What if three megacaps are dropped from the S&P 500 overnight?
A surprise removal of three megacaps forcing ~$200B of passive selling is a mechanical, dateable dislocation — fade it: the selling is price-insensitive and front-run, so the gap reverses once index funds finish rebalancing. The clean analogue is any large S&P reconstitution squeeze (e.g. the 2020 Tesla inclusion, which front-ran ~$80B of buying then mean-reverted). The bank-crisis analogues attached are the wrong template; this is a flow event with no credit content, best traded as a snapback.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 0–6 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A surprise removal of three megacaps from the S&P 500 forces $200B in mechanical passive selling overnight. The trigger decomposes into signed root‑shocks — Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.