The markets traded erratically all day but decidedly more negative as the day worn on. The RUT closed down over $7 at $587, right at the support level set in late August; the next support level is at $576, set on Oct. 2. The RUT chart is a classic double top pattern that will signal a reversal of the up trend if RUT breaks $576 with strong volume. SPX closed down about $4 to $1063. The one piece of calming data is that the past several days of losses in the markets have occurred at average to below average trading volumes.

My Nov iron condor on RUT stands at a P/L of +$2,060, delta = +$49 and theta = +$80. The position theta/delta ratio has dipped below 2:1, and the delta of my short $530 put has risen to 12. My put spreads are at breakeven or slightly underwater (although I already banked $500 from rolling the original put spreads upward). I will be closing these put spreads if the RUT deteriorates any further.

I established  my Dec RUT iron condors today with 20 contracts of the $500/$510 puts at a credit of $0.95 and 20 contracts of the $660/$670 calls at a credit of $0.95, for a total position credit of $3,800 on $16,200 at risk. I positioned this condor slightly bearish at a delta of -$15 and theta = +$81. So now we watch to see if the negative trend of the past few sessions levels out or accelerates into a full blown correction.