Trading today was largely choppy and sideways, with few news events or other catalysts to move the market one way or the other. The indexes opened the day modestly higher, then traded sideways until about 2:30 pm ET, when stocks broadly sold off. But the indexes had recovered much of those losses by the close of trading. RUT closed essentially unchanged at $604 while the SPX closed down about $3 at $1103.

My RUT Dec iron condor stands at a P/L of +$990, delta = -$120 and theta = +$230 and the Jan condor stands at a P/L of +$340, delta = -$61 and theta = +$98. The call spreads in both condors are about one standard deviation OTM.

Many options educators will tell you that the market makers take all of the time value for the weekend out of option prices early in the afternoon on Fridays. Thus, it would pay you to close your OTM spreads Friday afternoon rather than wait until Monday, thinking you might gain from additional time value decay. I wanted to test this idea with the following RUT put spreads, currently held in several of my accounts: 500/510, 540/550, and 550/560. About 20 minutes before the close Friday, I checked the closing prices for these spreads and then compared those prices this morning after about 30 minutes of trading. RUT was up about $5 this morning, so I adjusted my put spread prices based on their deltas. What I found was I could close all of my put spreads at better prices this morning and only a small portion of that improvement was due to RUT's increase in price. My 500/510 puts could be closed this morning for $0.15, an improvement of $0.05 over Friday, for options with zero delta. My 540/550 puts could be closed this morning for $0.45, an improvement of $0.15 over Friday. Delta only accounts for $0.04 of this change. My 550/560 puts could be closed for $0.55, a $0.30 improvement over Friday, and only $0.10 of this improvement could be attributed to RUT's price change.

Based on this limited data, I conclude that some of the weekend's time decay may be priced into the options on Friday, but certainly not all of the time decay was accounted for in these RUT options this weekend. In every case, I would have been better off to have closed my put spreads this morning. So RUT market makers may begin to adjust for time decay to some degree on Friday, but clearly not all of the weekend's time decay was pulled out of these RUT options early this particular weekend.