shortorlong: research buying DOTM puts/calls, they usually have a better ROI than near ATM's. I prefer IWM, it too has penny spreads.
Example: 2/22, IWM consolidated all day below 69. At BO to upside you could have bought a Mar75Call@0.30 and easily sold it 2/26 @0.60...that's 100% ROI in 2...