É Possível Replicar a Volatilidade da Taxa de Câmbio com Instrumentos Transacionados no Mercado?

The implied volatility is certainly an interesting indicator to help geta sense of the market, because it represents the amount of expectedvolatility the market is pricing. In over-the-counter exchange rate option,whose trading is volatility oriented, it is the most important variable.This work investigates whether information embedded in this impliedvolatility market are explained by other traded variables in the Brazilianmarket. The results show that there are sources of non-negotiable risk thatinfluence this implied volatility. Therefore, exchange rate impliedvolatility can assist to understand the behavior of the derivatives indexedto dollar.