This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all...

The reported analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility...