Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility. Retrieved from SSRN 2022261: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2022261

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It is based on a stylized fact on intraday data that, to the best of our knowledge, has not been noted before. Contrary to the over-all downward sloping skew profile, when the strike price is fixed, implied volatilities tend to increase with moneyness. Because the corresponding moneyness variation is caused by index changes alone, this implies that when the index falls (moneyness increases), implied volatility increases, and vice versa. We estimate this relationship using transaction data fo