Trading Portfolio October 10

Meta Strategy Trading Portfolio – Probability Map Update.

Danger! OpEx Ahead

Last week showed that put options-driven rallies tend to be unsustainable, as the structural demand that is triggered by an initial positive catalyst acts like lighter fluid thrown into a fire – violent, but short lived.

As the short-term trend at the 20-day moving average stopped the advance like a brick wall, this was a strong indication that no genuine demand was supporting the rally attempt.

That puts us into a dangerous situation over the next two weeks.

A new negative catalyst (a low unemployment rate means “tighter for longer” after all) may prove to be more sustainable and lead us to new lows.

Such a dynamic would find its logical conclusion at monthly OpEx, when put options, which now drive an increasing negative gamma squeeze the further we fall, expire.

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