@RyanDetrick suggested that “Wed-Fri of option expiration wk and no $VIX expiration (this wk) tend to bounce. Up +67% of time. http://stks.co/sOHZ“.

To try this out, we will buy on WED of the regular expiration week (3rd Friday of the month is option expiration) when there is no VIX option expiration on WED of that very same week. Since VIX option was launched after 2/24/2006, we will only take signals after this date. There is a 91% chance of winning, but win/loss is only 0.36. This was triggered this past WED 8/14/2013. Unfortunately, it did not work this time. Perhaps, we can do some filtering on this signal when it comes up next time. Forgot to mention that this assumes that we exit on Friday even if there is no profit.

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