Mercado de Opções no Brasil é Eficiente? Um Estudo a partir da Estratégia Delta-Gama-Neutra com Opções da Petrobras

Gustavo Araujo and Ricardo Ribeiro

No 441, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This study aims to verify if the Petrobras options market is efficient. For this purpose, this work tries to achieve profit systematically through the Delta-Gamma-Neutral strategy using the company's stock and options. In order to simulate the strategy exactly as it would be used in the real world, we built the order books every five minutes considering all buying and selling orders sent to the underlying asset and to its options. We apply the strategy when distortions between implied volatilities extracted from the options are detected. The results show that there is evidence that the Petrobras options market is not efficient. In 371 day-trade strategies (which have average investment of R$81,000 and average duration of one hour and thirteen minutes), 85% of strategies were profitable and the average return was 0.49%, which corresponds to more than 1,600% of the 1-day risk free interest rate.

Date: 2016-06
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