Want some volatility with those yams?

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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

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