Onan, M.Salih, A.Yasar, B.2015-07-282015-07-282014-121544-6123http://hdl.handle.net/11693/12479This 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.EnglishVolatility skewsSlopeS&p 500 Index optionsVixMacroeconomic announcementsArticle10.1016/j.frl.2014.07.006