Trading volume dropped dramatically from yesterday; it almost seemed as though traders had positioned themselves for the unemployment report and the actual announcement was a non-event. Trading volumes were down significantly across the board. Trading on the NYSE dropped 32% while trading on NASDAQ dropped 39%. The S&P 500 stocks traded 3.2 billion shares, down significantly from yesterday's 5.5 billion shares.

Nonfarm payrolls dropped 125k but much of that was expected due to census workers being released. The unemployment rate dropped from 9.7% to 9.5% and factory orders dropped 1.4% in May. So the news wasn't terrible, but it wasn't very reassuring either. The market traded up at first but then began a slow decline through most of the day. The major indexes tried to recover the day's losses in the last hour of trading, but still ended in a loss. RUT lost $6 to close at $599 while the SPX closed at $1023 for a loss of $5.

My Aug iron condor on RUT at 550/560 and 730/740 stands at a P/L of +$280, delta = -$27 and theta = -$48. The delta of my $560 puts is at 29, so I can't release the Sept put hedge. A combination of the two Sept puts and the fact that I closed half of my put spreads has resulted in my theta going negative. This situation can't be allowed to continue long. If the market doesn't bounce back upward next week, I will be closing the rest of the put spreads and rolling them downward. That will restore our positive theta. Yesterday's and today's market action appear consistent with creating a bottom, but the low volume forces us to defer our conclusion. So remain vigilant.

Enjoy the holiday.