This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility indices on days with important macroeconomic releases, which we document over the period 2008-2018. Our trading strategies involve variance swaps, VIX futures, and VSTOXX mini futures contracts. The empirical evidence indicates that our trading strategies yield significantly positive mean returns on major announcement days. This finding suggests that variance swap and volatility futures markets are not efficient with respect to the release of macroeconomic information.