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Do you know any trading coaches who publish the results of their trades daily? Dr. Duke posts the trading track records of his Flying With The Condor™, Conservative Income, Dr. Duke's Trading Group, and The No Hype Zone Newsletter services in the free downloads section of this web site. If you have questions about any of the trades, Ask Dr. Duke.

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The markets were buoyed by the FOMC announcement this afternoon. The Fed reiterated its observations that economic activity has improved, but, perhaps more importantly, said they intend to leave the fed funds rate at very low levels for some extended period of time to stimulate the economy. That boosted the markets. But it didn't last long before profit taking ensued. However, look at the charts. Both RUT and SPX simply closed down at the bottom of the consolidating range of the past few sessions. Therefore, there is no sign of a correction or change in trend direction here as yet.

This sideways and now slightly downward trading has been helpful for my Oct iron condor. The delta of my short $660 calls had dropped back to 14 this morning (closed at 12), so I sold my Nov $640 call for $16.10 ($450 gain). The position now stands at a P/L of -$1,385, delta = -$40 and theta = +$115. Our theta/delta ratio is back to a healthy neighborhood, but our wounded condor only has a maximum profit potential of $745 at this point. He's limping with 22 days to go. But trading the iron condor successfully is all about salvage operations - if you can salvage a small gain or even a small loss in the "bad" months, and take the gains in the "good" months, you can trade this strategy profitably. The key is learning to consistently manage the risk.

Today's market traded generally sideways to slightly higher. All of the broad indexes closed modestly higher, but off of their intraday highs. The pattern continues to look like a classic consolidation or base formation after a strong run upward. What should be encouraging to the bulls is the fact that whenever the market has shown any weakness intraday for the past several sessions, the buyers have returned to the table and held the broad market averages near their highs for the year. RUT closed at $621 while SPX closed at $1072.

I find it ironic (and a bit frustrating) that I have positioned my condors with extra safety margin to the downside for the past several months (negative delta), but my threats have come from the top side! I think I will position Nov with a delta neutral posture - the charts and technical indicators are pretty consistently bullish, but my emotions still worry about the other shoe dropping on the economy.

I closed the remaining eight $640/$650 call spreads this morning in my Oct iron condor. I paid $2.70 to close them and waited until the market ran up a bit this afternoon before rolling those eight contracts up to $660/$670 for $1.25. I still have the Nov $640 call hedging my top side. My short $660 calls have a delta of 16, so I still need that hedge. I considered adding one more long call today, but it would have reduced my position theta too much. At the close, the Oct condor stood at a P/L of -$1,685, position delta of -$16, and position theta = +$96.

The markets were generally under selling pressure most of the day with few exceptions in the biotechnology area. This isn't too surprising given the strength of the upward moves over the past couple of weeks. RUT closed at $616 and SPX closed at $1065, both a long ways from their nearest support levels. That suggests to me that the basic bullish character of the market has not changed; it is just pausing and consolidating a bit.

My Oct iron condor is basically unchanged at a P/L of -$1,285, delta = -$25 and theta = +$99. I'm just sitting on the fence here; if the RUT trades upward, I'll close the remaining 640/650 calls and sell my long Nov 640 call. If it trades sideways or downward, the position will strengthen and I will sell the Nov call when it starts to lose money. It may be a little boring, but most of the time is spent waiting on time decay when you trade income generation strategies. The trick is to watch it closely so that you adjust promptly when needed, but don't get impatient and trade just out of boredom.

Today's S&P quarterly rebalancing and quadruple witching options expiration stimulated a high volume trading day (over 2 billion shares traded on the NYSE) but the markets didn't really do much - mostly choppy, sideways trading. The Russell 2000 Index settled at $617.54 and closed today at $617.88. That translated to very little change for my Oct iron condor with a net P/L of -$1,631, position delta of -$25 and position theta of +$83. My Nov $630 call is hedging my remaining seven Oct 640/650 call spreads. If the RUT trades higher, I'll close or roll the remaining 640/650 calls; sideways or downward action may allow me to minimize the damage. Next week, I will start to look at establishing some November positions. A side note: RUT's implied volatility has been steadily declining since mid-June (as any of you who have been trading calendar spreads are painfully aware); it is now down to 27%, a 52 week low. That translates to my either having to accept smaller credits for my iron condors or making it necessary to choose strikes that are closer to the index price. Of course, if you position your strikes based on a standard deviation calculation, that includes that adjustment. But declining IV helps my wounded Oct iron condor.

Many market observers have been waiting for a pullback (me included) and even though the markets slowed a bit today, it wasn't much of a pullback. RUT closed down about $2 at $615.47, not much of a net change. SPX closed down about $3 at $1065.49. Pulling back to a support level in either index would require much larger price drops. If you look at the RUT chart over the past year, the nearest support level is around $585 to $590 (I don't believe in citing overly precise support and resistance levels as some do; the reality has a bit more "fuzziness" associated with it). Actually, after my mistake in not closing my Sept $620 calls earlier this week, I expected the RUT to drop a lot today - that had a certain perverse logic.

My October iron condor position remained unchanged today at a P/L of -$1,724, delta = -$20, and theta = +$83. My theta/delta ratio is strong. I still have 8 contracts of the $640/$650 calls that are in trouble, but the one long Nov $640 call is hedging that position well. My rolled $660 calls are in the "red zone" at a delta of 16, whereas my rolled short puts at $550 are fairly comfortable at a delta of 11. Further strong moves upward will force me to close the $640/$650 calls at a minimum and look for a reasonable credit at $680/$690, but we may be getting too close to expiration for that (rolling to the current $660/$670 may be too dangerous).

This market continues to amaze me. Nearly any technical indicator you may follow would suggest this market is severely overbought, but it just keeps making new highs. My trading today illustrates a common rookie mistake (to my embarrassment). I have been preoccupied with cleaning up the mess from the hackers' attack on my web site for the past few days. I should have closed the 620/630 call spreads in my Sept iron condor Monday or Tuesday, but I closed them first thing this morning, and gave back a lot of profit. The lesson here is to stay focused; I had become complacent, thinking my Sept condors were "in the bag" and then was distracted. Iron condors are dangerous animals and need to be treated with respect.

I closed 30 contracts of the Sept $620/$630 call spreads in the first hour of trading this morning for $0.72. I will allow my 10 contracts of $500/$510 puts and 20 contracts of $480/$490 put spreads to expire worthless. That will result in a net gain of $1,630 or 6.4% on capital at risk. I spent $340 on the put hedge early in the trade and $570 on the call hedge later in the trade; those are the "insurance" premiums. But the failure to close the call spreads earlier cost me at least $1,000.

I decided significant adjustments were in order for my Oct iron condors today. You may recall I have 15 contracts of the $460/$470 puts and 15 contracts of the $640/$650 calls with one Nov $640 call as up side hedge. Today I closed 7 of the $640/$650 call spreads for $2.50 (a loss of $1,120) and rolled them to $660/$670 for $1.05; I also closed all 15 of the $460/$470 puts for $0.20 (a gain of $750) and rolled them to $540/$550 for $0.70. I left the Nov $640 call as protection for the upside. This leaves my Oct position with a maximum potential gain of $2,385, delta = -$27 and theta = +$76. These are tough markets for delta neutral traders. You must stay on your toes and adjust promptly to remain in the game.

The markets began the day somewhat weak, but then seemed to slowly but steadily strengthen as the day went on. Traders took some confidence from the increases in the August PPI numbers - higher prices normally suggest more demand for goods. RUT closed at $605 and the SPX closed at $1053. Seven of the last eight trading sessions have been positive gainers - a rather impressive record.

My September iron condors are being squeezed on the topside; I am looking for the right opportunity to close the $620/$630 call spreads. The position stands at +$2,050, delta = -$244 and theta = +$1,418. That large delta reflects how close the index is to our short call strikes - truly alarming if we weren't so close to expiration. I added a Nov $640 call to my Oct iron condors today for $1,160. They now stand at a net loss of -$465, delta = -$53 and theta = +62. If the markets continue upward, I will add one more long Nov call.

As some of you know, my web site was hit by hackers last week and my blog has been incapacitated until earlier today. We closed the holes and are in the process of moving to a more secure hosting environment. I added one additional feature when bringing the blog back up. You can now click on the Comments link and add your comments or questions to the latest blog entry.

The markets started the day with weakness and traded sideways through much of the day. Then traders began buying and pushed stocks higher, forcing many short positions to cover late in the session, forcing prices even higher. RUT closed at $600, a new high for the year. My Sept iron condors now stand at a net gain of $2,550 with position delta = -$166 and theta = +$680 - huge theta! The delta of the Sept $620 calls is 9, slightly over one standard deviation OTM. Unless the RUT pulls back quite a bit, I will be closing the call spreads sometime before Thursday's close.

My October iron condors are near breakeven at -$95 for the overall position and position delta of -$80 and theta = +$71. The delta of the short $640 calls = 18. Both the theta/delta ratio having dropped below 1:1 and the short delta of 18 are dictating an adjustment. If the market continues higher tomorrow, I will be looking to buy at least one Nov $640 call.

The markets started the day on a positive note and the RUT and SPX traded up to their recent resistance levels, but then retreated after the Fed's Beige Book was released with virtually no positive news on the economy. But then the bulls tossed the Beige Book aside and drove the market into the bell with the RUT closing up over $10 to $586.40 and SPX closing at $1033.37. This leaves both indexes right at their resistance levels; it will be interesting to see if the bulls can drive through to higher highs.

My Sept iron condor (20 contracts of the 480/490 puts, 10 contracts of the 500/510 puts, and 30 contracts of the 620/630 calls) stands at a P/L of +$2,780, delta =-$76, and theta = +$240; theta is really gaining as we roll down to the last week of these options. The Oct iron condor (15 contracts of the 460/470 puts and 15 contracts of the 640/650 calls) has a P/L of +$400, delta =-$45, and theta = +$65. The Oct $640 calls stand right at one standard deviation OTM with a delta of 12. I will adjust this condor if the delta of this short call exceeds 17-18.

The markets continue to have a bias to the upside, although the pace has moderated significantly. The Russell 2000 Index (RUT) closed up at $576.38, nearing its resistance level of $580-$589, set the last week of August. The Standard and Poors 500 (SPX) closed at $1025.39, near its resistance level of $1035-$1039.

My Sept iron condors are in excellent shape as we wind down toward September expiration with P/L = +$3,210, delta = -$37, and theta = +$137. The Oct condors are much farther from expiration, but are in good shape with a P/L = +$625, delta = -$29, and theta = +$61.

I tried an experiment this holiday weekend. I recorded the closing prices for all of the options in my September and October condors on Friday and then adjusted for the RUT price change (delta) and IV change (vega) this morning and compared those adjusted prices to the market prices. If the market makers had completely adjusted their prices Friday for the three days of time decay, one would expect my adjusted prices to be high since I had not accounted for any time decay. As it turns out, it is about half and half (based on one rough set of data); it appears that most of the time decay was already taken out of about half of these options, but not all of the decay was accounted for in about half of the options. So the lesson is this: if you are establishing any positive theta positions before a long holiday weekend, put them on early Friday at the latest; Thursday is probably better. By Friday afternoon, much, but probably not all, of the time decay has already been factored in the option price.