Chapter 10. Forecasting with Option Implied Information This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option implied volatilities skewness kurtosis and densities. More generally we discuss how any forecasting object that is a twice differentiable function of the future realization of the underlying risky asset price can utilize option implied information in a well defined manner. Going beyond the univariate option implied density we also consider results on option implied covariance correlation and beta forecasting as well as the use of option implied information in cross sectional forecasting of equity returns. We discuss how option implied information can be adjusted for risk premia to remove biases in forecasting regressions.