I have a little stretchy armband which I had made for the purpose - I wear it for swimming (I feel self conscious about the bare sensor, plus when I first got it I was worried that it was wash off in the pool - which of course it didn't!) and it doesn't slide when I'm swimming, BUT for running it always slips as the material is very smooth, so it's no use for that purpose as it just gets annoying!
When I was first thinking about an armband I asked a dressmaker whether she could make a wider version of the wraparound Velcro tourniquet they use at the vampire clinic, but she wasn't really keen. At least with that idea though it would adjustable on the fly rather than just one size all the time.
Thinking cap is on....