VIX Behavior Around Holidays

Posted in Volatility Effects

 

Does the S&P 500 implied volatility index (VIX) exhibit predictable behaviors around holidays? To check, we look at percentage changes in VIX from three trading days before to three trading days after the following annual holidays: New Year’s Day, Super Bowl, Good Friday, Memorial Day, 4th of July, Labor Day, Thanksgiving and Christmas. Using daily closes of VIX from January 1990 through mid-November 2012 (181 holidays), we find that: (more…)

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