Submitted by Lucas Processi (lucasprocessi@gmail.com) on 2017-12-06T13:14:53Z No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-12-21T11:42:42Z (GMT) No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) / Made available in DSpace on 2017-12-27T11:50:16Z (GMT). No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) Previous issue date: 2017-11-08 / We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining systematic excess returns. Returns sum up to 400% of the dailyinterbank rate in Brazil (CDI), a rate viewed as risk-free. However, with bootstrap analysis,we find evidence consistent with the absence of arbitrage opportunities in the Brazilian optionsmarket.This approach is different from other studies because the analysis is taken on several options ondifferent underlying assets, which gives us the opportunity to investigate factors that influencethe magnitude of excess returns. Europeanness is the most relevant factor found.

Submitted by Ricardo Alves Carmo Ribeiro (ricardoacrj@hotmail.com) on 2015-07-23T19:15:44Z No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-07-29T14:20:05Z (GMT) No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-07-30T12:40:19Z (GMT) No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Made available in DSpace on 2015-07-30T12:40:36Z (GMT). No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) Previous issue date: 2015-05-27 / Este trabalho tem como objetivo verificar se o mercado de opções da Petrobras PN (PETR4) é ineficiente na forma fraca, ou seja, se as informações públicas estão ou não refletidas nos preços dos ativos. Para isso, tenta-se obter lucro sistemático por meio da estratégia Delta-Gama-Neutra que utiliza a ação preferencial e as opções de compra da empresa. Essa ação foi escolhida, uma vez que as suas opções tinham alto grau de liquidez durante todo o período estudado (01/10/2012 a 31/03/2013). Para a realização do estudo, foram consideradas as ordens de compra e venda enviadas tanto para o ativo-objeto quanto para as opções de forma a chegar ao livro de ofertas (book) real de todos os instrumentos a cada cinco minutos. A estratégia foi utilizada quando distorções entre a Volatilidade Implícita, calculada pelo modelo Black & Scholes, e a volatilidade calculada por alisamento exponencial (EWMA – Exponentially Weighted Moving Average) foram observadas. Os resultados obtidos mostraram que o mercado de opções de Petrobras não é eficiente em sua forma fraca, já que em 371 operações realizadas durante esse período, 85% delas foram lucrativas, com resultado médio de 0,49% e o tempo médio de duração de cada operação sendo pouco menor que uma hora e treze minutos. / This work aims to verify if the Petrobras options market is ineficient on the weak form, that is, if in fact all the public information are already reflected in asset prices. So, the study tries to achieve profit systematically through the Delta-Gamma-Neutral strategy using the company's preferred stock and it’s options. This asset was chosen because it’s options were highly liquid throughout the study period (01/10/2012 to 31/03/2013). Purchase and sales orders for the underlying asset and it’s options were considered in order to reach the actual book of all instruments every five minutes. The strategy was applied when distortions between the Implied Volatility, calculated by the Black & Scholes model, and the volatility calculated by exponential smoothing (EWMA - Exponentially Weighted Moving Average) were detected. The results showed that the Petrobras options market is not efficient in it’s weak form, since in 371 transactions during this period, 85% of them were profitable, with an average result of 0,49% and the average duration of each operation being slightly smaller than an hour and thirteen minutes.