Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
Author
Yaşar, Burze
Advisor
Salih, Aslıhan
Date
2014Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This thesis analyzes the possible determinants of the observed implied volatility skew of S&P 500 index options. The thesis will also examine the high frequency changes in VIX in response to macroeconomic announcements. Finally the effect of presidential announcements on stock market volatility will be investigated.
Keywords
Implied volatility skewVIX
Volatility
Private information
Macroeconomic announcements
Presidential announcements