Implied volatility predicts future crude oil prices with high accuracy.
The study looked at how well implied volatility from crude oil options can predict future volatility. They found that implied volatility is a good predictor of future volatility, even better than current volatility. Including risk-neutral skewness and kurtosis also improved the accuracy of predicting future volatility. This means that implied volatility can give us a good idea of how volatile crude oil prices will be in the future.