No. of Recommendations: 0
A long time ago I spent some time coming up with a system for trading VIX, and it was insanely profitable in backtest. Until I realized you can't trade the VIX as such.
You could make this a mechanical investing-type screen where you buy/sell a basket of ATM options on various stocks. Options are a tough trade, but if you created an automated trading system, you could put in orders splitting the bid/ask on twice as many stocks as you need then cancel the remaining when a sufficient number of trades have been filled. As correlated as the market has become, your basket of a dozen or so stocks may be plenty. Not something you want to trade in/out of very often due to slippage, and plenty of issues with the trading/selection/etc. But, if it's "insanely profitable" which I believe, it may well end up as merely "very profitable."
