I examine the asymmetric response from implied volatility changes to price changes under different levels of option moneyness and evaluate the cause-effect relation between implied volatilities and price changes. Based on KOSPI200 Index Options transaction data, the test results confirm two major previous findings in the literature. First, volatility changes are inversely related to equity price changes. Second, the asymmetric responses of volatility changes to equity price changes do exist. The responses of volatility changes are stronger with respect to negative than to positive equity price changes.
