The bulls just can't seem to make their case. They had a couple of opportunities this week, but the runs to the upside fizzled out each time. This morning, the markets opened up in the black and traded upward, but it didn't last. SPX traded as high as $1231 before falling back and closing at $1220, up $4. RUT followed suit, running to $731 and then closing at $722, up $6. This was quadruple witching week, with expiration of the index options, index futures, stock options, and single stock options. Consequently, trading volume spiked with 4.1 billion shares of the S&P 500 changing hands. This is the first time in December that trading volume on SPX has broken the 50 day moving average; it only broke the 50 dma three times in November. Trading on the NYSE was up 48% and volume jumped 44% on NASDAQ.

Economic data was in short supply today. the CPI rose 0.2% in November and Fitch downgraded several large European and international banks, including BAC and GS. They also warned of possible downgrades for several European countries.

RUT settled at $721.85 and SPX settled at $1225.05. Thus, the remaining 560/570 put spreads in my December iron condor expired worthless, confirming a gain of $2,000 on 20 contracts or 12% on the capital at risk. That brings the 2011 track record for the Flying With The Condor™ to +39%. The Jan SPX iron condor stands at a net gain of $2,100 with the 970/980 put spreads remaining open. I will probably close them next week and make room for a new condor for the January expiration month.

I have kept a spreadsheet of the Thursday closing prices and the settlement prices for SPX and RUT for the past five years. That data is the basis of my Two Sigma Rule for closing positions before expiration week. The average difference between Thursday's close and the settlement price on Friday for SPX is $8.40 and $6.02 for RUT for the eleven months of 2011. That works out to approximately one half of a standard deviation for the overnight move, on average. But averages can have some outliers hiding in the data; thus, the Two Sigma Rule on the Friday before expiration week is a safe guideline.

Enjoy your weekend.