The Russell 2000 Index (RUT) held its support level at $550 and closed at $556.43 today. The SPX closed up at $989 but remains below its critical resistance level of $1000. The consensus of the talking heads was to credit the positive earning announcements from Home Depot and Target for today's market strength. I am inclined to think the market just needed a breather. When it goes up that far that fast, the slightest twitch will set off profit taking and that is what happened yesterday.

My August iron condor stands at a P/L of -$590, delta = -$7 and theta = +$147. The $590 strike is now almost three standard deviations OTM and the $490 strike is over five standard deviations OTM. As long as these strikes remain greater than two standard deviations OTM, I will allow the position to expire worthless.

I purchased one Oct $510 put yesterday to hedge my Sept iron condor position; the delta of the Sept $510 puts dropped to 18 this morning, so I sold the Oct put for $12.50, a loss of $340. I added 20 contracts of $620/$630 call spreads at $0.50 and 20 contracts of $480/$490 put spreads at $0.70. My Sept Iron Condor position now consists of 30 contracts of the $620/$630 calls, 10 contracts of the $500/$510 puts, and twenty contracts of the $480/$490 put spreads. The total net credit now stands at $4,360 with a current P/L = -$440, delta = -$5, and theta = +$184.