Despite having been burned by last week’s colossal head-fake, we were hoping to avoid re-adjusting our RTH double-calendar—but Friday’s drop of 2.7 times the ETF’s one-day standard deviation was not a good sign. On Monday RTH fell through its 50-day moving average and closed just pennies below it. After bouncing off the 200-day MA yesterday, RTH is down again this morning and trading below our theoretical break-even. We’re once again approaching our maximum loss, so we’re making the following adjustment:

-2 RTH July 100 call +2 RTH June 100 call for a net credit of $0.80;

+2 RTH July 95 put -2 RTH June 95 put for a net debit of $1.55.

Don’t forget that two contracts here represent all of our position (e.g., if we had 4 contracts at the 100 strike, we’d be rolling all 4 of them). Now we have a single calendar put spread at the 95 strike. Normally

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JoJo writes: "Now that Citigroup has posted its first quarter earning for 2008, do you still stand by your original analysis, or you think you have to revise it?" Thanks for getting my butt in gear for the update I promised, JoJo. As many of you may know, Citigroup (C) reported a loss of $5.1 billion in the first quarter, which hardly makes it easy to figure out what a more "normal" quarter would look like for them. While the losses and writedowns did go down in Q1, versus Q4, there is still plenty of cloudiness in Citi's results. Nonetheless, there is no point in shying away from digging through the numbers, even if they are complicated, which is why I even bothered writing about Citi in the first place. The first thing I did was update my spreadsheet showing Citi's quarterly income results by segment going all the way back to 2007. This ...