Intraday Model-Free Implied Volatility for Individual Equities And the Return-Volatility Relationship

We implement the VIX methodology on intraday data of a large set of individual equity options. We thereby consider approaches based on monthly option contracts, weekly option contracts, and a cubic spline interpolation approach. We are able to derive reliable model-free implied volatility measures at a 1-minute frequency for a sample of 138 stocks. We empirically analyze the individual equity return-volatility relationship on the intraday level using quantile regressions. The results confirm a negative contemporaneous link between stock returns and volatility, which is more pronounced in the tails of the distributions consistent with previous findings at lower frequencies