I have not read the paper (see abstract below) but, if the authors are correct, I suppose a master trader could try and sell some calls here. I'm not a trader so I won't try.
"Abstract We examine stock price movements,around the announcement,and implementation,of changes in the S&P MidCap 400 and S&P SmallCap 600 indices. For both promotions to and demotions from the indices, we find significant movements in the price of stocks facing a status change on both on the trading day following the announcement,and the trading day leading up to the implementation. The stock price change is positive for promotions and negative for demotions. Although part of this price movement,is retraced in the trading days after the implementation of the change, about half to three-quarters of the movement,is permanent. 1. Introduction. The last thirty years have seen the rise of equity index investing, driven primarily by a"
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