The article discusses how derivative prices can be used to estimate the hidden state of volatility in the market. By analyzing options data, the researchers were able to calculate implied densities on volatility, which showed stable patterns over time and reflected market uncertainty. Their approach involved a mathematical model that considers risk premiums on volatility, leading to consistent variance swap rates with the VIX index. This study suggests that the uncertainty surrounding volatility in the market can be captured and analyzed using derivative prices.