The markets opened down a bit this morning and then started trading steadily downward from about 11:30 ET through the rest of the day. Even a weak dollar didn't seem to help. Some analysts attributed this to Alcoa's disappointing earnings report last night, but that just seems like rationalization to me. RUT fell nearly $9 to close at $636 while the SPX closed at $1136, down almost $11. On the positive side, trading volume was below one billion shares on NYSE where the average trading volume last year was about 1.4 billion shares, so this doesn't appear to be a major institutional sell-off.

This move downward positioned all of my condors back close to delta neutral positions. The low probability Jan iron condor on RUT stands at a P/L of +$320 with delta = -$5 and theta = +$158. The high probability Jan iron condor on RUT stands at a P/L of +$2,140 with delta = -$10 and theta = +$315. The call spreads of these condors now stand at 2.5 standard deviations OTM while the put spreads are over four standard deviations OTM. If these spreads remain outside two standard deviations OTM, I will allow them to expire worthless.