The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market

Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this paper addresses the informational content of option-implied volatility, skewness, and kurtosis. Implied risk-neutral distributions (RND) are derived via the original Black/Scholes model, the Gram/Charlier series expansion approach proposed by Corrado and Su [Corrado, C. J., Su, T. (1996). Skewness and kurtosis in S&P 500 index returns implied by option prices. The Journal of Financial Research 19, 175-192.], and models based on mixtures of two and three log-normal distributions. While implied volatilities are proven to be superior to historical estimates in terms of forecasting ability in the majority of cases, for instance, neither option-implied skewness nor kurtosis of the advanced models seem to contain any information on the underlyings' future realized moments.