Impact of Macroeconomic Announcements on Implied Volatility Slope of SPX Options and VIX

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Author
Onan, M.
Salih, A.
Yasar, B.
Date Issued
2014-12
Journal Title
Finance Research Letters
Publisher
Elsevier
Language
English
Type
Article
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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.
Please cite this item using this persistent URL
http://hdl.handle.net/11693/12479
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.
Published as
http://dx.doi.org/10.1016/j.frl.2014.07.006
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