After a failed attempt to rally, EEM is down almost a dollar from Thursday’s close. Of the four options we discussed in this morning’s update, rolling our remaining 140-strike position to 130 is looking best right now, because it buys us a little more room on the down side without hemming us in on the up side.

Here’s the trade we’re making this afternoon:

-2 EEM Sept 140 put
+2 EEM July 140 put
for a net credit of $2.75;

+2 EEM Sept 130 put
-2 EEM July 130 put
for a net debit of $4.60.

In making this adjustment, we’re lowering our downside break-even to $126.50, with an upper break-even at $134. Again, note that the two contracts per leg specified above represent our entire remaining position at 140. We now have a single-strike calendar spread at 130.

Last 5 posts by Condor Options

• Midweek Sméagol Reading - August 20th, 2008
• More on The Correlation Game - August 18th, 2008
• August Monthly Review - August 17th, 2008
• They Have the Passports to Prove It - August 13th, 2008
• Sleepy Nasdaq - August 12th, 2008