The markets rallied again today, appearing to confirm at least a short term bottom to the market declines of the past several weeks. SPX closed up $26 at $1204. RUT closed at $719, up $21. The strength and breadth of this rally is strikingly strong; it makes me wary of a retest of the recent lows sometime soon. Trading volume has declined every day since it peaked on August 8th. Today's markets saw 3.4 billion shares of the S&P 500 trade; this is right at the 50 day moving average. Trading volume declined 17% on the NYSE and declined 13% on NASDAQ. There wasn't much economic news today; the Empire Manufacturing Index dropped to -7.7 for August from last month's weak -3.8. But traders appeared to shrug that off today. Another bullish sign today was SPX's ability to break through resistance at $1200 and hold for a close above that level. But will it hold tomorrow? VIX dropped to 32% today, but is still elevated, reminding us of the recent carnage.

My August iron condor on RUT with the 600/610 put spreads and the 750/760 call spreads stands at a P/L of -$1236 and delta = -$89 and theta = +$492. Delta of the $750 call is 7, so I may be able to nurse this trade along a bit before having to close the call spreads. The put spreads are over two standard deviations OTM, so I will allow them to expire worthless. My Sept RUT iron condor consists of the 600/610 put spreads and the 780/790 call spreads. This position stands at a P/L of +$280 and delta = -$52 and theta = +$152. The delta of the $780 call = 15, so I may have to adjust this position soon if this strong rally continues.