Condor Options

Indexes were trading at the lows of the day as late as 3:00, but a sustained rally in the last hour made this more of a “pause day”. The big event everyone is watching now is Friday’s non-farm payroll number. We talk a lot about monitoring your Greeks – by late Thursday you should make sure your deltas are in a comfortable spot, or are maybe a little tighter than normal, as any surprise on Friday could be market-moving.

Some interesting reading for tonight: Tim Knight at Slope of Hope explains why it’s tough to be a bear right now, and why the charts may still warrant it. Bill Luby at VIX and More explains why the volatility index to watch right now may not be the VIX, but rather VXN, since it isn’t affected by goings on in the financial sector.

Reversal Readings

Once again, there are as many 90+ readings around as you could want, and it may take a little time to work off these overbought readings. That’s one of the dangers of RSI(2) – it can trigger way early, leaving you exposed as the underlying continues to sell off hard or rally up – which is why it’s good to confirm with other indicators and time frames.

DIA, SPY, IWM – 96
QQQQ – 84
PHO – Water – 97
XLU – Utilities – 98
EWZ – Brazil – 98
BND – Bonds – 6.5

Seems like the market can do one of two things here: 1) continue selling off tomorrow, find a bottom somewhere in Tuesday’s range, and then power higher Friday or Monday; 2) stay flat or up through Friday, selloff on the NFP number, and starting pushing up again next week. Who cares, though? It’s more important to get some vega while it’s cheap (who cares if you’re a little early). For example: long calendars, double diagonals, double calendars.