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Persistent link: https://www.econbiz.de/10001201439
Persistent link: https://www.econbiz.de/10003558715
We study minute-by-minute behavior of the VIX index and trading activity in the underlying S&P 500 options to understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news, reflects the credibility of Fed monetary stimulus, and...
Persistent link: https://www.econbiz.de/10013065496
Persistent link: https://www.econbiz.de/10009626928
We study minute-by-minute behavior of the VIX index and trading activity in the underlying S&P 500 options to understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news, reflects the credibility of Fed monetary stimulus, and...
Persistent link: https://www.econbiz.de/10013292369