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Category: Dr. Duke's Blog
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The SPX closed at $1002.63 today, the first time above $1000 since last November. RUT is also in new territory at $565.78, although it broke its November highs Friday. Favorable manufacturing index and construction spending reports this morning resulted in steadily bullish trading throughout the day, pushing all of the indexes to new highs on increased volume.

These persistent new highs are taking their toll on my August positions. My Aug iron butterfly, that I just adjusted on Friday, is already on the ropes, with P/L = -$3,420, delta = -$131, and theta = +$164. My Aug iron condor now stands at P/L = -$1,340, delta = -$104, and theta = +$116. Both positions are near my minimum of 1:1 for the theta/delta ratio. Unless we get some sideways or downward market moves soon, I will be closing both of these positions. But I will most likely be closing both positions for less than a normal month's gains - that is one of my iron clad rules. In fact, I nearly closed these positions today, but the relatively large theta values are keeping me in the trade for another day.