Nofsinger, John R.; Prucyk, Brian - In: Journal of Futures Markets 23 (2003) 4, pp. 315-345
In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock‐index option volume and implied volatility. We find that there is a 2‐h delay after the announcement before volume increases. However, there is an immediate increase in...