Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

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dc.citation.epage462en_US
dc.citation.issueNumber4en_US
dc.citation.spage454en_US
dc.citation.volumeNumber11en_US
dc.contributor.authorOnan, M.en_US
dc.contributor.authorSalih, A.en_US
dc.contributor.authorYasar, B.en_US
dc.date.accessioned2015-07-28T12:01:39Z
dc.date.available2015-07-28T12:01:39Z
dc.date.issued2014-12en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.frl.2014.07.006en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/12479
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.frl.2014.07.006en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectVolatility skewsen_US
dc.subjectSlopeen_US
dc.subjectS&p 500 Index optionsen_US
dc.subjectVixen_US
dc.subjectMacroeconomic announcementsen_US
dc.titleImpact of macroeconomic announcements on implied volatility slope of SPX options and VIXen_US
dc.typeArticleen_US
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