This research investigates the information content of volatility trading in VIX derivatives under a high-frequency framework. We provide empirical evidence that the abnormal order imbalances of VIX futures and call (put) options are significantly negative (positive) during FOMC embargoes. Our results remain robust under various empirical approaches for examining FOMC announcements. We also find that the VIX return (trading volume) is negatively (positively) associated with FOMC announcements. Overall, we document short-lived informational advantages in the VIX derivatives market and provide evidence of potential information leakage during FOMC embargoes.

中文翻译：

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FOMC 公告前后 VIX 期货和期权的交易活动

本研究调查了高频框架下 VIX 衍生品波动性交易的信息内容。我们提供的经验证据表明，在 FOMC 禁运期间，VIX 期货和看涨（看跌）期权的异常订单失衡显着为负（正）。在审查 FOMC 公告的各种实证方法下，我们的结果仍然稳健。我们还发现 VIX 回报率（交易量）与 FOMC 公告负（正）相关。总体而言，我们记录了 VIX 衍生品市场的短暂信息优势，并提供了 FOMC 禁运期间潜在信息泄露的证据。