OPTION VOLUME AND VOLATILITY RESPONSE TO SCHEDULED ECONOMIC NEWS RELEASES JOHN R. NOFSINGER* BRIAN PRUCYK In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock-index option vol- ume and implied volatility. We find that there is a 2-h delay after the announcement before volume increases. However, there is an immediate increase in volatility, which slowly dissipates over several hours. Further analysis shows that most of the high volume and volatility after announce- ments come from the announcements that are considered bad news. That is, bad news creates high volatility and high volume, whereas good news elicits lower volume and is not associated with higher volatility. These results are not consistent with the predictions of any one model. We also find that the announcements that cause the largest reaction in the equity option market are Consumer Credit, Consumer Spending, Factory We thank Stewart Mayhew, Clifford Sell, Andrew Spieler, two anonymous reviewers, and the semi- nar participants at the Financial Management Association meetings and Marquette University for helpful comments. *Correspondence author, John R. Nofsinger, Department of Finance, College of Business and Economics, Washington State University, Pullman, WA 99164-4746; john_nofsinger@wsu.edu; or Brian Prucyk; e-mail: prucyk@biz.mu.edu Received September 2000; Accepted September 2002 ■ John R. Nofsinger is an assistant professor in the Department of Finance at the College of Business and Economics at Washington State University in Pullman, Washington. ■ Brian Prucyk is an assistant professor in the Department of Finance at Marquette University in Milwaukee, Wisconsin. The Journal of Futures Markets, Vol. 23, No. 4, 315–345 (2003) © 2003 Wiley Periodicals, Inc. Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/fut.10064