Impact of Macroeconomic Announcements on Implied Volatility Slope of SPX Options and VIX
Finance Research Letters
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 URLhttp://hdl.handle.net/11693/12479
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.
- Department of Management