The markets opened up in the red this morning and traded sideways and downward throughout the day. RUT was down as much as $5 at one point in the day, but rose over $4 in the last thirty minutes of trading to close unchanged at $633. SPX traded in a similar pattern, also trading upward strongly in the last thirty minutes to close up less than a dollar at $1126. The Chicago Purchasing Managers Index reported a value of 60 today, the highest level of this index since 2006. Surprisingly, it didn't move the market. While this market appears to have significant buying support that serves to hold it up in the face of selling pressure, there isn't sufficient conviction to really drive the market higher. Trading volume has continued to be at the low levels we saw last week, so we may not get a feel for the true nature of this market until after the New Year.

My low probability iron condor on RUT closed at a P/L of -$1,070, delta = -$39 and theta = +$106. The high probability RUT iron condor stands at a P/L of -$640, delta = -$78 and theta = +$213.  Our combined theta of over $300 will steadily pull us into profitability, assuming the indexes continue to trade sideways or even downward a bit. So on we go to the New Year's celebration.