If you look at SPY options (or SPX for that matter) on the day of expiration you'll see that volatility is statistically lower than the following Monday. (VIX increases after expiration) So on average you'll have a long option price increase due to volatility when you hold the weekend after expiration. The problem with this approach is that you'll get hit with time decay holding over the weekend. So if you backtest 3 years buying a long straddle on Expiration Friday (@ close) and you sell it the very next Monday (I just have historical option closing prices) you'll end up with a profitable strategy. Once you back off the mid price for fills and you include commission you'll end up basically break even. What would be interesting would be to test the same strategy with the Monday open prices (rather than the close), but I don't have the historical quotes to support that test. Anyway, food for thought, Martin http://mwtrader.blogspot.com