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The market traded in positive territory most of the day but sold off in the last two hours. It appears to be a classic case of bouncing off of resistance, i.e., the highs for the year set a few weeks ago. RUT closed at $614 while SPX edged out a small gain to hold $1076. The high for the year in SPX was $1080 and today's intraday high before the sell-off was $1079. So the market will be looking for news or economic data of sufficient strength to push it through those levels. We are in the midst of earnings reports, so one or more of those may spark some enthusiasm, but I doubt it. The FOMC minutes will be released Wednesday and may spark a move. We may just wander sideways for a while.
My Oct condor is still within my two standard deviation rule, so I am continuing to hold those positions; the P/L stands at $460, delta = +$3 and theta = +$224. My Nov condor is also in a good position with P/L = +960, delta = -$26 and theta = +$96.
If you are thinking of entering a RUT Nov iron condor now with 38 days to expiration, I would consider the 680/690 call spreads and the 520/530 put spreads. Both of these positions are well outside of one standard deviation and the deltas of the short strikes are about 9-10. But I would try to get a minimum of $0.70; failing that, I would look at the next set of strikes closer in at 530/540 and 670/680; here the short strike deltas are about 12-13 and you are still outside of the one standard deviation marks at $561 and $667. But remember to set your contingency stop loss orders. Be disciplined.
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The market continued its steady push upward today - nothing dramatic, but steadily upward. The dollar strengthened and the market rallied anyway, unlike recent days but the weaker dollar halted gold's climb upward. RUT closed at $615 and SPX closed at $1071, bumping up against its 2009 high. So it will be interesting to see if the market can push through that resistance level to new highs next week.
Both my Oct and Nov condors are in excellent position. Both short strikes of the Oct condor are greater than one standard deviation OTM, so I left those positions open. The Oct position stands at a P/L of +$520, delta = +$12 and theta = +69, while Nov stands at a P/L of +$1,000, delta = -$17 and theta = +84. So life is good as I just sit on the sidelines and watch the time value decay away.
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The markets traded most of the day in negative territory, but ended the day slightly up. RUT closed at $602 and the SPX closed at $1058. The markets continue on the bullish trend, albeit consolidating to a large degree lately. All in all, this is currently a good market for delta neutral strategies - a welcome relief from the strong trending market of a few weeks ago.
My Oct condor
hasn't changed much from yesterday, but theta is starting to build as we near the final week of the October options' life: P/L = +$130, delta = +$18 and theta = +$135. Both short strikes are outside of two standard deviations at this point. The Friday before expiration is the time when I apply my "close or let go" decision. I will close positions that are under two standard deviations OTM; spreads that are greater than two standard deviations OTM will be allowed to expire worthless (but watched carefully). My Nov condor stands
at a P/L of +$1,020, delta = -$11 and theta = +$76. This condor is positioned well right now, but we still have 43 days for the market to move against us. Stay tuned.
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The markets continued their steady uptick today. Alcoa kicked off a positive session with better than expected earnings. But a weak T-bond auction put the brakes on in afternoon trading. RUT traded as high as $612, but closed at $608, while the SPX traded as high as $1071 but closed at $1065. The 2009 highs set a few weeks ago will serve as the next resistance levels this market must break to remain on this bullish trend: RUT = $625 and SPX = $1080. The dollar continued to trade downward and this pushed commodities to new highs; Gold closed at $1056. The question in my mind is when does a weaker dollar begin to weigh on this stock market?
I decided to take advantage of this market strength and roll my Nov 500/510 put spreads up to 520/530. I closed 20 contracts of the 500/510 puts for $0.55 ($640 profit) and opened 20 contracts of the 520/530 puts for $0.75. That brings my Nov condor to a P/L = +$660, delta = -$17 and theta = +$89. My Oct condor is still plugging along at a P/L of +$400, delta = +$3 and theta = +$94. My Oct 660/670 calls are just outside of two standard deviations OTM. If this market continues trending upward, I may have to close those calls. I will take a hard look at that question tomorrow afternoon.
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Well, there is no doubting that we bounced off support at this point. RUT closed at $602, up almost $11 and the SPX closed at $1055. There was virtually no big economic news today. Some pointed to the Aussies bumping up their central bank's lending rate as an indication that the global economy is rebounding. But the important rule to always keep in mind is: don't try to predict or rationalize. Just trade what the market gives you.
This market is giving my condors exactly what they needed, moving the RUT back very close to equidistant between my spreads. The Oct condor has a P/L of +$160, delta = +$21 and theta = +$91. Each of the short strikes are now over two standard deviations OTM. My Nov condor stands at a P/L of +$470, delta = -$10 and theta = +$79. The Nov short strikes are each over one standard deviation OTM.
