As some of you know, my web site was hit by hackers last week and my blog has been incapacitated until earlier today. We closed the holes and are in the process of moving to a more secure hosting environment. I added one additional feature when bringing the blog back up. You can now click on the Comments link and add your comments or questions to the latest blog entry.
The markets started the day with weakness and traded sideways through much of the day. Then traders began buying and pushed stocks higher, forcing many short positions to cover late in the session, forcing prices even higher. RUT closed at $600, a new high for the year. My Sept iron condors now stand at a net gain of $2,550 with position delta = -$166 and theta = +$680 - huge theta! The delta of the Sept $620 calls is 9, slightly over one standard deviation OTM. Unless the RUT pulls back quite a bit, I will be closing the call spreads sometime before Thursday's close.
My October iron condors are near breakeven at -$95 for the overall position and position delta of -$80 and theta = +$71. The delta of the short $640 calls = 18. Both the theta/delta ratio having dropped below 1:1 and the short delta of 18 are dictating an adjustment. If the market continues higher tomorrow, I will be looking to buy at least one Nov $640 call.