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Quantitative Finance · Glossário

O que é Implied volatility spread?

Definition 15.2 Strategies I: Equities and Futures · Capítulo 15 — Options-Implied Signals for Stocks

A stock’s implied volatility spread is the difference between the implied volatilities of its calls and its puts at matched strikes and maturities; under put–call parity it is zero, and a positive spread means calls are relatively expensive.

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