After trading as low as $1136, the S&P 500 rallied late in the day to close with a gain of $8 at $1162. RUT also closed higher at $680, up $6. The European debt problem remained at the center of traders' worries this morning, and news that China may be considering buying a large portion of Italy's bonds rallied the market toward the end of the day. But a rally of this magnitude was surprising. All of the major indexes closed for gains today after seeing severe losses earlier. The SPX touched $1136 at the low of the day, a little below the low of September 6th, and almost exactly the low of August 26th. Many market analysts have been watching for a bounce off of support before triggering any buying - was this it? I don't know; the market remains very skittish, and we have not actually had the worst headlines yet: Greece defaults, etc. This market's weakness has been largely anticipatory of those headlines. The VIX pulled back to 39% today, but that is still pretty elevated. Some analysts believe we still have lower prices in store before we can rally, e.g., breaking the support on SPX at $1120 before trading upward. Trading volume in the S&P 500 was down from Friday at 3.4 billion, below the 50 dma. Trading on the NYSE was down 9% and trading volume on NASDAQ was down 3%.

My two Sept RUT condors remain open; both spreads in both condors are over two standard deviations OTM, so I have left the spreads open thus far. The Oct condor on RUT stands at a P/L of -$2564 with delta = -$46 and theta = +$139. The elevated volatility is pushing the P/L lower; the call spreads are one standard deviation OTM and the put spreads are over two standard deviations OTM.

I will continue to watch the major support levels on SPX for directional clues; until I see a definitive move higher or lower, I will only be trading delta neutral positions. At times like these, the delta neutral trade presents a very attractive alternative. It is nice to be making money without making any predictions about the market.