Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Author
Onan, M.
Salih, A.
Yasar, B.
Date
2014-12Source Title
Finance Research Letters
Print ISSN
1544-6123
Publisher
Elsevier
Volume
11
Issue
4
Pages
454 - 462
Language
English
Type
ArticleItem Usage Stats
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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.