Volatilidade Implícita e Antecipação de Eventos de Stress: um Teste para o Mercado Brasileiro

This paper aims at verifying whether, for the Brazilian markets, option implied volatility contains information regarding large-magnitude returns in the future. Moreover, a practical tool was developed in order to capture the information provided by implied volatility. Statistical evidence shows that implied volatility in Telebrás and dollar-real options contains useful information regarding stress events in the future. Depending on the implied volatility estimate used in the analysis, the information provided by Telebrás options is captured by a practical warning system at a 92% level of confidence. In the case of implied volatility in dollar-real options, however, the practical tool proved to be inefficient. False signals were issued and stress events in the dollar-real market were not previously detected.