In this essay, we use seasonality and option skewness as a monthly strategy. We sort stocks by seasonality first then by skewness with the dependent sorting and calculate returns and p values for each group. In the end, we find out that there is improvement in returns with the above strategy in comparison with single sorting by seasonality. Besides, if we construct a long-short portfolio with the theoretically best group and worst group, the return is significantly greater than zero, and the strategy cannot be explained by the Fama-Macbeth three-factors model.