The EU and the IMF came to an agreement to rescue Greece over the weekend and the European Central Bank and the U.S. Federal Reserve also agreed to play support roles in the bail-out. This news led to a binge of short covering that drove the market up strongly at the open. RUT gapped up at the open and hit $688 within the first half hour of trading, then RUT settled down and traded sideways until the last 30 minutes of trading, when it traded up to close at $690, up $36 on the day. SPX traded similarly, closing up $49 at $1160. Trading volume was down across the board from last week, down 30% on the NYSE and down 35% on the NASDAQ. The S&P 500 stocks traded just under six billion shares, still above the 50 day moving average but down significantly from Friday's levels.

The big question now is whether the Greece bail-out deal is really solid. The EU member countries still have to vote on this package, so we could have some future bad news if one or more EU countries balk - how will the markets respond? Based on last week's trading, one has to be concerned about that possibility.

My May iron condor on RUT is skewed a bit too close to the upside after today's big move with position delta = -$146 and theta = +$428. The advantage we have at this point is the acceleration of time decay as we near expiration. The June iron condor on RUT has moved into the black with a P/L of +$580, delta = +$39 and theta = +$60. Both the 580/590 put spreads and the 790/800 call spreads are well outside of one standard deviation from the current RUT value of $690. The VIX dropped from 41% to 29% today; if volatility continues to come in, the profitability of the June position will increase. I am inclined to think the fundamental attitudes on the trading floors have been changed by last week's wild ride. We should not interpret today's short covering as an indicator of continued bullish trading to the upside.