Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
Date
2014
Authors
Advisor
Instructor
Source Title
Print ISSN
Electronic ISSN
Publisher
Bilkent University
Volume
Issue
Pages
Language
English
Type
Thesis
Journal Title
Journal ISSN
Volume Title
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.
Course
Other identifiers
Book Title
Keywords
Implied volatility skew, VIX, Volatility, Private information, Macroeconomic announcements, Presidential announcements