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Weekly probability maps for future stock returns are accessible for premium members and updated every Monday.

The Meta Strategy ETF Portfolio monthly newsletter for basic and premium members.

Strategy rules are accessible for basic and premium members – several basic strategies are open to everyone.

Recent Reports

Probability Map October 18

Meta Strategy Derivatives Portfolio – Probability Map Update.

In week six of the first significant consolidation period since September 2020, the S&P 500 has reclaimed key resistance areas to close right at the last hurdle before its all-time high.

I look at the main scenarios of what the near future (1-4 months) may look like and how to best structure our current positioning to balance the odds for a high probability of success paired with the possibility of a high payout.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map October 11

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Friday Update —

We are entering one of those rare periods, when all quantitative studies start to align with the basic tendency for stock prices to go up.

A 5-week consolidation has flushed out the negative indications that have persisted throughout the entire year, while the news provides a plethora of worries for the market to overcome.

A perfect setup for positive returns over 2 – 6 months.

Mr. Market may take issue with this simple view, and the current consolidation period can easily stretch on for longer, or flush out weak buyers with vicious price drops to new lows.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 10 2021

In September, we went through the first prolonged consolidation period in a year. It is now over a month since the S&P 500 last stood at an all-time high, but still the drawdown up to now was only around 6%.

Such a consolidation was expected for quite a while and it is entirely normal: A 10% stock market correction takes place every 11 months on average. More unusual is the exceptionally strong and uninterrupted momentum the stock market has been showing all year.

Should we be worried about the end of such a long winning streak?

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Probability Map October 4

Meta Strategy Derivatives Portfolio – Probability Map Update.

We successfully navigated the market’s rollercoaster ride of the last two weeks using systematic trade setups and specific market structures.

Now, I anticipate a volatile market bottom that presents a great medium-term opportunity on the long side.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map September 27

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Thursday Update —

The expected volatility expansion (in both directions) after the September options expiration played out neatly around a highly anticipated (and feared) FOMC meeting.

I provide a detailed analysis of “The Post-Event Vol Crush” trade setup, which I consider to be one of the most promising edges in today’s options driven market.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map September 20

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Tuesday Update —
— Monday Morning Update with additional post-FOMC volatility event assessment. —

The current pullback looks quite different compared to the last V-bottom drawdowns in the S&P.

After a big options expiration date, the way is open for faster, larger moves. Extremely negative seasonality supports the case for a volatile down-market next week.

The movement in the stock market has led to a lot of interesting new data points from many different angles, which overwhelmingly point to the same conclusion: A volatile 2 – 4 week period is likely to be followed by strength into year end.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map September 13

Meta Strategy Derivatives Portfolio – Probability Map Update.

Last week, we saw the stock market slowly deteriorate before the monthly “window of potential weakness”, which centers on options expiration.

The current level is where, in recent months, the pavlovian reaction of dip buyers would have kicked in: This has resulted in increasingly shallow drawdowns.

I remain skeptical that this simple tactic will continue to pay off.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 09 2021

August was another month during which the Meta Strategy ETF Portfolios have moved in only one direction: Up.

This adds up to 10 out of the last 12 months showing solid gains — with September, one year ago, posting the last drawdown worth mentioning.

Such strong performance triggers a natural reaction in many investors: “Do I have to worry? Can this continue? Wouldn’t it be better to lock in some gains?”

This instinct can become overwhelmingly strong due to the deeply ingrained “loss aversion” bias: Only realizing a loss feels worse than giving back profits we made on paper.

Such behavioral biases are what make a systematic investment framework so valuable.

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Probability Map September 6

Meta Strategy Derivatives Portfolio – Probability Map Update.

The overall market picture is becoming increasingly muddled.

In recent weeks, the vast majority of quantitative studies and indicators, have been pointing to an increased probability for negative S&P 500 returns over the summer.

But last week, we saw several momentum indicators triggering new positive signals, in concert with improvement in market breadth. This lends increasing support to the hypothesis of a “Stealth Correction”, which rotated across sectors, while leaving the major indices largely unharmed.

However, several warning signals still persist, and I don’t think we are quite out of the woods yet…

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map August 30

Meta Strategy Derivatives Portfolio – Probability Map Update.

The Market Breadth Conundrum:

Market breadth indicators are an important tool in our toolkit for assessing the health of the stock market.
This week’s letter offers an in-depth analysis of the practical use of market breadth indicators, including what they tell us in the current market environment.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map August 23

Meta Strategy Derivatives Portfolio – Probability Map Update.

Yet Another V-Bottom?

After a sharp drop in the beginning of last week, the S&P is trading below its highs, but has reclaimed its important short-term trend on Friday.

All this is happening while an historically stretched rally meets market internals that show ever increasing weakness.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map August 16

Meta Strategy Derivatives Portfolio – Probability Map Update.

Update, Thursday August 19 pre-market

Too good to last? …Or a momentum market that extends to become the strongest trend in 100 years? …

We are now entering a vulnerable period around monthly options expiration. In the past months, while not leading to an extended correction, this time period has always coincided with the largest pullbacks.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map August 9

Meta Strategy Derivatives Portfolio – Probability Map Update.

In typical August fashion, the activity in financial markets is taking a break, as investors and traders are on holiday.

This price lethargy (rather than action) dulls the senses, and fewer and fewer participants expect any serious problems. However, there are plenty of examples where such low-liquidity summer complacency has led to sudden, extended price moves.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 08 2021

It seems like nothing can stop this liquidity-driven momentum rally, despite it being carried by fewer and fewer large cap stocks. Much like in the markets of 2013/14 or 2017, every dip is shallow and immediately bounces back to new highs.

However, many underlying issues remain unresolved, and there is a steadily increasing possibility that the current, relentless rally will not be able to sustain its pace for much longer.

It would be only natural to see extended consolidation periods and price corrections in the broad market over the summer.

Probability Map August 2

Meta Strategy Derivatives Portfolio – Probability Map Update.

When the soldiers are in retreat, the entire burden to keep the market up rests on the generals’ shoulders.

The one stock that rules them all, Amazon, broke down after last Thursday’s earnings numbers.

Often weak breadth starts to matter, when leadership momentum begins to wane…

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map July 26

Meta Strategy Derivatives Portfolio – Probability Map Update.

Warning signs, for example low breadth or rising VIX / SPX correlations, still do a good job pinpointing market tops, but the downside remains constrained to 3% – 4%.

As the market failed to work through these issues, by putting in a very fast, relatively uncommon V-bottom, we are left with a dissatisfyingly unclear picture: Most indications of market fragility remain unresolved, while they are counteracted by a positive momentum burst.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map July 19

Meta Strategy Derivatives Portfolio – Probability Map Update.

Pullback Update — Tuesday & Wednesday pre-market

Could the next trading weeks really be encapsulated by this simple formula?

OpEx vulnerability + broken support + weak market internals + positioning & sentiment extremes + tapering = significant downside

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map July 12

Meta Strategy Derivatives Portfolio – Probability Map Update.

The week around monthly OpEx has increased potential to see a structural market break this month, as overstretched positioning and weak market breadth may prove to be unsustainable.

OpEx week usually sees a decreasing price range as high long gamma exposure tends to pin the market to areas of large options’ open interest. In recent months, a clear pattern of an S&P falling during the week before monthly OpEx Friday has emerged.

A “window of weakness” opens when structural liquidity flows from the options markets wane into expiration Friday.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 07 2021

The first half of 2021 has seen one of the best, most consistent, and most persistent rallies year-to-date in the S&P 500’s history.

The good news is that such strong momentum tends to persist over the long term, and positive returns over the following 6-month and one-year periods, are a highly probable outcome.

On the other hand, the S&P 500 and Nasdaq have reached lofty heights, and these advances are carried by fewer and fewer stocks. Signs of a fragile market are increasing at a time that is seasonally weak for the market.

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Probability Map July 5

Meta Strategy Derivatives Portfolio – Probability Map Update.

The last six months have seen one of the strongest rallies year-to-date in the S&P 500’s history.

It would be naively recency-biased to expect this to continue indefinitely. But, on the other hand, long-term momentum effects have shown a very convincing tendency to persist in the past. Thus, a shake-up, but not the end of this bull market, is the most likely trajectory for this summer.

Right now, however, we are facing a very specific short-term market dynamic that started to develop last week.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map June 28

Meta Strategy Derivatives Portfolio – Probability Map Update.

A handful of signs lead me to believe that the seismic FED tremor two weeks ago may portend further trouble ahead.

Declining market breadth and a slowdown of central bank liquidity are the main factors that may increasingly matter, if the relatively few stocks that hold the market up start to stumble.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map June 21

Meta Strategy Derivatives Portfolio – Probability Map Update.

Tuesday Update: Short entry targets were reached.

The market’s reaction to a surprisingly hawkish tone in the recent FED meeting shows just how sensitive all asset classes are to changes in liquidity conditions. “Do not fight the FED.”

Friday’s big quarterly OpEx finally managed to dislodge the stock market, and prices fell below key support levels.

The picture has changed significantly: a feature of a market pinned by high levels of gamma exposure is that, when the ball finally starts rolling, it can quickly turn into an avalanche.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map June 14

Meta Strategy Derivatives Portfolio – Probability Map Update.

Falling summer volumes in combination with options dealers’ high long gamma exposure make it hard for any directional move to gather momentum.

Next Wednesday marks the beginning of a more interesting period in the market cycle, as VIX futures expiration coincides with the June FED meeting and is closely followed by OpEx on Friday.

Barring a significant FED surprise, a post-event volatility crush, paired with an unpinning of the market, has the potential to add temporary fuel to the market rally.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map June 7

Meta Strategy Derivatives Portfolio – Probability Map Update.

The typical summer slowdown is often followed by the Summer Doldrums, which usually appear out of the blue in a low liquidity vacation period. As a sudden melt-up is as common as a melt-down, I mentally prepare and keep an eye out for either scenario.

The combination of inflation surprises and tightening FED liquidity remains the greatest current threat to equity markets.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 06 2021

The stock market advanced solidly during a quiet month. The steady pace since the beginning of the year is especially beneficial for the Meta Strategy Aggressive ETF Portfolio (up by over 20% in 2021). A much expected consolidation period proved to be mild, when the S&P 500 temporarily pulled back by 5% in the beginning of May.

Nonetheless, this had the effect that recent, unhealthy extremes in market breadth, sentiment, and positioning have now normalized. While these indicators have plenty of room to swing further into the opposite direction, they are not an outright obstacle to rising prices anymore.

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Probability Map May 31

Meta Strategy Derivatives Portfolio – Probability Map Update.

All eyes are on inflation, and the path of a strengthening FED taper narrative will likely be the main influence for stock prices over the next months. As long as liquidity flows unimpeded, the buy-the-dip mentality will probably prevail. But, conversely, the slightest sign of tightening conditions should see strongly negative reactions in equity markets.

Rising inflation now leads to negative real earnings yields for the S&P 500, which makes stocks an inherently unattractive investment for the long term.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map May 24

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated May 25, pre-market —

The S&P 500 hovers indecisively around a key short-term inflection area.

With the monthly OpEx price pin behind us, the way is now open for a larger directional move.

Recent extremes in breadth, sentiment, and positioning, which had caused several warning signals to flash red, have now normalized.

While these indicators have plenty of room to swing further into the opposite direction, they are not an outright obstacle to rising prices anymore.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map May 17

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated May 20, pre-market —

Last week we saw a fast 5,2% drop from all-time highs, followed by an equally quick 3,7% recovery.

So far, this perfectly mirrors the typical pattern that is often seen in the beginning of larger pullbacks: a fast drop to an initial low is followed by a strong bounce, which then falls back to the initial low or makes a lower low.

This high probability pattern is systematized in the “Retest of Low After Retracement in Pullback” trade setup.

All eyes are on inflation, and the path of a strengthening FED taper narrative will likely be the main influence for stock prices over the next months. As long as liquidity flows unimpeded, the buy-the-dip mentality will probably prevail.

But, conversely, the slightest sign of tightening conditions should see strongly negative reactions in equity markets, and leveraged positioning will suddenly matter.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map May 10

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated Tables May 13, pre-market —
— Important Update May 12, pre-market —

For months now, clusters of warning signals have led to only minor pullbacks before equities resumed their relentless rally. The signs were quite effective in pinpointing short-term market tops, but liquidity driven momentum ultimately resumed its place as the stronger force very quickly.

When this changes, it likely does so very suddenly, and signs still point to a larger correction with an increased probability to occur in May/June.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 05 2021

The Meta Strategy portfolios continue to advance solidly in tandem with an exceptionally strong stock market. An unprecedented amount of liquidity causes asset price inflation, which pushes all markets up. This has led to an equity rally that surpasses the strength of any bear market recovery of the past century.

The advance is well supported by strong trends, wide market breadth, a falling volatility range, and solidly improving economic fundamentals.

However, this is becoming too much of a good thing, and a cooling-off period looks to be overdue, as we enter a seasonally weaker period of the year.

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Probability Map May 3

Meta Strategy Derivatives Portfolio – Probability Map Update.

In this liquidity-driven rally, a plethora of signs tells us that a cooling-off period is overdue, but, due to the unprecedented amount of money flooding the system as well as an exuberant buy-the-dip mentality, it is hard to tell just how far the initial bull market rally can push higher.

Signs are now pointing to a larger correction with an increased probability to occur in May/June.

Traditionally, we face the highest probability for weakness around the middle of the month, but due to the uncommonly large options expiration at the end-of-month weekly OpEx, I am on the lookout for a break below initial support levels in the coming week.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map April 26

Meta Strategy Derivatives Portfolio – Probability Map Update.

Multiple red flags warning of an imminent stock market decline were quite accurate, but, despite going through a vulnerable post-OpEx time window, the pullback remains very shallow.

A strong “buy-the-dip mentality” is still the prevalent force for now. 

Last week ended where it started, and we face a handful of different scenarios for the market’s short-term development.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map April 19

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated Tables April 21, pre-market —

The S&P 500 rally is now extremely over-stretched by any measure, while plenty of warning signals are flashing.

In addition to reaching strong technical resistance levels and highly overbought measures, we see extremes in sentiment, equity positioning, and low levels of hedging, as well as reliable indications of trouble beneath the surface (volatility correlations & gamma exposure).

This leads me to expect short-term weakness, within the context of a positive environment for stocks over the longer term.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Red Flags are Popping Up

Current data causes me to expect significant stock market weakness over the next weeks or months, and to hedge accordingly.

The beginning of a new bear market, however, is less likely, as all long-term indications remain positive.

Probability Map April 12

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated Tables April 15, pre-market —

The current rally is accelerating, and several red flags are popping up in an overbought market.

These conditions will probably lead to weakness within the next two weeks, and the key area to watch is the first strong support level around the zero gamma / 20 dma.

This area could very well hold through April and is more prone to breaking down in May. 

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 04 2021

The Meta Strategy portfolios are looking very well, with stock markets trading at all-time highs.

All fundamental indicators have moved further into the green zone, as the post-pandemic recovery is gathering steam under an accelerating immunization effort.

Most of this is priced into the stock market already, however, and we should expect the strong recovery rally to transition to a more moderate pace, interspersed by corrective consolidation periods.

The economy will have to prove itself, when the constant flow of stimulus lessens.

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Probability Map April 5

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated April 6, pre-market —

My main upside target area was reached last week and half of the derivatives position was closed at a healthy profit.

The S&P 500 has run up into positive gamma territory, which dampens volatility and makes a mean-reverting consolidation increasingly likely. 

Current market studies add up to a largely neutral picture, and the default expectation is a continuation of the current slow grind up with frequent pullbacks.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map March 29

Meta Strategy Derivatives Portfolio – Probability Map Update.

While market fragility still remains elevated, the current correction is slowly releasing some of the pressure stemming from speculative extremes, as it is rotating through different areas of the market.

The essential short-term message is that we have passed through the main window of increased vulnerability unscathed, and now have the seasonally strong month of April ahead of us, supported by a volatility regime that is shifting lower.

I am introducing a new section containing alternative strategies and special opportunities to the report, starting today with the “Vanna Nights” strategy.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map March 22

Meta Strategy Derivatives Portfolio – Probability Map Update.

Several positive market studies tilt probabilities towards the scenario that we may get through next week’s window of weakness unscathed.

In case of further bullish momentum, I plan to take profits on my long positions fairly quickly.

In general, market fragility remains elevated, because the recent pullback has failed to reset signs of speculative excess and sentiment extremes.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map March 15

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated March 18, pre-market —
— Updated March 16, pre-market —

Stimulus money is now arriving in bank accounts, and this influx may succeed to push the S&P 500 to significant new highs.

I will take this as a sign that a benevolent feedback loop may overcome the potential post-OpEx weakness.

If we should stall below 3960 this week instead, I will make the opposite assumption.

In general, market fragility remains elevated, because the recent pullback has failed to reset signs of speculative excess and sentiment extremes.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map March 8

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated March 12, pre-market —
— Updated March 9, pre-market —

The ongoing corrective stock market move continues to take stair steps down. Last week, this pattern accelerated to the downside, while the amplitude of each swing increased — fast drops were followed by massive reversals.

A further normalization of excessive speculation and sentiment is the highest probability scenario going forward, as rising bond yields put increasing pressure on the stock market.

The passing of the US stimulus bill over the weekend may catapult the market into a blow-off rally, however, as more liquidity flushes into the market. I remain skeptical of that scenario, as a sell-the-news outcome looks to be equally likely, especially given the enthusiastic expectations.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 03 2021

There is a major position change in the Meta Strategy ETF Portfolios this month.

The stock market is currently working on normalizing speculation and sentiment extremes, which have been building up over the last months.

As this will not happen overnight, I wouldn’t be surprised to see the current correction continuing for some time yet. This would be quite normal in light of the 73% rally we have seen since the lows in March of 2020 (one of the strongest bear market recoveries in history).

The underlying market environment is healthy and sound, which points to a correction as being temporary, even if it should be steep.

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Probability Map March 1

Meta Strategy Derivatives Portfolio – Probability Map Update.

A normalization of excessive speculation and sentiment is the highest probability scenario going forward, as a changing narrative (rising bond yields matter) puts increasing pressure on the stock market.

To be able to flush out the excess, we would need to see a prolonged correction or sideways consolidation over the next month or two.

As corrections often follow similar patterns, I lay out a detailed trading plan in this week’s report.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map February 22

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated February 26, pre-market —
— Updated February 25, pre-market —
— Updated February 24, pre-market —
— Updated February 23, pre-market —

This week, I provide an overview of how traders can take advantage of liquidity flows in equity markets that are being driven by the price-insensitive buying and selling of options market makers.

As 35% of SPX gamma exposure expired on Friday, this opens a window of potential weakness beginning this week. I tilted my portfolio exposure short in anticipation of a higher probability for a break of key support.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map February 15

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated February 17, pre-market —

Short-term probabilities are beginning to tilt in favor of negative returns, because extreme sentiment and excessive speculation continue to build up market fragility. This has been the case for several months now, but last week saw several new indicators flash a warning signal.

A strong correction in the beginning of 2021 is still my highest probability scenario.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

Probability Map February 8

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated February 11 (position change) —
— Updated February 10, pre-market —

Mixed signals are the defining feature of the current market. Despite a substantial pullback, signs of excessive speculation have not normalized in the slightest. Quite to the contrary, many sentiment indicators reached fresh extremes even while the market dropped, pointing to a continuation of the excesses that are endangering a long-term recovery.

On the other hand, momentum returned with a vengeance last week, pushing equity indices to fresh all-time highs — such strength carries a message that mustn’t be ignored.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 02 2021

Investor speculation is reaching manic proportions. The seductive lure of extraordinary gains, receiving full coverage in the main-stream media, emboldens investors to engage in dangerous practices.

Unfortunately, this phenomenon usually ends in a reaping, where many investors take enormous losses.

For us, this situation prepares us for what may happen in the coming months, as the stock market continues to build up into a state of increased fragility. More violent corrections and rallies, than the relative calm we have become used to over prior months, may very well play out.

Such an increase in volatility shouldn’t cause us sleepless nights, as the underlying market environment is healthy and sound. All of our strategy’s fundamental leading indicators have returned to signal a green light, which will likely revert to warn of danger well before we see the arrival of a new bear market.

Probability Map February 1

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated February 5, pre-market —
— Updated February 3, pre-market —
— Updated February 2, pre-market —

I spent the last weeks slowly and carefully rotating the model portfolio to a net short exposure. After last Wednesday’s close below key support, I further added to this short position, which has accumulated a healthy profit.

For the next couple of weeks, navigating the current pullback / correction will be my main priority. Fast drops from all-time-highs offer a range of great reward : risk opportunities that can play out very quickly.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map January 25

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated January 28, pre-market —
— Updated January 27, pre-market —

On balance, my current probability assessment is still tilted to the short side over the next weeks, but the advantage is not very pronounced. We remain in a stand-off between strong momentum & breadth and excessive sentiment & speculative fever.

Even if current momentum leads to a continued push higher, any gains we may see are increasingly likely to be given back over the coming weeks, as the market becomes more and more fragile.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map January 18

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated January 21, pre-market —

Last week played out exactly as anticipated, and on Friday the S&P 500 finally broke down from a sideways range.

This came right on schedule, after I switched the model portfolio to a net short exposure during the week.

The breakdown shows us the likely market direction for the coming week, supported by growing signs of excessive speculation, leading to a fragile state of the market.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Vanna Nights — Creating an Overnight Trading Strategy (II)

All of the S&P 500’s recent returns occurred during the overnight sessions.

I will use my findings from part I of this post to go through the steps of constructing a simple, viable overnight trading strategy.

Please register for free in the “Subscribe“ section to read the second part of this article.

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Probability Map January 11

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated January 12, pre-market —

This week’s report is published early, as I see Monday morning as an opportune time to make adjustments that reduce the model portfolio’s market exposure to neutral.

Monthly option expiration on January 15th will open a window of potential weakness. The market is likely to attempt a breakout, when it becomes untethered from long gamma exposure.

Initially, an acceleration to the upside is as much a possibility as a break to the downside, but the current situation of an overstretched rally combined with excessive speculation make a downside move the path of least resistance.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

The Meta Strategy ETF Portfolio Newsletter – 01 2021

While I do not think that the next correction will mark the end of the current bull market (because most long-term fundamental and technical indications are still overwhelmingly positive), I do expect intermediate problems to be a significant feature of 2021.

The rally off the March 2020 bottom could soon be reaching an initial limit.

In essence, medium-term weakness followed by a continuation of the long-term bull market trend is the most probable path.

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Probability Map January 4

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated January 7, pre-market —
— Updated January 5, pre-market —

The struggle of opposing market forces is beginning to shift, as positive turn-of-year flows will soon start to wane.

I expect that we will see a larger correction in the beginning of the year, but current momentum may surprise us with another push higher before that.

However, any gains we see over the next weeks are very likely to be given back over the coming months.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map December 28

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated December 29, pre-market —

After an exciting Monday last week, the market remained quiet. Every dip was met by strong buyers, and a support area around SPX 3650 now provides a strong base.

From today onwards seasonal liquidity flows steadily increase into January, which bodes well for the historically strongest weeks in the calendar.

I continue to look towards mid-January to be the beginning of a critical danger period, where extreme sentiment may start to overcome positive breadth and fading supportive seasonality.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map December 21

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated December 22, pre-market —

The end of 2020 combined with the beginning of January, will release a flow of structural liquidity into the market, that will make a significant decline difficult.

Meanwhile, we are in the middle of a battle between extreme momentum and extreme sentiment. These are conditions that frequently lead to any further shorter-term gains to be erased during a subsequent pullback.

Thus, we are looking for indications of an approaching tipping point, by analyzing weakening liquidity flows that will eventually exhaust themselves in the new year.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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Probability Map December 14

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated December 18, pre-market —
— Updated December 16, pre-market —

It was good to see the market trade, almost right away, in accordance with recent warning signs, which showed it was facing increased vulnerability.

My primary scenario is that momentum has been impressive enough, so that any weakness should remain temporary, and the uptrend should resume, supported by traditionally bullish year-end tendencies.

I react to the current pullback by going long opportunistically during the coming week’s potential window of weakness, as excessive sentiment normalizes.

We were able to book a quick profit in Gold last week.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

Probability Map December 7

Meta Strategy Derivatives Portfolio – Probability Map Update.

— Updated December 9, pre-market —

The battle between strong breadth and excessive sentiment — the big counterpoints in the current market — is getting closer to a tipping point.

Several signs of exuberance have now reached worrisome levels, but the timing of a potential pullback is difficult to anticipate, as it goes against strongly bullish end-of-year tendencies, which may manage to neutralize the threat for some time yet.

Patience has paid off, as the S&P 500 finally filled our main long target area last week. We were able to take profits on a majority of our long position.

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.

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The Meta Strategy ETF Portfolio Newsletter – 12 2020

The US presidential election turned out to be the starting point for a powerful rally, making this November one of the strongest months in history and leading to a new all-time high for the S&P 500.

A slew of positive news hit the wires last month — first and foremost, the uplifting message that a highly effective Coronavirus vaccine will be available in the coming months.

Everyone has been waiting to hear that, and I’m confident that people will be able to endure several difficult months, as the timeline that ends this pandemic is much clearer now — a light is shining at the end of the tunnel.

Probability Map November 30th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Strong breadth versus sentiment:
These are the big counterpoints in the current market. Signs of exuberance are on the rise, but the key question remains; How long can that rise continue, and when will it flip?

Growing confidence is typical for a euphoric bull market, and strength underneath the hood lends long-term support.

The art now lies in striking the right balance in interpreting the data: When will growing sentiment likely cease to be supportive of rising prices, making the market fragile and prone to flushing out its excesses?

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium and long term.

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Probability Map November 23rd

Meta Strategy Derivatives Portfolio – Probability Map Update.

A new probability dashboard makes the most important analysis results visible at a single glance.

Current moderate stock market weakness gives a good entry opportunity for my primary scenario: a year-end rally.

Caution is warranted, however, as a failure of such a scenario often leads to a large drop in equity prices.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short, medium and long term.

Probability Map November 16th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report looks at how positive vaccine news may enable the market to look beyond the current catastrophic state of the pandemic – pricing in the likely state of the world six months from now.

A strong rally is slowly increasing short-term chances for a pullback. We decrease the model portfolio’s level of leverage with rising prices, taking excellent profits along the way.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map November 9th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report digs into the mechanical nature of last week’s relentless stock market rally. We try to fathom how long it may last and look at the chances of seeing a strong year-end rally.

After a successful retest of the correction bottom and reclaiming significant resistance levels we increased the model portfolio’s level of leverage.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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The Meta Strategy ETF Portfolio Newsletter – 11 2020

The stock market rallied higher in the face of what many thought would be the worst possible US election outcome: no clear winner on election night combined with a high likelihood of split power between Senate & House. Instead of trying to conjure up an explanation of how the worst result is suddenly great in hindsight, I think that the real reason behind the unexpected rise are mechanical liquidity flows into stocks.

The S&P 500 is still stuck in a volatile correction, but the enthusiastic reaction after the election bodes well for a historically positive season – especially if we see clear, positive news on the vaccine front.

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Probability Map November 2nd

Meta Strategy Derivatives Portfolio – Probability Map Update.

In today’s report: last week’s stock market rout analyzed through the lens of volatility, breadth, seasonality and more.

After breaking significant resistance levels we reduced the model portfolio’s level of leverage to reasses the situation.

US elections are front and center this week. Forecasts paint a clear picture in favor for Joe Biden, but the senate result will likely be more important for the stock market.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map October 26th

Meta Strategy Derivatives Portfolio – Probability Map Update.

In today’s report: a textbook technical setup coming out of the current correction in equities is supported by positive seasonality.

After closing and consolidating above the last significant resistance below the S&P 500 all-time-high, the model portfolio is now long near its maximum level of leverage.

We began to build high conviction long positions over the past month and continue to hold during the current pullback that was preceded by significant breadth & strength.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map October 19th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees increased short-term uncertainty after Friday’s Opex at the tail end of the current correction in equities.

After closing above the last significant resistance below the S&P 500 all-time-high early last week, the model portfolio is now long near its maximum level of leverage.

We began to build high conviction long positions over the past three weeks and continue to hold during a short-term pullback preceded by significant breadth & strength.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map October 12th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report calls the end of the current correction in equities.
After closing above the last significant resistance below the S&P 500 all-time-high, the portfolio is now going long at its maximum level of leverage.

We began to build high conviction long positions over the past three weeks and one further entry is planned on a short-term pullback under significant breadth & strength.

We book a large gain as we close our position in long Corn.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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The Meta Strategy ETF Portfolio Newsletter – 10 2020

Just as the stock market is settling into behavior that looks more and more like a regular post-bear-market recovery period, the US presidential election is imminent and priced into volatility markets as a potential high risk event.

As a bull market environment is signaled by the systematic Meta Strategy, the baseline expectation for this correction is to stick to regular parameters and lead to new all-time-highs in due course.

Looking at the big picture my conclusion is: an exogenous shock bear market has ended in record time and we now see the fundamental picture slowly turn positive. We can wait for signs of a new regime change from the Meta Strategy model rather than try to predict highly uncertain medium- & long-term developments.

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Probability Map October 5th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees increased probabilities for an end of the current equity correction.
Stock market resilience in light of the exogenous shock event of President Trump’s Coronavirus infection is a very healthy sign.

We began to build high conviction long positions over the past two weeks and further entries are planned on continuing strength – leading to a leveraged long exposure for the portfolio.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map September 28th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees further increased probabilities in favor of an end of the current equity pullback.

We reached our main target range last week and began to add long positions. Further long entries are planned for this week – leading to a leveraged long exposure for the portfolio.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map September 21st

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees higher chances for an end of the current equity pullback. The market direction after Friday’s option expiration may be decisive.

Important levels have been reached and we now fine-tune our entry on the long side.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map September 14th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report looks closely at the current equity pullback which brings stocks back into play in a big way.

Important levels have been reached and we now fine-tune our entry on the long side.

Short volatility exposure is back on the table with an unusual opportunity in the VIX futures curve going into the US election.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map September 7th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report looks closely at the current equity pullback which brings stocks back into play in a big way.

The anticipated drop leads to gains on the short side and activates a new trading setup.
Short volatility exposure is back on the table after a long pause with an opportunity in the unusual VIX futures curve going into the US election.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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The Meta Strategy ETF Portfolio Newsletter – 09 2020

The year 2020 will go down in history as one of the strangest ever – in markets as well as in real life.

While the economy is recovering from extremely depressed levels and is still facing severe headwinds in the ongoing pandemic, the stock market shoots up in the fastest recovery to new all-time-highs in US history.
Meanwhile we see data indicating increased risk because of excessive speculation and market anomalies that have surpassed even the records of the year 2000.
This has materialized last week in a very quick sell-off, that is likely to continue for a while longer.

Probability Map August 31st

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees unusual anomalies regarding equity volatility leading to rising risks over the short-term while good long-term prospects remain.

We book a large gain in long Corn.
The best opportunities can be found in alternative assets and securities for the moment.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

Probability Map August 24th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees strong possibilities for a change in market dynamic due to the roll off in gamma exposure. A common theme over the last weeks, studies show elevated risk over the short-term and good long-term prospects.
The best opportunities can be found in alternative assets and securities for the moment

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map August 17th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report sees an overextended stock market still hovering just below its all-time-highs – with elevated risk over the short-term and good long-term prospects.
The best opportunities can be found in alternative assets and securities for the moment

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map August 10th

Meta Strategy Derivatives Portfolio – Probability Map Update.

Today’s report shows a continuing return to normality by establishing a long-term position in stocks, but still sees elevated risk over the short-term.

As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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The Meta Strategy ETF Portfolio Newsletter – 08 2020

Dear subscriber,
the Meta Strategy indicators signaled the change to a bull market regime while the world is in turmoil all around us. This is quite normal due to the anticipatory nature of the stock market and fundamental economic improvement is lagging behind.

Our gold position had one of its best months in history (up 13,54%) – far surpassing the gains of the S&P 500…

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Probability Map August 3rd

Meta Strategy Derivatives Portfolio – Probability Map Update.
Today’s report shows that the short term outlook has turned negative while we are caught in an uneventful “Summer Box”.
As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map July 27th

Meta Strategy Derivatives Portfolio – Probability Map Update.
Today’s report confirms a decisive turning point in the market and shows entries in a bull market trade setup.
As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Thoughts on the Market Environment, July 2020

My tactical asset allocation model, the Meta Strategy, signaled big changes in the stock market environment in recent weeks.
This is a big deal, because the current regime of the market influences all my investing and trading decisions.
We are now in a „make money regime“ opposed to the previous „preserve capital” environment.

Probability Map July 20th

Meta Strategy Derivatives Portfolio – Probability Map Update.
Today’s report confirms a decisive turning point in the market and details specific bull market trade setups.
As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

Download The Meta Strategy eBook

The brand-new, free eBook „The Meta Strategy“.
All you need to know about my flagship systematic Tactical Asset Allocation Strategy – background, backtests and detailed analysis.
Click on the title to download for free!

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Probability Map July 13th

Meta Strategy Derivatives Portfolio – Probability Map Update.
Today’s report identifies a decisive turning point in the market and introduces a new section detailing asymmetric trading opportunities.
As usual I map my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term.

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Probability Map July 6th

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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The Meta Strategy ETF Portfolio Newsletter – 07 2020

Dear subscriber,
Uncertainty still reigns. The Meta Strategy is very close to flipping to a bull market regime and buy back into equities while the gulf between the economy and the stock market is as high at as it has ever been.
Our gold position had a stellar month far surpassing the gains of the S&P 500…

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Probability Map June 29th

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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Probability Map June 22nd

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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Thoughts on the Market Environment, June 2020

We are dealing with an extraordinary situation – both in our lives and in the financial markets – and find ourselves in a state of limbo.
Will we really manage a return to new stock market highs in the face of an abysmal economy, a raging pandemic, riots and so on? Or will the March bear market return with full force and surprise complacent investors?

Probability Map June 15th

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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Probability Map June 8th

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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The Meta Strategy ETF Portfolio Newsletter – 06 2020

Dear subscriber,
we are dealing with an extraordinary situation – both in our lives and in the financial markets.
Will we really manage a return to new stock market highs in the face of an abysmal economy, a raging pandemic, riots and so on? Or will the March bear market return with full force and surprise complacent investors?

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Download the Investment Blueprint eBook

A complete guide to develop your own individually tailored investment plan.
Newly revised and updated.
Read about investing going from basic concepts to sophisticated strategies and insightful ideas.
Click on the title to download for free!

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Probability Map June 1st

Meta Strategy Derivatives Portfolio – Probability Map Update.
This report maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short-, medium- and long-term. My key insights, price targets and model portfolios are all listed below the probability map.

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Probability Map May 25th

Meta Strategy Derivatives Portfolio – Probability Map Update This table maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short term (1 – 8 weeks), medium term (3 – 6 months) and long term (6 – 18 months). It is updated each Monday and whenever probability estimates…

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Short Term Strategy Rules

A rulebook for basic and premium subscribers detailing the short term trading set-ups that I include in my trading process.
Strategies: Buy the Gamma Dip; Retest of Low (after retracement in sharp bull market pullback) and more…

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Probability Map May 18th

Meta Strategy Derivatives Portfolio – Probability Map Update This table maps my current data-driven estimate of the probabilities for future returns of the S&P 500 over the short term (1 – 8 weeks), medium term (3 – 6 months) and long term (6 – 18 months). It is updated each Monday and whenever probability estimates…

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Thoughts on the Market Environment, May 2020

A succinct summary of key insights from recent subscription newsletters. Thoughts on the market environment From a relentless march to new highs to an unprecedented crash and now a generational rally – during the first four months of the year the stock market certainly showed us everything it has got. In the face of high uncertainty, […]