Volatilidad Implícita (Schadner IV)
Generado: 2026-06-22 02:22:11 (UTC-3) (Scipy-Boost Backend)
GGAL Spot
$8,270.00
Control mercado: $8,270.00
Tasa de interés
16.00%
Caución/Libre riesgo
Vencimiento
61 días
21/08/2026
Auditoría
27/34 OK
2 errores · 5 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 |
| GFGC6000AG | 2,450.00 | 48.36% | 6,000 | 44.41% | 13.38 | GFGV6000AG |
| GFGC6200AG | 2,214.59 | — | 6,200 | 44.21% | 21.00 | GFGV6200AG |
| GFGC6400AG | 2,000.00 | — | 6,400 | 43.28% | 29.45 | GFGV6400AG |
| GFGC6600AG | 1,846.06 | 25.47% | 6,600 | 43.53% | 45.61 | GFGV6600AG |
| GFGC6800AG | — | — | 6,800 | 42.90% | 63.01 | GFGV6800AG |
| GFGC7000AG | 1,495.81 | 34.47% | 7,000 | 43.15% | 91.25 | GFGV7000AG |
| GFGC7200AG | 1,349.43 | 38.36% | 7,200 | 43.69% | 130.01 | GFGV7200AG |
| GFGC7400AG | 1,187.49 | 37.92% | 7,400 | 43.19% | 169.00 | GFGV7400AG |
| GFGC7600AG | 1,045.84 | 38.67% | 7,600 | 42.09% | 210.00 | GFGV7600AG |
| GFGC7800AG | 892.55 | 37.24% | 7,800 | 41.84% | 268.25 | GFGV7800AG |
| GFGC8000AG | 774.50 | 38.03% | 8,000 | 42.08% | 342.75 | GFGV8000AG |
| GFGC8300AG | 605.00 | 37.91% | 8,300 ATM | 41.93% | 468.95 | GFGV8300AG |
| GFGC8600AG | 467.95 | 38.20% | 8,600 | 40.90% | 607.50 | GFGV8600AG |
| GFGC8900AG | 353.50 | 38.26% | 8,900 | 43.07% | 812.27 | GFGV8900AG |
| GFGC9200AG | 260.55 | 38.18% | 9,200 | — | — | GFGV9200AG |
| GFGC9500AG | 192.50 | 38.48% | 9,500 | — | — | GFGV9500AG |
| GFGC9800AG | — | — | 9,800 | — | — | GFGV9800AG |
| Símbolo | Strike | Prima | IV Explícita |
|---|---|---|---|
| GFGC6000AG | 6,000 | 2,450.00 | 48.36% |
| GFGV6000AG | 6,000 | 13.38 | 44.41% |
| GFGC6200AG | 6,200 | 2,214.59 | — |
| GFGV6200AG | 6,200 | 21.00 | 44.21% |
| GFGC6400AG | 6,400 | 2,000.00 | — |
| GFGV6400AG | 6,400 | 29.45 | 43.28% |
| GFGC6600AG | 6,600 | 1,846.06 | 25.47% |
| GFGV6600AG | 6,600 | 45.61 | 43.53% |
| GFGC6800AG | 6,800 | — | — |
| GFGV6800AG | 6,800 | 63.01 | 42.90% |
| GFGC7000AG | 7,000 | 1,495.81 | 34.47% |
| GFGV7000AG | 7,000 | 91.25 | 43.15% |
| GFGC7200AG | 7,200 | 1,349.43 | 38.36% |
| GFGV7200AG | 7,200 | 130.01 | 43.69% |
| GFGC7400AG | 7,400 | 1,187.49 | 37.92% |
| GFGV7400AG | 7,400 | 169.00 | 43.19% |
| GFGC7600AG | 7,600 | 1,045.84 | 38.67% |
| GFGV7600AG | 7,600 | 210.00 | 42.09% |
| GFGC7800AG | 7,800 | 892.55 | 37.24% |
| GFGV7800AG | 7,800 | 268.25 | 41.84% |
| GFGC8000AG | 8,000 | 774.50 | 38.03% |
| GFGV8000AG | 8,000 | 342.75 | 42.08% |
| GFGC8300AG | 8,300 ATM | 605.00 | 37.91% |
| GFGV8300AG | 8,300 ATM | 468.95 | 41.93% |
| GFGC8600AG | 8,600 | 467.95 | 38.20% |
| GFGV8600AG | 8,600 | 607.50 | 40.90% |
| GFGC8900AG | 8,900 | 353.50 | 38.26% |
| GFGV8900AG | 8,900 | 812.27 | 43.07% |
| GFGC9200AG | 9,200 | 260.55 | 38.18% |
| GFGV9200AG | 9,200 | — | — |
| GFGC9500AG | 9,500 | 192.50 | 38.48% |
| GFGV9500AG | 9,500 | — | — |
| GFGC9800AG | 9,800 | — | — |
| GFGV9800AG | 9,800 | — | — |
🛡️ 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: Copia de EPGB JU-AG - Google Sheets FULL
| Dato del Modelo | Pestaña y Celda/Rango en Google Sheets |
|---|---|
| Spot en panel | 'GGAL AG'!Z3 |
| Vencimiento | 'GGAL AG'!Z7 |
| Tasa de interés | 'GGAL AG'!Z8 |
| Días al vencimiento | 'GGAL AG'!Z9 |
| Spot de control (mercado) | 'Cotizaciones AG'!H4 |
| Calls (rango origen) | 'Cotizaciones AG'!A6:T55 |
| Puts (rango origen) | 'Cotizaciones AG'!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 | GFGC6000AG | 6,000.00 | 2,450.0000 | mid | 'Cotizaciones AG'!C6 + 'Cotizaciones AG'!F6 |
48.36% | 33.52% | +14.84 pp | 2,450.000000 | 0.00000000 | -0.347615 | 0.99628743 | scipy_boost | OK | |
| CALL | GFGC6200AG | 6,200.00 | 2,214.5910 | last_fallback | 'Cotizaciones AG'!H7 |
— | 0.00% | — | — | — | — | — | scipy_boost | INVALIDO | |
| CALL | GFGC6400AG | 6,400.00 | 2,000.0000 | last_fallback | 'Cotizaciones AG'!H8 |
— | 0.00% | — | — | — | — | — | scipy_boost | INVALIDO | |
| CALL | GFGC6600AG | 6,600.00 | 1,846.0645 | mid | 'Cotizaciones AG'!C9 + 'Cotizaciones AG'!F9 |
25.47% | 53.16% | -27.70 pp | 1,846.064500 | 0.00000000 | -0.252305 | 0.99970106 | scipy_boost | OK | |
| CALL | GFGC6800AG | 6,800.00 | — | mid | 'Cotizaciones AG'!C10 + 'Cotizaciones AG'!F10 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| CALL | GFGC7000AG | 7,000.00 | 1,495.8140 | last_fallback | 'Cotizaciones AG'!H11 |
34.47% | 34.47% | +0.00 pp | 1,495.814000 | 0.00000000 | -0.193464 | 0.99396706 | scipy_boost | OK | |
| CALL | GFGC7200AG | 7,200.00 | 1,349.4310 | mid | 'Cotizaciones AG'!C12 + 'Cotizaciones AG'!F12 |
38.36% | 42.69% | -4.33 pp | 1,349.431000 | 0.00000000 | -0.165293 | 0.98723882 | scipy_boost | OK | |
| CALL | GFGC7400AG | 7,400.00 | 1,187.4950 | mid | 'Cotizaciones AG'!C13 + 'Cotizaciones AG'!F13 |
37.92% | 39.38% | -1.46 pp | 1,187.495000 | 0.00000000 | -0.137894 | 0.98303297 | scipy_boost | OK | |
| CALL | GFGC7600AG | 7,600.00 | 1,045.8435 | mid | 'Cotizaciones AG'!C14 + 'Cotizaciones AG'!F14 |
38.67% | 39.09% | -0.42 pp | 1,045.843500 | 0.00000000 | -0.111226 | 0.97630715 | scipy_boost | OK | |
| CALL | GFGC7800AG | 7,800.00 | 892.5500 | mid | 'Cotizaciones AG'!C15 + 'Cotizaciones AG'!F15 |
37.24% | 38.81% | -1.57 pp | 892.550000 | 0.00000000 | -0.085251 | 0.97145925 | scipy_boost | OK | |
| CALL | GFGC8000AG | 8,000.00 | 774.4980 | mid | 'Cotizaciones AG'!C16 + 'Cotizaciones AG'!F16 |
38.03% | 37.99% | +0.04 pp | 774.498000 | 0.00000000 | -0.059933 | 0.96232918 | scipy_boost | OK | |
| CALL | GFGC8300AG | 8,300.00 | 605.0000 | mid | 'Cotizaciones AG'!C17 + 'Cotizaciones AG'!F17 |
37.91% | 38.21% | -0.30 pp | 605.000000 | 0.00000000 | -0.023119 | 0.94852107 | scipy_boost | OK | |
| CALL | GFGC8600AG | 8,600.00 | 467.9500 | mid | 'Cotizaciones AG'!C18 + 'Cotizaciones AG'!F18 |
38.20% | 38.26% | -0.07 pp | 467.950000 | 0.00000000 | 0.012388 | 0.94341596 | scipy_boost | OK | |
| CALL | GFGC8900AG | 8,900.00 | 353.4995 | mid | 'Cotizaciones AG'!C19 + 'Cotizaciones AG'!F19 |
38.26% | 37.46% | +0.80 pp | 353.499500 | 0.00000000 | 0.046677 | 0.95725520 | scipy_boost | OK | |
| CALL | GFGC9200AG | 9,200.00 | 260.5500 | mid | 'Cotizaciones AG'!C20 + 'Cotizaciones AG'!F20 |
38.18% | 38.38% | -0.20 pp | 260.550000 | 0.00000000 | 0.079829 | 0.96849456 | scipy_boost | OK | |
| CALL | GFGC9500AG | 9,500.00 | 192.5000 | mid | 'Cotizaciones AG'!C21 + 'Cotizaciones AG'!F21 |
38.48% | 39.07% | -0.59 pp | 192.500000 | 0.00000000 | 0.111918 | 0.97672310 | scipy_boost | OK | |
| CALL | GFGC9800AG | 9,800.00 | — | mid | 'Cotizaciones AG'!C22 + 'Cotizaciones AG'!F22 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV6000AG | 6,000.00 | 13.3800 | mid | 'Cotizaciones AG'!C56 + 'Cotizaciones AG'!F56 |
44.41% | 44.89% | -0.48 pp | 13.380000 | -0.00000000 | -0.347615 | 0.99770957 | scipy_boost | OK | |
| PUT | GFGV6200AG | 6,200.00 | 21.0000 | mid | 'Cotizaciones AG'!C57 + 'Cotizaciones AG'!F57 |
44.21% | 44.60% | -0.39 pp | 21.000000 | 0.00000000 | -0.314825 | 0.99652111 | scipy_boost | OK | |
| PUT | GFGV6400AG | 6,400.00 | 29.4500 | mid | 'Cotizaciones AG'!C58 + 'Cotizaciones AG'!F58 |
43.28% | 43.14% | +0.14 pp | 29.450000 | -0.00000000 | -0.283076 | 0.99527373 | scipy_boost | OK | |
| PUT | GFGV6600AG | 6,600.00 | 45.6130 | mid | 'Cotizaciones AG'!C59 + 'Cotizaciones AG'!F59 |
43.53% | 44.29% | -0.76 pp | 45.613000 | 0.00000000 | -0.252305 | 0.99290165 | scipy_boost | OK | |
| PUT | GFGV6800AG | 6,800.00 | 63.0055 | mid | 'Cotizaciones AG'!C60 + 'Cotizaciones AG'!F60 |
42.90% | 42.53% | +0.37 pp | 63.005500 | -0.00000000 | -0.222452 | 0.99048339 | scipy_boost | OK | |
| PUT | GFGV7000AG | 7,000.00 | 91.2500 | mid | 'Cotizaciones AG'!C61 + 'Cotizaciones AG'!F61 |
43.15% | 42.97% | +0.19 pp | 91.250000 | 0.00000000 | -0.193464 | 0.98661101 | scipy_boost | OK | |
| PUT | GFGV7200AG | 7,200.00 | 130.0150 | mid | 'Cotizaciones AG'!C62 + 'Cotizaciones AG'!F62 |
43.69% | 43.57% | +0.13 pp | 130.015000 | -0.00000000 | -0.165293 | 0.98145299 | scipy_boost | OK | |
| PUT | GFGV7400AG | 7,400.00 | 169.0000 | mid | 'Cotizaciones AG'!C63 + 'Cotizaciones AG'!F63 |
43.19% | 43.51% | -0.32 pp | 169.000000 | -0.00000000 | -0.137894 | 0.97654325 | scipy_boost | OK | |
| PUT | GFGV7600AG | 7,600.00 | 210.0000 | mid | 'Cotizaciones AG'!C64 + 'Cotizaciones AG'!F64 |
42.09% | 42.09% | -0.00 pp | 210.000000 | 0.00000000 | -0.111226 | 0.97161959 | scipy_boost | OK | |
| PUT | GFGV7800AG | 7,800.00 | 268.2500 | mid | 'Cotizaciones AG'!C65 + 'Cotizaciones AG'!F65 |
41.84% | 42.43% | -0.59 pp | 268.250000 | -0.00000000 | -0.085251 | 0.96467696 | scipy_boost | OK | |
| PUT | GFGV8000AG | 8,000.00 | 342.7500 | mid | 'Cotizaciones AG'!C66 + 'Cotizaciones AG'!F66 |
42.08% | 41.85% | +0.22 pp | 342.750000 | -0.00000000 | -0.059933 | 0.95599517 | scipy_boost | OK | |
| PUT | GFGV8300AG | 8,300.00 | 468.9495 | mid | 'Cotizaciones AG'!C67 + 'Cotizaciones AG'!F67 |
41.93% | 41.93% | -0.00 pp | 468.949500 | -0.00000000 | -0.023119 | 0.94196889 | scipy_boost | OK | |
| PUT | GFGV8600AG | 8,600.00 | 607.5000 | mid | 'Cotizaciones AG'!C68 + 'Cotizaciones AG'!F68 |
40.90% | 41.09% | -0.19 pp | 607.500000 | -0.00000000 | 0.012388 | 0.93900673 | scipy_boost | OK | |
| PUT | GFGV8900AG | 8,900.00 | 812.2700 | mid | 'Cotizaciones AG'!C69 + 'Cotizaciones AG'!F69 |
43.07% | 47.70% | -4.64 pp | 812.270000 | -0.00000000 | 0.046677 | 0.94956470 | scipy_boost | OK | |
| PUT | GFGV9200AG | 9,200.00 | — | mid | 'Cotizaciones AG'!C70 + 'Cotizaciones AG'!F70 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9500AG | 9,500.00 | — | mid | 'Cotizaciones AG'!C71 + 'Cotizaciones AG'!F71 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO | |
| PUT | GFGV9800AG | 9,800.00 | — | mid | 'Cotizaciones AG'!C72 + 'Cotizaciones AG'!F72 |
— | — | — | — | — | — | — | scipy_boost | SIN_PRECIO |