With credit lines frozen or maxed out, millions of layoffs and economic uncertainty looming, retailers will be feeling anything but holiday cheer this year. That's no secret, and everyone wants to be on the short side of consumer retail. But, do you have the right strategy for playing the decline?

The obvious answer is buying put options on the Retail HOLDRs (RTH), which is actively traded and offers liquid options. But be careful, because the RTH isn't all that it appears.

Actually, maybe RTH is more than it appears. Here's what I mean:

RTH is heavily weighted with discount super-store Wal-Mart (WMT) — 27% to be exact. That means WMT significantly influences RTH's performance.

WMT is one of the few stocks that is higher now than it was at the start of the year, which is hardly reflective of retail's overall sector performance or the market at large.

Bottom line: More than a quarter of RTH is up. Does that sound like a good candidate for a short-side position? Not to me, or my Winning Edge subscribers, it doesn't.

Instead, we suggest looking to the S&P Retail SPDR (XRT) for a better short-side opportunity. Why?