This paper aims to analyze the possibility of carrying out volatility arbitrage operations with Brazilian stock options. Using the model proposed by Molero and Mello (2018) to calculate the concavity slope of the volatility smile of the purchase options of the four most liquid shares on the Brazilian Stock Exchange (B3), 26 opportunities for volatility arbitrage of the options of the shares were found, over the period from September 1 to November 30, 2020. The analysis of the results of these operations indicated that, as expected, the operations carried out when the concavity of the volatility smile reached the limit from 2,0 standard deviations from the mean, the majority of the operations were successful, while the losers presented little significant loss, a combination that resulted in a non-trivial profit. The positive results were not repeated when operations were tested on days with coefficients closer to the series mean. The result reinforced the well-known argument of thick tails, which defines that the farther from the mean the parameter is, the more difficult it will be to predict its movements and to price it correctly, which will open opportunities for profit-making arbitrage operations.