Is the market waiting on Bernanke's speech tomorrow? Or have traders given up hope for another round of quantitative easing? The markets basically have traded sideways this week on lower volume, but today's markets were pretty weak. SPX lost $11 to close at $1399 while RUT dropped $9 to close at $809. Today's close on SPX was close to the lows last Thursday and Friday. Trading volume has continued weakly with 1.7 billion shares of the S&P 500 trading. Trading volume was flat on the NYSE and down 4% on NASDAQ. VIX increased another percentage point today to close at 17.8% - perhaps a little anxiety in front of Bernanke's speech at Jackson Hole?

The big question is the market's reaction to Bernanke's speech. If he maintains his posture of saying the Fed will intervene when and if they think it necessary, will the market tank? Or is that baked into the prices at this point? It would surprise me if Bernanke changes his posture, but who knows? He is receiving a lot of political pressure to intervene. I think those politicians are looking for someone else to blame for their own failure to lead.

The jobless claims data appear to be roughly flat - so that's good news to a degree. But I looked at a long term plot of jobless claims with a 4 week moving average and was a bit shocked. If you draw the typical trend lines as you would on a stock's price chart, you will see that jobless claims have been trending sideways without improvement since late December of 2011 - that just blows my mind. I somehow had lulled myself into thinking we were slowly recovering; that may be the view through the rose colored glasses. It is worse than I thought.

Both my Sept and Oct iron condors on RUT stand roughly at break-even at this point. The Sept condor has a position delta of -$88 and theta = +$124 while Oct has a delta of -$18 and theta = +$82. I am looking forward to the three day weekend - all of us delta neutral traders love to listen to the time of our positions decaying away over long weekends.