Meta Strategy Trading Portfolio – Probability Map Update.

Vibes of 2017

The current slow-motion grind up in the S&P 500 awakens memories of a 2017-style volatility compression.

While such comparisons are interesting to set outlier expectations, they are to be taken with a grain of salt.

I anticipate a volatility compression regime, in-line with similar post-V-bottom correction periods, as the most likely path forward.

It is, however, likely to be more moderate than the most extreme year in history: I expect a Vix between 10-15 with occasional spikes above whenever the S&P pulls back 4-9%.

And remember, vol compression often ends with a bang!

August OpEx
Fast-forward to today, even if we may be at the beginning of an extended low-volatility regime, the rare setup of stocks rallying into a period with Vixperation occurring after OpEx has an elevated probability to see a turnaround: Falling stocks can lead to a temporary expansion of volatility.