We examine how prices in interest rate and foreign exchange futures markets adjust to the new information contained in scheduled macroeconomic news releases in the very short run. Using 10-second returns and tick-by-tick data, we find that prices adjust in a series of numerous small, but rapid,...

We model and examine the impact of information releases on market uncertainty as measured by the implied standard deviation (ISD) from option markets. Distinguishing between scheduled and unscheduled announcements, we hypothesize that since the timing, although not the content, of scheduled...