Volatilidades implícitas das principais opções BOVESPA

Atualizado em 2013-05-17 22:00:02.602283 GMT. Baseado em dados de fontes públicas e gratuitas: BOVESPA, Yahoo e CBLC. Não nos responsabilizamos pela exatidão das informações nem pelo uso delas em operações financeiras!

Conheça também a página de estudo gráfico de operações com opções.

Taxa de juros empregada nos cálculos: 7.50% ao ano.

PETR4 - R$ 19.91

Volatilidade últimos 21 dias úteis: 37.8% (diária) 40.8% (método val. extremos)

Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRE16 3 15.34 4.57 4.58 35.0% 100.0% 0.0% -0.00 0.00 100.0% calc
PETRE17 3 16.34 3.57 3.58 35.0% 100.0% 0.0% -0.00 0.00 100.0% calc
PETRE18 3 17.34 2.57 2.66 113.9% 91.9% 7.3% -0.05 0.27 90.2% calc
PETRE19 3 18.34 1.57 1.65 75.2% 89.4% 13.5% -0.04 0.33 88.1% calc
PETRE20 3 19.34 0.57 0.64 35.0% 82.9% 40.2% -0.03 0.46 82.1% calc
PETRE21 3 20.34 - 0.03 21.8% 14.9% 59.0% -0.02 0.42 14.5% calc
PETRE22 3 21.34 - 0.01 44.1% 4.5% 11.8% -0.01 0.17 4.1% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRF16 31 15.34 4.57 4.65 Volatilidade implícita menor que zero
PETRF17 31 16.34 3.57 3.66 Volatilidade implícita menor que zero
PETRF18 31 17.34 2.57 2.60 Volatilidade implícita menor que zero
PETRF19 31 18.34 1.57 1.79 27.5% 87.4% 13.0% -0.01 1.20 85.6% calc
PETRF20 31 19.34 0.57 0.97 24.5% 70.3% 24.4% -0.01 2.01 67.8% calc
PETRF21 31 20.34 - 0.46 25.7% 43.5% 26.4% -0.01 2.28 40.6% calc
PETRF22 31 21.34 - 0.18 26.2% 21.6% 19.3% -0.01 1.70 19.4% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRG16 59 15.34 4.57 4.85 45.6% 94.3% 3.1% -0.01 0.92 91.9% calc
PETRG17 59 16.34 3.57 3.90 40.3% 91.6% 4.8% -0.01 1.24 88.8% calc
PETRG18 59 17.34 2.57 2.85 26.6% 92.8% 6.5% -0.01 1.10 91.2% calc
PETRG19 59 18.34 1.57 2.02 27.5% 81.8% 12.0% -0.01 2.11 78.8% calc
PETRG20 59 19.34 0.57 1.30 26.9% 66.8% 16.9% -0.01 2.91 62.8% calc
PETRG21 59 20.34 - 0.75 26.2% 48.6% 19.0% -0.01 3.19 44.4% calc
PETRG22 59 21.34 - 0.40 26.3% 31.2% 16.8% -0.01 2.83 27.6% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRQ17 3 16.34 - 0.01 104.3% -1.6% 2.1% -0.01 0.07 2.0% calc
PETRQ18 3 17.34 - 0.01 76.2% -2.1% 3.6% -0.01 0.09 2.4% calc
PETRQ19 3 18.34 - 0.01 50.2% -3.3% 8.1% -0.01 0.13 3.6% calc
PETRQ20 3 19.34 - 0.01 21.6% -6.4% 32.0% -0.01 0.23 6.6% calc
PETRQ21 3 20.34 0.43 0.34 Volatilidade implícita menor que zero
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRR17 31 16.34 - 0.02 35.0% -2.0% 2.4% -0.00 0.28 2.6% calc
PETRR18 31 17.34 - 0.05 32.9% -6.0% 6.2% -0.00 0.69 7.2% calc
PETRR19 31 18.34 - 0.11 28.0% -13.0% 13.0% -0.01 1.23 14.8% calc
PETRR20 31 19.34 - 0.30 25.8% -30.5% 23.4% -0.01 2.03 33.2% calc
PETRR21 31 20.34 0.43 0.77 26.1% -56.3% 26.0% -0.01 2.29 59.3% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
PETRS17 59 16.34 - 0.06 33.4% -5.2% 4.0% -0.00 0.85 6.7% calc
PETRS18 59 17.34 - 0.13 31.4% -10.5% 7.2% -0.00 1.46 13.0% calc
PETRS19 59 18.34 - 0.27 29.4% -19.6% 11.8% -0.00 2.21 23.0% calc
PETRS20 59 19.34 - 0.55 28.7% -33.9% 15.9% -0.01 2.93 38.2% calc
PETRS21 59 20.34 0.43 0.96 27.0% -51.2% 18.5% -0.00 3.19 55.5% calc
 

VALE5 - R$ 29.93

Volatilidade últimos 21 dias úteis: 41.0% (diária) 33.1% (método val. extremos)

Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALEE24 3 23.24 6.69 6.75 151.6% 97.2% 1.6% -0.05 0.17 96.2% calc
VALEE25 3 24.24 5.69 5.67 Volatilidade implícita menor que zero
VALEE26 3 25.24 4.69 4.82 132.5% 93.1% 3.7% -0.08 0.36 91.4% calc
VALEE27 3 26.24 3.69 3.82 108.5% 91.8% 5.1% -0.08 0.41 90.2% calc
VALEE28 3 27.24 2.69 2.70 Volatilidade implícita menor que zero
VALEE29 3 28.24 1.69 1.62 Volatilidade implícita menor que zero
VALEE30 3 29.24 0.69 0.71 15.2% 95.9% 21.3% -0.01 0.24 95.8% calc
VALEE31 3 30.24 - 0.10 19.8% 29.8% 64.6% -0.03 0.94 29.1% calc
VALEE32 3 31.24 - 0.01 26.0% 3.8% 11.6% -0.01 0.22 3.6% calc
VALEE33 3 32.24 - 0.01 41.2% 2.5% 5.3% -0.01 0.16 2.3% calc
VALEE34 3 33.24 - 0.01 57.1% 2.3% 3.6% -0.01 0.15 2.1% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALEF24 31 24.00 5.93 6.10 37.0% 98.5% 1.2% -0.01 0.34 98.0% calc
VALEF25 31 25.00 4.93 5.14 37.4% 96.1% 2.6% -0.01 0.73 95.1% calc
VALEF26 31 25.24 4.69 5.03 47.4% 91.1% 3.9% -0.02 1.40 88.7% calc
VALEF27 31 26.24 3.69 3.99 36.4% 91.2% 5.0% -0.01 1.39 89.4% calc
VALEF28 31 27.24 2.69 3.12 35.4% 84.7% 7.6% -0.02 2.06 82.2% calc
VALEF29 31 28.24 1.69 2.35 35.3% 75.1% 10.3% -0.02 2.76 71.8% calc
VALEF30 31 29.24 0.69 1.65 33.8% 63.7% 12.7% -0.02 3.27 59.9% calc
VALEF31 31 30.24 - 1.08 32.7% 50.2% 14.0% -0.02 3.48 46.5% calc
VALEF32 31 31.24 - 0.67 32.2% 36.6% 13.4% -0.02 3.28 33.2% calc
VALEF33 31 32.24 - 0.40 32.3% 25.0% 11.3% -0.02 2.77 22.1% calc
VALEF34 31 33.24 - 0.22 32.2% 15.8% 8.6% -0.01 2.10 13.6% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALEG24 59 24.00 5.93 Não negociada
VALEG25 59 24.24 5.69 6.16 41.0% 92.5% 2.9% -0.01 1.71 89.8% calc
VALEG26 59 26.00 3.93 Não negociada
VALEG27 59 27.00 2.93 Não negociada
VALEG28 59 27.24 2.69 3.45 32.5% 81.0% 6.9% -0.01 3.26 77.3% calc
VALEG29 59 28.24 1.69 2.73 32.4% 72.7% 8.5% -0.01 4.00 68.2% calc
VALEG30 59 29.24 0.69 2.15 33.4% 63.0% 9.4% -0.02 4.54 57.8% calc
VALEG31 59 30.24 - 1.49 30.5% 53.0% 10.8% -0.02 4.79 48.1% calc
VALEG32 59 31.24 - 1.05 30.2% 42.4% 10.8% -0.01 4.71 37.7% calc
VALEG33 59 32.24 - 0.73 30.4% 32.7% 9.9% -0.01 4.34 28.4% calc
VALEG34 59 33.24 - 0.48 30.0% 23.9% 8.6% -0.01 3.74 20.4% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALEQ27 3 26.24 - 0.02 76.3% -2.6% 2.9% -0.02 0.16 3.0% calc
VALEQ28 3 27.24 - 0.01 52.6% -2.2% 3.7% -0.01 0.14 2.5% calc
VALEQ29 3 28.24 - 0.01 35.0% -3.1% 7.4% -0.01 0.19 3.3% calc
VALEQ30 3 29.24 - 0.02 19.5% -8.7% 29.8% -0.01 0.43 9.0% calc
VALEQ31 3 30.24 0.31 0.42 23.1% -67.5% 57.6% -0.03 0.98 68.2% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALER27 31 26.24 - 0.15 37.6% -9.5% 5.1% -0.01 1.47 11.4% calc
VALER28 31 27.24 - 0.27 36.1% -15.6% 7.6% -0.01 2.09 18.3% calc
VALER29 31 28.24 - 0.47 35.0% -24.7% 10.3% -0.01 2.76 28.1% calc
VALER30 31 29.24 - 0.75 33.1% -36.1% 13.0% -0.02 3.27 39.8% calc
VALER31 31 30.24 0.31 1.20 32.7% -49.7% 14.0% -0.02 3.48 53.5% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
VALES27 59 27.00 - 0.41 33.4% -17.8% 6.5% -0.01 3.13 21.5% calc
VALES28 59 27.24 - 0.48 33.9% -19.8% 6.8% -0.01 3.35 23.8% calc
VALES29 59 28.24 - 0.75 33.7% -27.9% 8.3% -0.01 4.04 32.6% calc
VALES30 59 29.24 - 1.06 32.4% -36.8% 9.7% -0.01 4.53 41.8% calc
VALES31 59 30.24 0.31 1.50 31.9% -46.9% 10.4% -0.01 4.79 52.0% calc
 

OGXP3 - R$ 1.76

Volatilidade últimos 21 dias úteis: 164.4% (diária) 137.4% (método val. extremos)

BVMF3 - R$ 14.11

Volatilidade últimos 21 dias úteis: 26.9% (diária) 27.1% (método val. extremos)

Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFE12 3 11.80 2.31 2.33 104.2% 97.4% 4.5% -0.02 0.08 96.8% calc
BVMFE13 3 12.80 1.31 1.28 Volatilidade implícita menor que zero
BVMFE14 3 13.80 0.31 0.35 27.4% 82.4% 73.8% -0.02 0.33 81.8% calc
BVMFE15 3 14.80 - 0.01 35.0% 7.1% 30.3% -0.01 0.17 6.7% calc
BVMFE16 3 15.80 - 0.01 66.3% 3.3% 8.6% -0.01 0.09 2.9% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFF12 31 11.80 2.31 2.35 Volatilidade implícita menor que zero
BVMFF13 31 12.80 1.31 1.34 Volatilidade implícita menor que zero
BVMFF14 31 13.80 0.31 0.55 19.3% 70.4% 43.6% -0.01 1.42 68.5% calc
BVMFF15 31 14.80 - 0.14 21.7% 26.6% 36.9% -0.01 1.35 24.6% calc
BVMFF16 31 16.00 - 0.02 24.6% 5.2% 10.5% -0.00 0.43 4.4% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFG12 59 12.00 2.11 Não negociada
BVMFG13 59 12.80 1.31 1.54 23.5% 88.7% 14.4% -0.00 1.09 86.7% calc
BVMFG14 59 13.80 0.31 0.78 23.0% 66.2% 28.1% -0.01 2.07 62.8% calc
BVMFG15 59 15.00 - 0.22 21.4% 29.9% 28.6% -0.00 1.97 27.0% calc
BVMFG16 59 16.00 - 0.01 15.2% 3.4% 8.7% -0.00 0.42 2.9% calc
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFQ12 3 11.80 - 0.01 100.9% -2.2% 4.1% -0.01 0.07 2.8% calc
BVMFQ13 3 12.80 - 0.01 60.3% -3.4% 9.9% -0.01 0.10 3.9% calc
BVMFQ14 3 13.80 - 0.02 24.4% -14.9% 74.2% -0.01 0.30 15.4% calc
BVMFQ15 3 14.80 0.69 0.69 35.0% -92.9% 30.3% -0.01 0.17 93.3% calc
BVMFQ16 3 15.80 1.69 Não negociada
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFR12 31 11.80 - 0.02 35.0% -3.1% 4.9% -0.00 0.29 3.9% calc
BVMFR13 31 12.80 - 0.02 22.6% -5.4% 11.8% -0.00 0.45 6.1% calc
BVMFR14 31 13.80 - 0.21 23.5% -32.6% 37.3% -0.00 1.48 35.1% calc
BVMFR15 31 14.80 0.69 0.79 25.8% -69.6% 33.0% -0.00 1.44 72.2% calc
BVMFR16 31 16.00 1.89 Não negociada
 
Código Prazo
dias		 Strike Valor
intrínseco		 Prêmio Volat.
implícita		 Delta Gama Theta
/dia		 Vega Prob.
exercício
BVMFS12 59 12.00 - 0.06 31.4% -7.5% 7.9% -0.00 0.80 9.4% calc
BVMFS13 59 12.80 - 0.11 26.3% -13.8% 14.8% -0.00 1.25 16.3% calc
BVMFS14 59 13.80 - 0.35 25.1% -34.8% 25.9% -0.00 2.10 38.6% calc
BVMFS15 59 15.00 0.89 0.99 24.4% -67.4% 26.0% -0.00 2.04 70.8% calc
BVMFS16 59 16.00 1.89 Não negociada
 

OIBR4 - R$ 4.91

Volatilidade últimos 21 dias úteis: 40.7% (diária) 61.4% (método val. extremos)

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