposure did the rest.

The stock market is now likely to quickly retest its recent lows with the potential to trigger a dangerous liquidity cascade down to much lower levels, which would be driven by a negative put-gamma squeeze into quarterly OpEx.