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

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  • Onan, Mustafa
  • Salih, Aslihan
  • Yasar, Burze

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.

Suggested Citation

  • Onan, Mustafa & Salih, Aslihan & Yasar, Burze, 2014. "Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX," Finance Research Letters, Elsevier, vol. 11(4), pages 454-462.
    • Handle: RePEc:eee:finlet:v:11:y:2014:i:4:p:454-462
    DOI: 10.1016/j.frl.2014.07.006
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility skews; Slope; S&P 500 index options; VIX; Macroeconomic announcements;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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