It appears the much anticipated Santa Claus rally has not materialized; of course, there were not many traders int he market this week, so anything is possible when everyone comes back after the holiday weekend. SPX closed down $5 at $1258 and RUT closed at $741, down $4. Ironically, after such a volatile year in the markets, the S&P 500 closed today exactly where it closed on 12/31/2010. I often have someone ask me where the Dow closed today or something similar and it usually surprises them when I say, "I don't know". I have never understood the fascination with following 30 stocks to monitor the health of the markets rather than following 500 stocks.

So, after a volatile year filled with riots and wars in the Middle East, a Japanese tsunami and subsequent disaster, a downgrade of US debt, and a year long fascination with the European debt crisis, we end up exactly where we started. If your portfolios ended the year in positive territory, no matter how small the gains, you beat the market - and not many professionals can claim that this year. The average hedge fund lost over 10% in 2011.

There was virtually no economic news today and the trading volume remained low with 1.6 billion shares of the S&P 500 trading. Volume was up 2% on both the NYSE and NASDAQ.

My Jan iron condor on RUT stands at a net gain of $1,300 with delta = -$90 and theta = +$242, so the theta/delta ratio remains healthy. The long weekend of time decay will help this position significantly, so I will be looking for an opportunity to take my profits next week. The Feb condor stands at a P/L of +$680 with delta = -$18 and theta = +$79. Our theta/delta ratio is even stronger for this position, but we still have 48 days to expiration, so the long weekend won't have as significant of an effect.

I thank all of you for your support and confidence this year. I appreciate your business, but I think of many of you as much more than business partners. I wish all of you and your families a happy and prosperous new year in 2012. Enjoy your long weekend.