The markets traded sideways until the last hour of the day, when they tacked on some minimal gains once again. The S&P 500 (SPX) closed at $1145, up about $3 and the Russell 2000 Index (RUT) closed up less than $3 at $645. The unemployment report this morning didn't move the market one way or the other; the unemployment rate stayed at 10%, which might have been regarded as good news in a "less bad" sort of way, but over 85,000 non-farm payroll jobs were lost, far more than the 8,000 that were expected. VIX continues to drop, closing today just above 18%. Volatility hasn't been at these levels since the summer of 2008. Since iron condors are classic negative vega positions, this is beneficial for those positions.

This sideways drift for RUT has been helpful for my Jan iron condors that are struggling to move into positive gain territory. My low probability, or short term condors have been handicapped by the adjustments made several weeks ago when the market bumped up. This condor now stands at a P/L of -$480, delta = -$97 and theta = +$160. Normally, I would have closed the 660/670 call spreads today, since they are right at one standard deviation OTM, and my rule is to close spreads on the Friday before expiration when they are within two standard deviations. But I am trying to salvage a small gain out of this trade. The delta of my short 660 calls stands at 17. So I will continue to hold this position into next week to attempt to get closer to a breakeven or the maximum possible gain of $470.

The high probability RUT iron condor has moved into the black, and stands at a P/L of +$540, with a delta of -$195 and theta of +$320. Theta for the overall position of both condors is nearly $500 per day. I am banking on continued subdued market moves to allow this theta to work for me. This is the classic, "do as I say, not as I do" situation. As we move closer to expiration, it makes it easier to take this risk. Stay tuned.