The unemployment claims numbers boosted the markets this morning, but sellers came in in the afternoon and took back most of the gains. RUT ran as high as $642 but retreated to close unchanged at $635. SPX fared better, blowing through resistance at $1100 and closing at $1104, up $5 for the day. Initial unemployment claims came in at 451k, down from last week's 478k; this was a better improvement than expected by analysts. However, the continuing unemployment claims came in flat at 4.48 million and analysts expected a modest decrease. But today was another low volume trading day with a 2% decrease on the NYSE and a 16% decrease on NASDAQ. The S&P 500 traded flat at 3 billion shares, well below the 50 dma.

My Sept RUT iron condor at 530/540 and 740/750 stands at a P/L of +$2,450 with delta = +$8 and theta = +$54. Both spreads are greater than three standard deviations OTM with one week to go. The Oct RUT iron condor spread at 540/550 and 690/700 stands at a P/L of -$300 with delta = -$42 and theta = +$129. The delta of the 690 call is back to 13, so the sideways action of the past few days has been helpful. The Sept iron condor has been a relatively calm trade; only one hedge adjustment was made during its life and that was established one day and taken off the next. I looked back at my trading record for this blog this afternoon. Assuming the Sept trade expires worthless or I close it tomorrow, my total gain is now over 24%. But I have taken 4 losses out of 16 months of trading. So the win ratio is about 75%, close to what the probability calculations would have predicted. Most significantly, only two trades out of 16 had no adjustments. This record reinforces what I teach my students: you cannot trade the iron condor profitably without a robust system of risk management. The trader who sees the advertisement of the high probabilities associated with the iron condor will be eaten alive if he doesn't know how to adjust this trade.