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The markets opened trading largely sideways today, but the mood darkened around noon and the major indexes all closed down for the day. Perhaps more significantly, trading volume increased today; this may signal some institutional profit taking. SPX closed down $7 at $1343 and RUT lost $7 to close at $814. Trading in the S&P 500 jumped up to 3.1 billion shares; trading also increased on the NYSE, up 9%. Trading volume declined 4% on NASDAQ. VIX jumped up 1.6 points to 21.1%.
The Empire Manufacturing Survey came in at 19.5 for February, up markedly from January's 13.5. Industrial production was flat for January and capacity utilization was also nearly unchanged at 78.5%.
My Feb iron condor spread on RUT stands at a P/L of +$2,000 with delta = +$35 and theta = +$345. The call spreads and the put spreads are both about 2.5 standard deviations OTM. My Mar condor stands at a P/L of -$1,060 with delta = -$70 and theta = +$164.
Many analysts have been predicting a slight correction in this market since early February; perhaps we are seeing the beginnings of that correction?
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The markets spent the day underwater, but a strong rally in the last 30 minutes of the trading session repaired almost all of the damage. SPX closed down one dollar at $1351 and RUT closed at $821, down $4. Trading volume bumped up to the 50 dma in the S&P 500 stocks with 2.9 billion shares. Trading on the NYSE increased 9% and spurted up 32% on NASDAQ. Retail sales increased 0.4% in January, but concern about the precarious situation in Greece appeared to weigh on the markets. Notice how SPX once again seemed unable to penetrate that $1350-$1355 area. Breaking through and holding above that level will be a strong bullish signal.
My Feb RUT iron condor spread at 770/780 and 850/860 stands at a P/L of +$1,940 with delta = -$1 and theta = +$304. The Mar position at 730/740 and 860/870 stands at a P/L of -$1,260 with delta = -$92 and theta = +$155. The Mar position is sitting right at the tipping point to require adjustment. We'll see if the bulls reassert themselves tomorrow - that last half hour today looked pretty strong...
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European finance ministers rejected Greece's austerity plans today, making it more likely that Greece will default on their bonds. The markets took it badly. SPX lost $9 to close at $1343 and RUT closed at $813, down $12. But this wasn't the panic selling one might have expected; trading volume actually dropped from yesterday with 2.7 billion shares of the S&P 500 trading. Trading volume dropped 2% on the NYSE and dropped 18% on NASDAQ. VIX spiked upward two points to close at 20.8%.
The University of Michigan consumer sentiment survey reported 72.5 for February, down a bit from January's 75.0.
My Feb RUT condor stands at a P/L of +$460 with delta = +$15 and theta = +$354. My Mar RUT position stands at -$1,460 with delta = -$64 and theta = +$138. I removed the call hedges from the March position today. The Feb condor is nearly perfectly delta neutral and theta is building rapidly.
Enjoy your weekend. It looks like I will be shoveling snow this weekend in Chicago.
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We ended last week worried about Greece; on Monday, all of those pesky problems have been solved. Of course, I am being sarcastic. The volatility of these markets over the past few years has been extremely challenging for traders. The markets jumped at the opening today and stayed pretty steady throughout the session. But SPX appears to be finding it tough to hold much above $1350. Today it closed at $1352, up $9. RUT ran up $11 to close at $825. Trading volume dropped off today with 2.5 billion shares of the S&P 500 trading; trading volume dropped 8% on the NYSE and dropped 10% on NASDAQ.
No significant economic reports were issued today.
My Feb iron condor on RUT stands at a P/L of +$1,500 with delta = -$46 and theta = +$477. The Mar position is underwater by $1,760 with delta = -$95 and theta = +$148. Now we wait to see what tomorrow brings - let's see: markets down Friday, and up Monday; tomorrow must be a down day.
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The markets surprised many of us with a very strong performance in January. Then we expected it to pull back in early February, but it didn't. We thought SPX couldn't break through $1330, but it did. Now, for the past several sessions, the markets open weak and trade lower. But in every case, the bulls trade it back up and close the day roughly even or for a slight increase. The bears just cannot generate any lasting case for their position. Many technical indicators support the "overbought" case, but the market just grinds higher. In the meantime, the Greek drama continues to unfold. But it appears that the stranglehold that the European debt crisis once held on the markets is loosening and may be gone altogether. If Greece defaults, it will be an interesting test of that theory. SPX gained $2 to close at $1352 and RUT closed down $3 at $825. Trading volume is holding steady with 3.1 billion shares of the S&P 500 (the 50 dma is at 2.9B). Trading volume on the NYSE was down 1% and trading volume was up 9% on NASDAQ.
The VIX closed up a bit for the second day in succession while the market was making modest gains. This may be an aberration, but it is worth watching. VIX closed at $18.6%, up about half of a point. Initial unemployment claims decreased to 358k from last week's 373k and continuing unemployment claims stand at 3.5 million.
My Feb RUT iron condor position stands at a P/L of +$140 with position delta = -$93 and theta = +$377 (20 contracts). This position is squeezed a little tightly on the call spread side, but time is now working in our favor. The Mar position is $1,800 underwater with delta = -$21 and theta = +$85. Both positions have strong theta/delta ratios.
