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The main purpose of this work is to examine the behavior of the impliedvolatility smiles around jumps, contributing to the literature with ahigh-frequency analysis of the smile dynamics based on intra-day option data.From our high-frequency SPX S\&P500 index option dataset, we utilize the firstthree principal components to characterize the implied volatility smile andanalyze its dynamics by the distribution of the scores' means and variances andother statistics for the first hour of the day, in scenarios where jumps aredetected and not. Our analyses clearly suggest that changes in the volatilitysmiles have abnormal properties around jumps compared with the absence ofjumps, regardless of maturity and type of the option.

Implied volatility smile dynamics in the presence of jumps