Trading Portfolio September 4

Meta Strategy Trading Portfolio – Probability Map Update.

Golden September?

September leads the statistic as the worst month of the year for all major US stock indices, which would fit well with the consensus expectation of a drawn-out consolidation in equities over several more weeks.

However, alternative scenarios of an early golden season have emerged from several independent sources backed by convincing data.

Top of my list is a strong divergence of volatility against its usual seasonal pattern, which may foreshadow a positive path for equities.

VIX tends to move significantly higher between mid-July and mid-October, but broke this tendency this year by nearing multi-year lows last Friday. This may cause a positive feedback loop of flows into equities.

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