SPY or SPX VIX in Contango 1st of month, sell put spread in next expiration (50 ish DTE) Short leg 10% below close of prior month, buy 5 strikes lower. Exit is expiration or any day that VIX goes into backwardation. Obviously, most cycles expire worthless. When a big down month hits, the backwardation limits the damage and never results in a max loss. I haven't traded it live yet (June 1 will be the target start). Only have done manual/visual backtest. Just jumping around time periods, bull and bear markets. Shoot it full of holes if this setup deserves that treatment. TIA
Assuming you want to enter position on an elevation in IV (VIX should be adequate), and close position early if you hit some target value to ride volatility swings? -- If done well, may be able to rinse/repeat on about a weekly rate, and if timing a bit off, have to wait longer. -- I did similar with far OTM SPX PUT flys (basically a negative vega trade) but have not got around to honing it better. (I use VIX in contango as well to keep away from the deep end)
Only using VIX contango as a go/no go signal. Trade is entered regardless of IV. Time decay is the goal.