The article aims to create a new volatility index for the Italian stock market by analyzing different ways to extract volatility information from option prices. The researchers compared three types of volatility forecasts and found that corridor implied volatilities performed better than Black-Scholes implied volatility and model-free implied volatility, especially with narrow corridors. They developed a volatility index by cutting the risk neutral distribution by 50% and showed that it can help predict future market returns based on changes in implied volatility.