Bernanke's assurance that the economy is beginning to recover and a better than expected Existing Home Sales report was all it took to bring the buyers to the table today. RUT closed at $581.51 and SPX closed at $1026.13, both indexes now at levels not seen since October of 2008. August settlement for the Russell 2000 index was $576.88, about $8 higher than Thursday's close. I have been keeping a spreadsheet for the past several years of the Thursday closing prices and Friday morning settlement prices for RUT and SPX. The average absolute change for RUT in 2009 has been almost $5 ($11 in 2008). For SPX the respective values are $9 in 2009 and $15 in 2008. That is why it is wise to close positions before settlement if there is any doubt about the index gapping up or down enough to hit your short strike - hence, my two standard deviation rule.

My condors are already starting to feel the heat from the bullish market this week. The Sept position stands at a P/L of ($770), delta = -$140, and theta = +$185, while Oct stands at a P/L of ($630), delta = -$43, and theta = +$53. The short call strikes have deltas of 17. These positions will require adjustment next week if this move upward continues.