Os determinantes das diferenças entre volatilidades implícitas das opções no Brasil

Abstract

The present study targets its efforts towards the determination of possible variables that can explain the differences in implied volatility between same-firm options calls in Brazilian derivatives market. It aims to estimate if there is a relationship between liquidity proxies into the dimension of the observed implied volatilities, in addition to corroborate the positive impact of the relation between options’ strike and stock price over these asymmetries, as pointed by previous studies in international derivative markets. It also tries to identify if the quadratic adjustment of some variables is a better fitment to explain these differences. It analyzes twelve companies listed in the Brazilian capital market with different levels of options negotiation between march and december 2019, using high frequency data to estimate four ordinary least squares regressions. It observes that liquidity proxies have low significance and interaction with the dependent variable for the companies in the time-frame of the data. It is appropriate to consider that: (I) negotiation’s liquidity of a determined firm may affect different call options strikes equally; (II) the proxies used may not capture the interest variable assertively, or (III) the liquidity, at observed levels, does not affect into the differences’ dimensions. Despite that, the understanding of the volatility smile is corroborated and the quadratic adjustment for time decay and moneyness are more appropriate to explain the relation with the observed dependent variable.