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

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Onan M., Salih A., Yaşar B.

FINANCE RESEARCH LETTERS, vol.11, no.4, pp.454-462, 2014 (SSCI, Scopus)

  • Publication Type: Article / Article
  • Volume: 11 Issue: 4
  • Publication Date: 2014
  • Doi Number: 10.1016/j.frl.2014.07.006
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.454-462
  • Keywords: Volatility skews, Slope, S&P 500 index options, VIX, Macroeconomic announcements, REAL-TIME, STOCK, MARKET, INDEX, RISK
  • Open Archive Collection: AVESIS Open Access Collection
  • TED University Affiliated: No

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. (C) 2014 Elsevier Inc. All rights reserved.