Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
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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.
KeywordsImplied volatility skew