Trading activity of VIX futures and options around FOMC announcements

Hong-Gia Huang, Wei-Che Tsai and J. Jimmy Yang

International Review of Financial Analysis, 2024, vol. 94, issue C

Abstract: This research investigates the information content of volatility trading in VIX derivatives under a high-frequency framework. We provide empirical evidence that the abnormal order imbalances of VIX futures and call (put) options are significantly negative (positive) during FOMC embargoes. Our results remain robust under various empirical approaches for examining FOMC announcements. We also find that the VIX return (trading volume) is negatively (positively) associated with FOMC announcements. Overall, we document short-lived informational advantages in the VIX derivatives market and provide evidence of potential information leakage during FOMC embargoes.

Keywords: VIX; VIX futures; VIX options; Informed trading activity; FOMC announcements (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539

DOI: 10.1016/j.irfa.2024.103321

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