Want some volatility with those yams?

Getty Images

Thanksgiving may be a time of celebration and volatility, according to a market newsletter.

Grant O'Connor, managing director of Bear Traps, analyzed the historical performance of the CBOE volatility index into the Thanksgiving holiday in a note to clients Tuesday:

"Our research shows that markets tend to sell off during weeks in which holidays fall. Getting long volatility has the ability to be a profitable trade. In the last 15 years, if you bought the volatility index — VIX — the day before Thanksgiving and sold it the Monday after, it was higher 14 times. The average return was 8 percent (cash not futures)."

Five year chart of the VIX index

Source: Bear Traps, Bloomberg

Here are the ETFs and ETNs to use to take advantage of the strategy...

More In Investing

CNBC ProGoldman, Morgan Stanley and JPMorgan make the case for higher valuations by separating from the pack
CNBC ProMike Santoli’s market notes: Rally out of sideways pause, Netflix reminds us that tech is thriving