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Do Economic Reports Impact Volatility?

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Do economic numbers move the market? And can they lead to any short term increases in implied volatility? Tune in to hear Tom and Tony explain the impact of economic number!

To see if economic numbers have any impact, we are going to look at the intraday ranges of the SPY and VIX.

We measure intraday range as daily high minus daily low.

Typically, we see the SPY and VIX have an intraday range of about 2. In SPY, we have seen a max intraday range of 15 and in the VIX of 25.

How do these ranges change during major economic reports?

  • U.S. Import and Export Price Indexes

  • Regional and State Employment and Unemployment

  • Real Earnings

  • Producer Price Index

  • Consumer Price Index

Tune in to see Tom and Tony break down the results!