Intraday and Intraweek VIX Behaviors
January 5, 2017 - Volatility Effects
Does the S&P 500 implied volatility index (VIX) exhibit reliable intraday and day-of-week patterns? In their December 2016 paper entitled “The Intraday Properties of the VIX and the VXO”, Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad and Robert Webb investigate daily and intraday properties of VIX and its predecessor, the S&P 100 implied volatility index (VXO). VIX maintains constant… Keep Reading