Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Finance Research Letters
454 - 462
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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.