The information content of implied volatilities and MF volatility expectations: Evidence from options written on individual stocks

We investigate different models for estimating the volatility of stock options for US firms and the S&P100 index: historical stock returns, MF volatility expectations and the ATM implied volatilities. If we look at the one-day-ahead forecasts, we observe that the ATM implied volatility performs the best more often, followed by the historical forecasts. For both sample periods are the option based forecasts better than historical volatility. Looking at the option based forecasts we see that the ATM implied volatility is better than the MF volatility expectations.