Volatilidad Implícita (Schadner IV)
Ejercicio OC · selección automática · Generado: 2026-10-11 20:46:39 (UTC-3) (Scipy-Boost Backend)
GGAL Spot
$5,930.00
Control mercado: $5,930.00
Tasa de interés
19.30%
Caución/Libre riesgo
Vencimiento · OC
5 días
16/10/2026 · selección automática
Auditoría
29/45 OK
3 errores · 13 sin cotiz
📊 Panel de Volatilidades (Option Chain)
| CALLS (Opciones de Compra) | K | PUTS (Opciones de Venta) | ||||
|---|---|---|---|---|---|---|
| Símbolo | Prima | IV Explícita | Strike | IV Explícita | Prima | Símbolo |
| — | — | — | 5,400 | 53.91% | 9.85 | GFGV5400OC |
| — | — | — | 5,600 | 49.01% | 25.25 | GFGV5600OC |
| — | — | — | 5,800 | 46.00% | 66.25 | GFGV5800OC |
| GFGC6000OC | 119.50 | 52.13% | 6,000 ATM | 45.51% | 155.50 | GFGV6000OC |
| GFGC6200OC | 58.75 | 54.24% | 6,200 | 47.72% | 298.00 | GFGV6200OC |
| GFGC6400OC | 27.50 | 56.71% | 6,400 | 42.51% | 462.50 | GFGV6400OC |
| GFGC6600OC | 13.22 | 59.98% | 6,600 | 48.98% | 657.42 | GFGV6600OC |
| GFGC6800OC | 5.10 | 60.68% | 6,800 | — | 837.67 | GFGV6800OC |
| GFGC7000OC | 1.79 | 61.21% | 7,000 | 70.18% | 1,056.15 | GFGV7000OC |
| GFGC7200OC | 0.83 | 64.02% | 7,200 | — | 1,250.00 | GFGV7200OC |
| GFGC7400OC | 0.53 | 68.82% | 7,400 | — | 1,432.25 | GFGV7400OC |
| GFGC7600OC | 0.40 | 74.12% | 7,600 | — | — | GFGV7600OC |
| GFGC7800OC | 0.35 | 80.09% | 7,800 | — | — | GFGV7800OC |
| GFGC8000OC | 0.19 | 82.32% | 8,000 | 179.32% | 2,100.00 | GFGV8000OC |
| GFGC8300OC | 0.22 | 92.64% | 8,300 | — | — | GFGV8300OC |
| GFGC8600OC | 0.17 | 99.61% | 8,600 | — | — | GFGV8600OC |
| GFGC8900OC | 0.13 | 105.56% | 8,900 | — | — | GFGV8900OC |
| GFGC9200OC | 0.11 | 112.04% | 9,200 | — | — | GFGV9200OC |
| GFGC9500OC | 0.08 | 116.60% | 9,500 | — | — | GFGV9500OC |
| GFGC9800OC | — | — | 9,800 | — | — | GFGV9800OC |
| GFGC9900OC | 0.06 | 123.09% | 9,900 | — | — | GFGV9900OC |
| GFGC10300O | 0.13 | 139.82% | 10,300 | — | — | GFGV10300O |
| GFGC10700O | 0.12 | 147.37% | 10,700 | — | — | GFGV10700O |
| GFGC11100O | 0.03 | 142.74% | 11,100 | — | — | GFGV11100O |
| Símbolo | Strike | Prima | IV Explícita |
|---|---|---|---|
| GFGV5400OC | 5,400 | 9.85 | 53.91% |
| GFGV5600OC | 5,600 | 25.25 | 49.01% |
| GFGV5800OC | 5,800 | 66.25 | 46.00% |
| GFGC6000OC | 6,000 ATM | 119.50 | 52.13% |
| GFGV6000OC | 6,000 ATM | 155.50 | 45.51% |
| GFGC6200OC | 6,200 | 58.75 | 54.24% |
| GFGV6200OC | 6,200 | 298.00 | 47.72% |
| GFGC6400OC | 6,400 | 27.50 | 56.71% |
| GFGV6400OC | 6,400 | 462.50 | 42.51% |
| GFGC6600OC | 6,600 | 13.22 | 59.98% |
| GFGV6600OC | 6,600 | 657.42 | 48.98% |
| GFGC6800OC | 6,800 | 5.10 | 60.68% |
| GFGV6800OC | 6,800 | 837.67 | — |
| GFGC7000OC | 7,000 | 1.79 | 61.21% |
| GFGV7000OC | 7,000 | 1,056.15 | 70.18% |
| GFGC7200OC | 7,200 | 0.83 | 64.02% |
| GFGV7200OC | 7,200 | 1,250.00 | — |
| GFGC7400OC | 7,400 | 0.53 | 68.82% |
| GFGV7400OC | 7,400 | 1,432.25 | — |
| GFGC7600OC | 7,600 | 0.40 | 74.12% |
| GFGV7600OC | 7,600 | — | — |
| GFGC7800OC | 7,800 | 0.35 | 80.09% |
| GFGV7800OC | 7,800 | — | — |
| GFGC8000OC | 8,000 | 0.19 | 82.32% |
| GFGV8000OC | 8,000 | 2,100.00 | 179.32% |
| GFGC8300OC | 8,300 | 0.22 | 92.64% |
| GFGV8300OC | 8,300 | — | — |
| GFGC8600OC | 8,600 | 0.17 | 99.61% |
| GFGV8600OC | 8,600 | — | — |
| GFGC8900OC | 8,900 | 0.13 | 105.56% |
| GFGV8900OC | 8,900 | — | — |
| GFGC9200OC | 9,200 | 0.11 | 112.04% |
| GFGV9200OC | 9,200 | — | — |
| GFGC9500OC | 9,500 | 0.08 | 116.60% |
| GFGV9500OC | 9,500 | — | — |
| GFGC9800OC | 9,800 | — | — |
| GFGV9800OC | 9,800 | — | — |
| GFGC9900OC | 9,900 | 0.06 | 123.09% |
| GFGV9900OC | 9,900 | — | — |
| GFGC10300O | 10,300 | 0.13 | 139.82% |
| GFGV10300O | 10,300 | — | — |
| GFGC10700O | 10,700 | 0.12 | 147.37% |
| GFGV10700O | 10,700 | — | — |
| GFGC11100O | 11,100 | 0.03 | 142.74% |
| GFGV11100O | 11,100 | — | — |
🛡️ Parámetros, Fuentes de Datos y Fórmula
Fórmula Implementada
c = C/(D·F), k = ln(K/F), η = min(1,ek)
Call: σ = 2/√T · [F−1IG((1−c)/η; 2/|k|,1)]−1/2
Put: σ = 2/√T · [F−1IG((ek−p)/η; 2/|k|,1)]−1/2
ATM (K=F): σ = 2/√T · Φ−1((1+c)/2)
Call: σ = 2/√T · [F−1IG((1−c)/η; 2/|k|,1)]−1/2
Put: σ = 2/√T · [F−1IG((ek−p)/η; 2/|k|,1)]−1/2
ATM (K=F): σ = 2/√T · Φ−1((1+c)/2)
El precio normalizado del call es exactamente la probabilidad de cola de una distribución Inversa Gaussiana. Este paper demuestra que la IV es un cuantil exacto de varianza implícita. Referencia: Wolfgang Schadner (2026).
Fuentes y Celdas de Origen (Google Sheets)
Libro conectado: Bolsaceres EPGB AG-OC - Google Sheets FULL · Ejercicio: OC
| Dato del Modelo | Pestaña y Celda/Rango en Google Sheets |
|---|---|
| Ejercicio seleccionado | OC · GGAL OC / Cotizaciones OC (selección automática) |
| Spot en panel | 'GGAL OC'!Z3 |
| Vencimiento | 'GGAL OC'!Z7 |
| Tasa de interés | 'GGAL OC'!Z8 |
| Días al vencimiento | 'GGAL OC'!Z9 |
| Spot de control (mercado) | 'Cotizaciones OC'!H4 |
| Calls (rango origen) | 'Cotizaciones OC'!A6:T55 |
| Puts (rango origen) | 'Cotizaciones OC'!A56:T105 |
Auditoría de Reconstrucción (Fila por Fila)
| Tipo | Símbolo | Strike | Prima | Método | Fuente | IV Explícita | IV Sheet | Dif. | BS Reconstruido | Error | k | q Prob | Backend | Estado | Mensaje |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CALL | GFGC6000OC | 6,000.00 | 119.5000 | mid | 'Cotizaciones OC'!C6 + 'Cotizaciones OC'!F6 |
52.13% | 50.82% | +1.31 pp | 119.500000 | -0.00000000 | 0.009091 | 0.97984823 | scipy_boost | OK | |
| CALL | GFGC6200OC | 6,200.00 | 58.7505 | mid | 'Cotizaciones OC'!C7 + 'Cotizaciones OC'!F7 |
54.24% | 54.16% | +0.08 pp | 58.750500 | -0.00000000 | 0.041881 | 0.99009266 | scipy_boost | OK | |
| CALL | GFGC6400OC | 6,400.00 | 27.5000 | mid | 'Cotizaciones OC'!C8 + 'Cotizaciones OC'!F8 |
56.71% | 56.06% | +0.65 pp | 27.500000 | -0.00000000 | 0.073630 | 0.99536256 | scipy_boost | OK | |
| CALL | GFGC6600OC | 6,600.00 | 13.2250 | mid | 'Cotizaciones OC'!C9 + 'Cotizaciones OC'!F9 |
59.98% | 59.75% | +0.23 pp | 13.225000 | -0.00000000 | 0.104402 | 0.99776981 | scipy_boost | OK | |
| CALL | GFGC6800OC | 6,800.00 | 5.1000 | mid | 'Cotizaciones OC'!C10 + 'Cotizaciones OC'!F10 |
60.68% | 62.05% | -1.38 pp | 5.100000 | 0.00000000 | 0.134255 | 0.99913997 | scipy_boost | OK | |
| CALL | GFGC7000OC | 7,000.00 | 1.7950 | mid | 'Cotizaciones OC'!C11 + 'Cotizaciones OC'!F11 |
61.21% | 61.45% | -0.24 pp | 1.795000 | -0.00000000 | 0.163242 | 0.99969730 | scipy_boost | OK | |
| CALL | GFGC7200OC | 7,200.00 | 0.8260 | mid | 'Cotizaciones OC'!C12 + 'Cotizaciones OC'!F12 |
64.02% | 65.47% | -1.45 pp | 0.826000 | -0.00000000 | 0.191413 | 0.99986071 | scipy_boost | OK | |
| CALL | GFGC7400OC | 7,400.00 | 0.5350 | mid | 'Cotizaciones OC'!C13 + 'Cotizaciones OC'!F13 |
68.82% | 68.28% | +0.54 pp | 0.535000 | 0.00000000 | 0.218812 | 0.99990978 | scipy_boost | OK | |
| CALL | GFGC7600OC | 7,600.00 | 0.4000 | mid | 'Cotizaciones OC'!C14 + 'Cotizaciones OC'!F14 |
74.12% | 72.19% | +1.93 pp | 0.400000 | 0.00000000 | 0.245480 | 0.99993255 | scipy_boost | OK | |
| CALL | GFGC7800OC | 7,800.00 | 0.3495 | mid | 'Cotizaciones OC'!C15 + 'Cotizaciones OC'!F15 |
80.09% | 76.56% | +3.53 pp | 0.349500 | 0.00000000 | 0.271456 | 0.99994106 | scipy_boost | OK | |
| CALL | GFGC8000OC | 8,000.00 | 0.1900 | mid | 'Cotizaciones OC'!C16 + 'Cotizaciones OC'!F16 |
82.32% | 78.75% | +3.57 pp | 0.190000 | 0.00000000 | 0.296773 | 0.99996796 | scipy_boost | OK | |
| CALL | GFGC8300OC | 8,300.00 | 0.2205 | mid | 'Cotizaciones OC'!C17 + 'Cotizaciones OC'!F17 |
92.64% | 93.58% | -0.95 pp | 0.220500 | -0.00000000 | 0.333587 | 0.99996282 | scipy_boost | OK | |
| CALL | GFGC8600OC | 8,600.00 | 0.1745 | mid | 'Cotizaciones OC'!C18 + 'Cotizaciones OC'!F18 |
99.61% | 95.62% | +3.99 pp | 0.174500 | 0.00000000 | 0.369094 | 0.99997057 | scipy_boost | OK | |
| CALL | GFGC8900OC | 8,900.00 | 0.1300 | mid | 'Cotizaciones OC'!C19 + 'Cotizaciones OC'!F19 |
105.56% | 106.88% | -1.32 pp | 0.130000 | 0.00000000 | 0.403383 | 0.99997808 | scipy_boost | OK | |
| CALL | GFGC9200OC | 9,200.00 | 0.1100 | mid | 'Cotizaciones OC'!C20 + 'Cotizaciones OC'!F20 |
112.04% | 113.75% | -1.71 pp | 0.110000 | 0.00000000 | 0.436535 | 0.99998145 | scipy_boost | OK | |
| CALL | GFGC9500OC | 9,500.00 | 0.0775 | mid | 'Cotizaciones OC'!C21 + 'Cotizaciones OC'!F21 |
116.60% | 115.56% | +1.04 pp | 0.077500 | -0.00000000 | 0.468624 | 0.99998693 | scipy_boost | OK | |
| CALL | GFGC9800OC | 9,800.00 | — | mid | 'Cotizaciones OC'!C22 + 'Cotizaciones OC'!F22 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| CALL | GFGC9900OC | 9,900.00 | 0.0550 | mid | 'Cotizaciones OC'!C23 + 'Cotizaciones OC'!F23 |
123.09% | 123.52% | -0.43 pp | 0.055000 | -0.00000000 | 0.509867 | 0.99999073 | scipy_boost | OK | |
| CALL | GFGC10300O | 10,300.00 | 0.1300 | mid | 'Cotizaciones OC'!C24 + 'Cotizaciones OC'!F24 |
139.82% | 133.75% | +6.07 pp | 0.130000 | 0.00000000 | 0.549476 | 0.99997808 | scipy_boost | OK | |
| CALL | GFGC10700O | 10,700.00 | 0.1155 | mid | 'Cotizaciones OC'!C25 + 'Cotizaciones OC'!F25 |
147.37% | 152.50% | -5.13 pp | 0.115500 | -0.00000000 | 0.587576 | 0.99998052 | scipy_boost | OK | |
| CALL | GFGC11100O | 11,100.00 | 0.0300 | last_fallback | 'Cotizaciones OC'!H26 |
142.74% | 145.00% | -2.26 pp | 0.030000 | -0.00000000 | 0.624277 | 0.99999494 | scipy_boost | OK | |
| PUT | GFGV5400OC | 5,400.00 | 9.8500 | mid | 'Cotizaciones OC'!C56 + 'Cotizaciones OC'!F56 |
53.91% | 51.81% | +2.10 pp | 9.850000 | -0.00000000 | -0.096269 | 0.99817110 | scipy_boost | OK | |
| PUT | GFGV5600OC | 5,600.00 | 25.2500 | mid | 'Cotizaciones OC'!C57 + 'Cotizaciones OC'!F57 |
49.01% | 48.20% | +0.81 pp | 25.250000 | -0.00000000 | -0.059901 | 0.99547913 | scipy_boost | OK | |
| PUT | GFGV5800OC | 5,800.00 | 66.2500 | mid | 'Cotizaciones OC'!C58 + 'Cotizaciones OC'!F58 |
46.00% | 47.32% | -1.32 pp | 66.250000 | 0.00000000 | -0.024810 | 0.98854735 | scipy_boost | OK | |
| PUT | GFGV6000OC | 6,000.00 | 155.5005 | mid | 'Cotizaciones OC'!C59 + 'Cotizaciones OC'!F59 |
45.51% | 45.70% | -0.18 pp | 155.500500 | 0.00000000 | 0.009091 | 0.98291019 | scipy_boost | OK | |
| PUT | GFGV6200OC | 6,200.00 | 298.0000 | mid | 'Cotizaciones OC'!C60 + 'Cotizaciones OC'!F60 |
47.72% | 47.72% | -0.00 pp | 298.000000 | 0.00000000 | 0.041881 | 0.99251768 | scipy_boost | OK | |
| PUT | GFGV6400OC | 6,400.00 | 462.4950 | mid | 'Cotizaciones OC'!C61 + 'Cotizaciones OC'!F61 |
42.51% | 53.52% | -11.00 pp | 462.495000 | -0.00000000 | 0.073630 | 0.99841599 | scipy_boost | OK | |
| PUT | GFGV6600OC | 6,600.00 | 657.4200 | mid | 'Cotizaciones OC'!C62 + 'Cotizaciones OC'!F62 |
48.98% | 68.30% | -19.31 pp | 657.420000 | 0.00000000 | 0.104402 | 0.99918275 | scipy_boost | OK | |
| PUT | GFGV6800OC | 6,800.00 | 837.6740 | mid | 'Cotizaciones OC'!C63 + 'Cotizaciones OC'!F63 |
— | 55.62% | — | — | — | — | — | scipy_boost | INVALIDO | |
| PUT | GFGV7000OC | 7,000.00 | 1,056.1550 | mid | 'Cotizaciones OC'!C64 + 'Cotizaciones OC'!F64 |
70.18% | 99.08% | -28.90 pp | 1,056.155000 | 0.00000000 | 0.163242 | 0.99921798 | scipy_boost | OK | |
| PUT | GFGV7200OC | 7,200.00 | 1,250.0000 | mid | 'Cotizaciones OC'!C65 + 'Cotizaciones OC'!F65 |
— | 78.38% | — | — | — | — | — | scipy_boost | INVALIDO | |
| PUT | GFGV7400OC | 7,400.00 | 1,432.2495 | mid | 'Cotizaciones OC'!C66 + 'Cotizaciones OC'!F66 |
— | 121.35% | — | — | — | — | — | scipy_boost | INVALIDO | |
| PUT | GFGV7600OC | 7,600.00 | — | mid | 'Cotizaciones OC'!C67 + 'Cotizaciones OC'!F67 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV7800OC | 7,800.00 | — | mid | 'Cotizaciones OC'!C68 + 'Cotizaciones OC'!F68 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV8000OC | 8,000.00 | 2,100.0000 | last_fallback | 'Cotizaciones OC'!H69 |
179.32% | 179.33% | -0.01 pp | 2,100.000000 | 0.00000000 | 0.296773 | 0.99137896 | scipy_boost | OK | |
| PUT | GFGV8300OC | 8,300.00 | — | mid | 'Cotizaciones OC'!C70 + 'Cotizaciones OC'!F70 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV8600OC | 8,600.00 | — | mid | 'Cotizaciones OC'!C71 + 'Cotizaciones OC'!F71 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV8900OC | 8,900.00 | — | mid | 'Cotizaciones OC'!C72 + 'Cotizaciones OC'!F72 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9200OC | 9,200.00 | — | mid | 'Cotizaciones OC'!C73 + 'Cotizaciones OC'!F73 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9500OC | 9,500.00 | — | mid | 'Cotizaciones OC'!C74 + 'Cotizaciones OC'!F74 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9800OC | 9,800.00 | — | mid | 'Cotizaciones OC'!C75 + 'Cotizaciones OC'!F75 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9900OC | 9,900.00 | — | mid | 'Cotizaciones OC'!C76 + 'Cotizaciones OC'!F76 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV10300O | 10,300.00 | — | mid | 'Cotizaciones OC'!C77 + 'Cotizaciones OC'!F77 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV10700O | 10,700.00 | — | mid | 'Cotizaciones OC'!C78 + 'Cotizaciones OC'!F78 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV11100O | 11,100.00 | — | mid | 'Cotizaciones OC'!C79 + 'Cotizaciones OC'!F79 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO |