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Trading activity of VIX futures and options around FOMC announcements

Author

Listed:
  • Huang, Hong-Gia
  • Tsai, Wei-Che
  • Yang, J. Jimmy

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.

Suggested Citation

  • Huang, Hong-Gia & Tsai, Wei-Che & Yang, J. Jimmy, 2024. "Trading activity of VIX futures and options around FOMC announcements," International Review of Financial Analysis, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539
    DOI: 10.1016/j.irfa.2024.103321
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    References listed on IDEAS

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    More about this item

    Keywords

    VIX; VIX futures; VIX options; Informed trading activity; FOMC announcements;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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