The Intraday Properties of the VIX and the VXO
31 Pages Posted: 14 Dec 2016
Date Written: December 12, 2016
This paper investigates daily and intraday properties of the VIX and its predecessor the VXO. Sampling data at a one-minute frequency, we document that both the VIX and VXO display a negative drift intraday. While this finding is expected in the VXO, given its constant 30-day maturity at a daily frequency, it is surprising to observe the same pattern in the VIX, which maintains the constant maturity at a one-minute frequency. In addition, we document that the VIX has a distinct intraweek pattern, declining during the week and surging over the weekend. We further observe that there is intraday and intraweek variation in the relation between the VIX and the S&P500 (the leverage/feedback effect) which appears to be most negative during the middle of the trading day. Similarly, there is a U-shape pattern in this relation during the week, with the leverage effect being most negative in the middle of the week.
Keywords: VIX, Seasonality, Intraday data
JEL Classification: G13, G14
Suggested Citation: Suggested Citation