The Impact of Announcemement Days on the VIX

Abstract

This paper examines the impact of different macroeconomic announcements on the implied volatility index of the S&P 500 (VIX). We focus on FOMC, employment, PPI, and CPI announcements over the sample period of January 2004 to December 2015. As expansion to other papers, the analysis will consider whether the observed changes in the VIX are due to the announcements or if they can be explained by other factors, such as seasonal patterns. Similar to previous studies, we find that on days where FOMC and employment announcements are published, the change in the VIX is on average negative. In contrast to previous research, we show that the average decreasing effect in the VIX for PPI and CPI announcements can be explained by seasonal patterns. Furthermore, the results indicate that the impact of FOMC and employment is independent of “good” and “bad” announcements, while PPI reports have a reducing effect for “extreme” announcements and during times of high uncertainty. All in all, our findings are in line with the definition of the VIX as a measure of uncertainty.