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The markets opened up weak this morning and spent most of the day slowly making up ground, ending the day essentially unchanged. The Nov Consumer Confidence Index came in greater than expected and was higher than October as well, but that didn't have much effect on the market. The release of the FOMC minutes from the last meeting did not generate much response either. In general, the market seemed to be on vacation in advance of the holiday. RUT closed down $2 at $593 while the SPX was essentially unchanged at $1106.
I initiated my Jan iron condor today by selling 20 contracts of RUT call spreads at $650/$660 for $1.07 and selling 20 contracts of RUT put spreads at $510/$520 for $1.10. Plus and minus one standard deviation was $532 to $646 and I gave myself a little more safety margin on the bottom side. We brought in a total credit of $4,340 and have $15,660 at risk. I placed my contingency stop loss order to trigger at values of RUT < $543. At the close of trading today, this position stood at a P/L of -$160, delta = -$33 and theta = +$79. My Dec RUT iron condor stands at a P/L of +$530, delta = -$79 and theta = +$123. In some ways, this type of slow choppy market is boring, but it is wonderful for income generation options traders.
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The S&P futures signaled a strong open early this morning, based on a weaker dollar and bullish trading in the Asian and European markets. Stocks broadly rose at the open and the strong start was further fueled by a surprisingly strong existing home sales report; Oct sales jumped 10.1% to 6.1 million sales (5.7 million were expected). But shortly after that report, the market softened and traded slowly downward the rest of the day, but strong gains were retained. RUT closed at $595, up over $10 and the SPX closed up almost $15 at $1106.
My Dec iron condor on RUT now stands at a P/L of -$110, delta = -$85 and theta = +$139. The theta/delta ratio is weakening, now below 2:1. My short $630 calls are standing at a delta of 16, well below where I would pull the trigger on an adjustment. In addition, there are many technical signs that this market is overbought, plus trading during this holiday week isn't likely to move strongly in either direction. So I am not inclined to worry about this position at this point. Market trading volume was below average today and will likely diminish as the week progresses. I will be looking to establish my January iron condor tomorrow to take advantage of the holiday.
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Weakness in the Asian and European markets together with a stronger dollar started the market off in the hole this morning. It hit its lows around 11 am ET and slowly regained some of the losses through the balance of the trading session. Buyers appeared for the last two hours of trading and this can be interpreted as reasonably bullish. No major economic reports are scheduled for tomorrow, so it will be interesting to see if this down market has follow through or if it recovers at least some of the losses. RUT was hard hit, losing over $14 to close at $586, while the SPX broke through $1100 to close at $1094, but the SPX traded as low as $1088 intraday. RUT is right at its support level of about $585, so it could go either way tomorrow.
I closed my three Jan $630 calls for $8.40, a loss of $1,530. The volatility of this market and my adjustments back and forth are costing me much of the potential profit on this Dec iron condor; the maximum profit is now down to $2,950. The P/L for the position stands at -$550, position delta = -$63 and position theta = +$131. Our theta/delta ratio is acceptable and we have some room for the RUT to drop a little further, so we'll see what the market gives us tomorrow.
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A strong dollar and a disappointing earnings report from Dell started trading this morning on a negative note that continued through mid-day. The buyers began to pull the indexes back up during the last two hours of trading, but didn't fully recover all of the losses. RUT closed almost unchanged at $585, down about a dollar, while the SPX closed down $4 at $1091. Traders continue to worry about a significant correction, but the appearance of buyers during the last couple of hours of trading both yesterday and today is encouraging. However, this market is definitely nervous - be sure your protective contingency orders are in place.
The $680/$690 calls from my Nov iron condor on RUT expired OTM today, confirming our $2,060 gain (13%) for November. My Dec RUT iron condor is in pretty good shape with a P/L of -$50, delta of -$60 and theta of +$125. January options have 55 days to expiration, so we will begin to look for the opportunity to initiate our Jan iron condor next week.
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The futures were flat early this morning but then a couple of key economic reports changed the mood. The consumer price index increased 0.3% (higher than expected and higher than Sept) and both new housing starts and new building permits were down for Oct, again lower than Sept. This took the futures into negative territory and the market opened lower. The dollar approached its lows of Monday, but unlike recent sessions, the stock market did not rally in response. The markets traded sideways to slightly lower all day. RUT closed down about $2 at $600 while the SPX was virtually unchanged at $1110. Both yesterday and today, the bears made runs at breaking the $1100 support level on the S&P 500, but both attempts failed and support held.
My Dec iron condor remains essentially unchanged with its P/L at -$760, delta = -$14 and theta = +$66. The delta of my short $630 calls remains around 24 so I am firmly "on hold" - I need the protection of the Jan $630 calls, so I can't sell them, but it is too early to close or roll the 630/640 calls. So we wait for the market to make its move.
