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Using option portfolios, we estimate nonparametrically spot volatility under weak assumptions for the underlying asset. This volatility estimator complements existing ones constructed from high\u2010frequency returns. We show empirically, using the market index and Dow 30 stocks, that combining optimally return and option data can lead to nontrivial gains for volatility forecasting. These gains are due to \u201cdiversification\u201d of the measurement error in the two volatility proxies. The information content of short\u2010dated options, not spanned by the current spot volatility, is of limited relevance for volatility forecasting.<\/jats:p>","DOI":"10.1002\/jae.2864","type":"journal-article","created":{"date-parts":[[2021,7,28]],"date-time":"2021-07-28T03:03:35Z","timestamp":1627441415000},"page":"368-391","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["Information gains from using short\u2010dated options for measuring and forecasting volatility"],"prefix":"10.1002","volume":"37","author":[{"given":"Viktor","family":"Todorov","sequence":"first","affiliation":[{"name":"Kellogg School of Management Northwestern University  Evanston Illinois USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yang","family":"Zhang","sequence":"additional","affiliation":[{"name":"Kellogg School of Management Northwestern University  Evanston Illinois USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,8,25]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.06.005"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12486"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1112\/jlms\/s1-13.1.62"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.007"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01695.x"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00141-5"},{"key":"e_1_2_9_19_1","doi-asserted-by":"crossref","unstructured":"Bondarenko O. &Muravyev D.(2020).Market return around the clock: A puzzle. 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