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

Mustafa Onan, Aslihan Salih and Burze Yasar

Finance Research Letters, 2014, vol. 11, issue 4, 454-462

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.

Keywords: Volatility skews; Slope; S&P 500 index options; VIX; Macroeconomic announcements (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 G19 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:4:p:454-462

DOI: 10.1016/j.frl.2014.07.006

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