A note on the impact of scheduled macroeconomic news announcements on implied volatility

Abstract

This note demonstrates that different methodological approaches may lead to somewhat different conclusions about the impact of scheduled macroeconomic news announcements on implied volatility. While there is no doubt that implied volatilities are significantly affected by macroeconomic releases, the analysis presented in this note shows that different approaches provide inconsistent results regarding the direction of the effect and also about the relative importance of different types of macroeconomic announcements.