The markets traded down this morning after reading Bernanke's prepared remarks for Congress, but then rebounded and held some of the gains into the close. SPX closed up over $10 at $1105 while the RUT closed at $630, up about $5. Both indexes are still trading within the narrow ranges of support and resistance we have discussed earlier, especially the well defined range for the S&P 500 from $1100 to $1116.

I decided to establish my April iron condor on RUT today. I sold twenty contracts of the 680/690 calls for $1.10 and twenty contracts of the 550/560 puts for $0.85. At the close, this position stands at a P/L of -$80, delta = -$43 and theta = +$78. Both short options are at a delta of 13. Our Mar RUT condor now stands at -$1,720, delta = -$68, and theta = +$161. The 660/670 calls are about one standard deviation OTM and the 570/580 puts are about one and a half standard deviations OTM. The weather is perfect for condors, just muddling along.