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

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.

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Year of publication:	2014
Authors:	Onan, Mustafa ; Salih, Aslihan ; Yasar, Burze
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 4, p. 454-462
Publisher:	Elsevier
Subject:	Volatility skews \| Slope \| S&P 500 index options \| VIX \| Macroeconomic announcements

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Type of publication:	Article
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011118178