Many market observers are giddy about the market's positive gains since the first of the year, which I suppose is understandable after the year we had in 2011. But the last several trading sessions are setting up as another range bound trading situation. For the last nine trading days, we have stayed roughly in the range of $1310 to $1330. Note that on several of those days we have spiked down below $1300 and up above $1330 one day, but in every case, the S&P 500 has been pulled back into the range. SPX ranged from $1307 to $1321 today before closing down less than one dollar at $1312. RUT was flat on the day at $793. Trading volume was up today, probably due to end of the month "window dressing". 3.1 billion shares of the S&P 500 traded and trading on the NYSE was up 21%. Trading on NASDAQ was up 6%.

Today's dose of economic data weighed on the market. The Case Schiller Housing Price Index dropped again in November, this time down 3.7%. The Chicago PMI came in at 60.2 for January, down from December's 62.2 and Consumer Confidence also dropped to 61.1 in January from the earlier 64.8. The market is in an interesting place. It appears to be trapped: on the one side we have good corporate earnings and some economic data that isn't worsening and appears to be slowly healing (today's data withstanding). On the other hand, the economic data in the states isn't anything to write home about; our political wrangling and political malfeasance are at all time highs (how is it possible that Congress is actually considering legislation to make it illegal for Congressmen to trade on inside information? How did we get here?); and Europe hovers over everything like a black cloud.

But this ugly picture works well for delta neutral trades. My Feb RUT iron condor stands at a P/L of +$2,520 with delta = -$60 and theta = +$92. The Mar condor stands at a P/L of +$240 with delta = -$39 and theta = +$83. Most likely, we will close the Feb call spreads this Friday (Two Sigma Rule) and allow the put spreads to expire worthless.

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