Resumen
The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility 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 implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.