The sellers returned to the markets this morning and spurned the good news of lower initial unemployment claims and lower continuing unemployment claims. However, the decline in existing home sales took the market by surprise and that may have accelerated profit taking. RUT dropped about $12 to $602 and the SPX dropped about $10 to $1050; both indexes are well above their nearest support levels, so I think the bullish bias to this market continues. All of the major indexes traded down all morning, but then strengthened a bit in the last hour of trading.

I established the call spreads for my Nov iron condor this morning as the market was dropping, selling 20 contracts of the Nov 680/690 calls for $0.86. I then watched to see if the buyers would come back into the market, and when that happened late in the day, I sold 20 contracts of the 500/510 puts for $0.87. The range for plus or minus one standard deviation was $538 to $664. My resulting position is somewhat bearish with a delta = -$21 and +$75 in theta. IV is skewed with a value of about 39% for my 500/510 puts versus about 24% for the 680/690 calls. If I had placed my put spreads closer to one standard deviation OTM, my short puts would have been starting out with pretty high deltas around 15-16, meaning I would be adjusting the position with only a small move downward in RUT tomorrow. Thus, I ended up with a bearish leaning condor even though I ideally wanted it to be delta neutral.

In the meantime, this downward move of the past couple of days has positioned my Oct condor nearly delta neutral at +$15 with a large positive theta of $106. However, this position is still well underwater at about -$1,200 because our adjustments have reduced our profit potential and we need a lot of time decay to get us into the black.