Probability Map September 12

Meta Strategy Derivatives Portfolio – Probability Map Update.

Tuesday Update

Positioning Extreme

As we are looking at a market picture that is essentially the same as last week, I will take the opportunity to take a deeper dive into the most extraordinary data point that has recently crossed my screen.

A chart shows a huge amount of money spent on put options by large traders, which surpasses the GFC extreme by a factor of nearly 4.

Widespread comments view this as an extremely bullish sign, as everyone looks to be over-hedged, which makes it hard for the market to go down.

But reality might be more nuanced than this easy interpretation.

I see a stable footing at the cliff’s edge with a negative gamma squeeze lurking just below as quarterly OpEx is coming up.

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