Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
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Date
2014-12
Authors
Onan, M.
Salih, A.
Yasar, B.
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Advisor
Supervisor
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Co-Supervisor
Instructor
Source Title
Finance Research Letters
Print ISSN
1544-6123
Electronic ISSN
Publisher
Elsevier
Volume
11
Issue
4
Pages
454 - 462
Language
English
Type
Journal Title
Journal ISSN
Volume Title
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Abstract
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.