Disappointing news from Europe sent the futures into negative territory this morning. Then the initial unemployment claims data came in with a decline of twelve thousand but the market was expecting a larger decline. Continuing unemployment claims declined 48k to 4.489 million. On the positive side of the news, existing home sales for August increased 7.6%. The net result was a weak start to the markets today with choppy trading around the unchanged line through most of the day, but the sellers started taking profits this afternoon and drove the markets to losses across the board. SPX broke through support at $1131 to close down $9 at $1125. The next well defined support level on the SPX is down at $1040, although it could find support at the 50 dma at $1098. RUT lost $8 to close at $649. All of this trading occurred with lower volume with the NYSE flat and the NASDAQ down 12%. Trading in the S&P 500 stocks declined a bit to 3.3 billion shares.

Today's market retreat allowed me to close the hedges on my Oct RUT 540/550 690/700 iron condor. The delta of the $690 calls is now back to 16. This position now stands at a P/L of -$585 with delta = -$95 and theta = +$188. The theta/delta ratio is pretty good at roughly 2 to 1, but the relatively large delta tells us we are still in some danger from a run upward in RUT. This position still retains the potential to make nearly $2,955 or 17% (on 20 contracts). That is somewhat surprising since the RUT has tormented us by its volatility right at the edge of my adjustment trigger; I have bought and sold Nov hedge options four times in the past four weeks. The rolling up of our put spreads helped cover the cost of those adjustments. So now we return to trying to find some rational cause and effect in this market - good luck! That's the advantage of the delta neutral trader - he has thrown away his crystal ball!