The impacts of public news announcements on intraday implied volatility dynamics

Jieun Lee and Doojin Ryu

Journal of Futures Markets, 2019, vol. 39, issue 6, 656-685

Abstract: We examine the responses of intraday option‐implied volatilities to scheduled announcements of macroeconomic indicators. The increase in implied volatility around macroeconomic news announcements is more pronounced for puts than for calls and is stronger for announcements made during trading hours than for those made during nontrading hours. These effects are also more pronounced in the crisis and postcrisis periods than in the precrisis period. Monetary policy announcements have a more substantial impact on volatility than other announcements have, even after controlling for news surprise components. The impact appears to be greater for policy rate hikes than for policy rate cuts.

Date: 2019
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