Impact of Macroeconomic Announcements on Implied Volatility Slope of SPX Options and VIX
Please cite this item using this persistent URL
http://hdl.handle.net/11693/12479Journal
Finance Research Letters
Published as
http://dx.doi.org/10.1016/j.frl.2014.07.006Collections
- Department of Management [141]
Publisher
Elsevier
Abstract
This paper examines the impact of macroeconomic announcements
on the high-frequency behavior of the observed implied
volatility skew of S&P 500 index options and VIX. We document
that macroeconomic announcements affect VIX significantly and
slope at a lesser extent. We also find evidence that good and bad
announcements significantly and asymmetrically change implied
volatility slope and VIX.
2014 Elsevier Inc. All rights reserved.
Citation
Onan, M., Salih, A., & Yasar, B. (2014). Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX. Finance Research Letters, 11(4), 454-462.