Today's markets opened weak and traded down pretty severely until late morning; the rest of the day was choppy but generally up. A negative note was a sell-off in the last half hour. This often shows pessimism on the part of traders not wanting to hold much of a position overnight. As always in this situation, everyone has their explanation; often it is simply rationalization after the fact - it makes us humans think we are in control. Anyway, the increase in unemployment claims this morning certainly didn't help the dour mood; and the market is still concerned about Bernanke's reappointment. That is simply a case of "the devil you know". The street hates uncertainty. The S&P 500 dropped almost $13 to close at $1085. That is significant because that was the support level held during much of November and December. RUT lost over $10 to close at $608. Again, during most of November and December, RUT hovered in the $605 - $610 range.

My positions were sitting on the edge going into today's market so I wasted no time making some adjustments this morning. That was fortunate because it just got uglier. I closed the 20 contracts of the Feb 690/700 calls for $0.10 and opened 20 contracts of the 640/650 calls for $1.21. That balanced out the Feb iron condor nicely; now both spreads are approximately one standard deviation OTM with a net gain of +$1,160, delta =-$82 and theta = +$198. I modeled buying one or two Mar $570 puts but it killed my theta too much; rolling down the calls worked much better. I have boosted my theta sufficiently that I can buy a long hedge put later if necessary.

I made a similar adjustment to my March RUT iron condor; I closed ten contracts of the 690/700 calls for $0.38 and rolled down to 670/680 for $0.80. That brought the position to a net gain of $540, delta = +$10 and theta = +$72. So now we go back to the game of guessing how much of a correction is enough. But remember; that's a side game for amusement. Playing delta neutral positions relieves you from predicting - you just play what the market gives you.