Meta Strategy Trading Portfolio – Probability Map Update.

– Positioning Update Thursday –

Summer Doldrums

The S&P 500 was pinned in a tight range into July OpEx, which is slowly widening as consecutive failures to break out frustrate both bulls and bears.

However the current consolidation range is still too narrow to fit historical case studies – it is likely to broaden out over the coming weeks.

The OpEx pin caused by high levels of positive gamma has been pulled as a large chunk of options’ gamma expired on Friday, which now opens up the possibility for a larger directional move.

Because the current edge for shorting the stock market has a very thin margin of error, the best course of action is to simply wait until a pullback within the most favorable parameters actually happens and offers an exceptionally good reward-to-risk opportunity on the long side.