The Intraday Properties of the VIX and the VXO

31 Pages Posted: 14 Dec 2016

See all articles by Adrian Fernandez-Perez

Adrian Fernandez-Perez

Auckland University of Technology

Bart Frijns

Auckland University of Technology - Faculty of Business & Law

Alireza Tourani-Rad

Auckland University of Technology - Faculty of Business & Law

Robert I. Webb

University of Virginia - McIntire School of Commerce

Date Written: December 12, 2016

Abstract

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

Fernandez-Perez, Adrian and Frijns, Bart and Tourani-Rad, Alireza and Webb, Robert I., The Intraday Properties of the VIX and the VXO (December 12, 2016). Available at SSRN: https://ssrn.com/abstract=2884455 or http://dx.doi.org/10.2139/ssrn.2884455

Adrian Fernandez-Perez

Auckland University of Technology ( email )

AUT City Campus
Private Bag 92006
Auckland, 1142
New Zealand
+64 9 921 9999 (Phone)
+64 9 921 9940 (Fax)

Bart Frijns (Contact Author)

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

Alireza Tourani-Rad

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

Robert I. Webb

University of Virginia - McIntire School of Commerce ( email )

Rouss and Robertson Halls 125 Ruppel Lane
Charlottesville, VA 22903
United States
(434) 924-7570 (Phone)

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