We conduct a strict and broad analysis of the 30-day expected volatility (VIX) of five very active individual US stocks, three US domestic indices, and that of 10-year US Treasury notes. We find prominent non-random movement patterns mainly on Mondays and Fridays. Furthermore, significant leaps in expected volatility on Monday occur primarily in the first two and the fifth Mondays of the month. We also document that higher values for the 30-day expected volatility on Mondays are more likely when there was a negative change in the volatility on the preceding Fridays. This pattern does not occur on other subsequent days of the week. The results are robust through time and different subsamples and are not triggered by outliers or the week during which the options on the underlying assets expire. Rational and irrational drivers are suggested to explain the findings. Given that, to date, no one has conducted such an examination, our findings are important for investors interested in buying or selling volatility instruments.
- Monday effect
- Monday of the month
- perceived volatility
- weekend effect
All Science Journal Classification (ASJC) codes
- Computer Science (miscellaneous)
- Engineering (miscellaneous)