Today the markets dropped significantly with the RUT dropping nearly $20 to close at $492.81. Our July condors at 460/470 and 560/570 (See June 12 for details) now have a position delta = $91. Since theta = $105, this is getting a little out of our sweet spot. I will be looking to close the call spreads early tomorrow and will then watch the put spreads closely for an exit opportunity. When you close one side of a condor, you are now exposed if the market continues to move against you, so be very cautious. At today's close, I could still close the puts for less than double the intiial credit, so it isn't out of hand yet.

The iron butterfly we initiated Friday is in an excellent position; the position delta moved from a negative 55 to a positive 21, so we are now even more delta neutral than on Friday. Our theta here is over $105, so this is a much better theta/delta ratio. We will continue to hold this position.

If the S&P futures are looking strong tomorrow morning, I will look to close my call spreads on the condor and possibly even the butterfly in the first few minutes of the market.