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, cilt.11, sa.4, ss.454-462, 2014 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 11 Sayı: 4
  • Basım Tarihi: 2014
  • Doi Numarası: 10.1016/j.frl.2014.07.006
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.454-462
  • Anahtar Kelimeler: Volatility skews, Slope, S&P 500 index options, VIX, Macroeconomic announcements, REAL-TIME, STOCK, MARKET, INDEX, RISK
  • TED Üniversitesi Adresli: Hayır

Özet

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.