This strategy was featured in the October 2010 issue of Active Trader magazine.

Entry rules:

1. Go long the S&P 500 and go short the Russell 2000 at the close when the VIX closes at least 5 percent above its 63-day SMA (which reflects approximately one quarter of market activity).
2. Go long the Russell 2000 and go short the S&P 500 at the close when the VIX closes at least 5 percent below its 63-day SMA.

Exit rules:

1. Exit all positions when the VIX closes within the -5 percent/+5 percent band.