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. They compared three methods and found that corridor implied volatilities performed better than Black-Scholes implied volatility and model-free implied volatility, especially with narrow corridors. The researchers suggest a volatility index obtained by cutting the risk neutral distribution by 50%, which shows a relationship between implied volatility changes and market returns, and can help forecast future market returns.