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1、BoardofGovernorsoftheFedera1ReserveSystemInternationa1FinanceDiscussionPapersISSN1073-2500(Print)ISSN2767-4509(On1ine)Number1376June2023ThePriceofMacroeconomicUncertainty:EvidencefromDai1yOptionsJuanM.1ondonoandMehrdadSamadiP1easecitethispaperas:1ondono,JuanM.andMehrdadSamadi(2023).*ThePriceofMacroe
2、conomicUncertainty:EvidencefromDai1yOptions/*Internationa1FinanceDiscussionPapers1376.Washington:BoardofGovernorsoftheFedera1ReserveSystem,https:doi.org/10.17016/IFDP.2023.1376.NOTE:Internationa1FinanceDiscussionPapers(IFDPs)arepre1iminarymateria1scircu1atedtostimu1atediscussionandcritica1comment.Th
3、eana1ysisandconc1usionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.Referencesinpub1icationstotheInternationa1FinanceDiscussionPapersSeries(otherthanacknow1edgement)shou1dbec1earedwiththeauthor(s)toprotectthetentativecharacterofthesepap
4、ers.RecentIFDPsareavai1ab1eontheWebatThispapercanbedown1oadedwithoutchargefromtheSocia1ScienceResearchN.ThePriceOfMaccertainty:EvidencefromDai1yOptionExpirationsThe authors thank Alain Chaboud, Mikhail Chernov, Jennifer Conrad, Eric Ghyselsz Mohammad Jahan-Parvarz Yuriy Kitsulz Niklas Kroner, Matt R
5、inggenbergz Ivan Shaliastovich, and Emre Yoldas for their comments. Bill Lang provided excellent research assistance. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Board, Federal Reserve System or their staff.Corresponding author. E-
6、mail: mehrdad.samadifrb.govJuanM.1ondonoandMehrdadSamadi+Federa1ReserveBoardThisversion:June2023Firstversion:Apri12023ABSTRACTUsingrecent1yavai1ab1edai1yS&P500indexoptionexpirations,weexaminetheexantepricingofuncertaintysurroundingkeyeconomicre1easesandthedeterminantsofriskpremiaassociatedwiththeser
7、e1eases.Thecostofinsuranceagainstprice,variance,anddownsideriskishigherforoptionsthatspanU.S.CPI,FOMC,NonfarmPayro11,andGDPre1easescomparedtoneighboringexpirations.Weca1cu1atere1ease-drivenforwardequityandvarianceriskpremiaandfindthatpremiavaryconsiderab1yacrosseconomicre1easesandincreasewithriskave
8、rsionaswe11aswithmonetarypo1icyandrea1economicuncertainty.Theempirica1frameworkpresentedinthispapercanbeusedtoexaminetheexantepricingofawidevarietyofevents.JE1c1assification:E44,G1,G12,Keywords-.VeirianceRisk,Uncertainty,RiskPremium,MacroeconomicRe1eases,FOMC,Inf1ation,Tai1RiskIIntroductionUncertain
9、tyaboutmacroeconomicfundamenta1shasbroadimp1icationsforbothrea1andfinancia1outcomes(seeCasca1di-Garciaeta1.(2023)forareviewofthe1iterature),andeconomicpo1icymakersaredependentonincomingdatawhendeterminingapathofpo1icy.See speeches by the Federal Reserve Boards Chairman Jerome Powell on October 8,201
10、9, y/Data-Dependent Monetary Policy in an Evolving Economyz, and by Federal Reserve Boards Governor Christopher Waller on September 12,2022, zzThe economic outlook - time to let the data do the talking.”Theextenttowhichuncertaintyabouteconomicannouncementsisreectedinfinancia1marketshasbeen1arge1ydeb
11、atedinthe1iterature.Whi1ethis1iteraturehasextensive1yexaminedreactionsoffinancia1marketstomacroeconomicre1eases(seeEderingtonand1ee(1993);F1emingandRemo1ona(1999);Andersen,Bo11ers1ev,Diebo1d,andVega(2003);andBeberandBrandt(2006);amongothers),thispaperusesrecent1yavai1ab1edai1yequityoptionexpirations
12、ontheS&P500indextoexaminetheexantepricingoftheuncertaintyofre1easesandtheriskpremiaassociatedwiththem.Todoso,wecompareoption-imp1iedmeasuresandoptiontradingvo1umesforexpirationsthatspankeyU.S.macroeconomicre1easestothoseofneighboringoptions,andweexp1orehowthedesiretohedgemacroeconomicre1easesisref1e
13、ctedinequityandvarianceriskpremia.Cboeintroducedweek1yoptionexpirationsontheS&P500indexin2005(seeAndersen,Fusari,andTodorov(2017)fordiscussion)andaddedexpirationsforeverytradingdayin2023.Tradinginshort-datedoptionexpirationscomprisedapproximate1y46percentoftota1optionsactivityin2023.See zzCboe Plans
14、 to List SPX Tuesday, Thursday-Expiring Weeklys Options/Thisrichexpirationgridprovidesinsuranceagainstrisksassociatedwithanygivenre1ease,presentingauniqueopportunitytoexaminetowhatextenttheserisksarepricedintheoptionsmarket.Wefirstemp1oyanempirica1strategywhichcomparesoption-imp1iedmeasuresforthedai
15、1yexpirationsthatspanU.S.CPI,GDP,FOMCzandNonfarmPayro11sre1easestothoseofneighboringexpirationsthatdonot.Overtheweeksprecedingare1easeweek,thecostofinsuranceagainstprice,variance,anddownsidetai1riskishigherforoptionexpirationsspanningre1eases.At-the-money(ATM)optionsspanningre1easesareupto7.5%moreex
16、pensivethanneighboringcontro1expirations.De1ta10putsaresignificant1ymoreexpensivethande1ta10ca11sforoptionsspanningre1eases,withadifferenceofupto6.4%withrespecttocontro1expirations.VarianceriskpremiaforoptionsspanningFOMCre1easesare44%1argerthanforcontro1options.Moreover,tradingvo1umesforoptionsthatspaneconomicre1easesaresignificant1yhigherthanvo1umesforcontro1options,indicatingthatthedes
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