As mentioned in my blog yesterday, some analysts see $1125 as the top of the trading range for SPX. It certainly behaved that way today; SPX ran as high as $1127 before being pulled back by the bears to close essentially unchanged at $1121. RUT also pulled back a bit after running higher during the day. RUT closed at $649, down $3. Trading volume was essentially flat with 3.3 billion shares of the S&P 500 stocks traded; trading volume on the NYSE was flat and was up 6% on NASDAQ. A better than expected retail sales report encouraged traders before the open this morning. But profit taking started as soon as the market opened - too many up days recently and a lot of nervous traders remain concerned about the anemic economic recovery.

I am allowing my Sept RUT 530/540 put and 740/750 call iron condor to expire worthless and I think it is safe to log this one in as a $2,590 gain or a 15% gain on the capital at risk (20 contracts). The Oct RUT 540/550 put and 690/700 call iron condor stands at a P/L of -$40 with position delta = -$65 and theta = +$109. I have one Nov $690 call on as a hedge (my Oct $690 calls are at a delta of 18). For now, the Oct position is in good shape.