Browsing by Subject "Macroeconomic announcements"

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Open Access
Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
(2014) Yaşar, Burze
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.
Open Access
Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
(Elsevier, 2014-12) Onan, M.; Salih, A.; Yasar, B.
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.