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Policy makers and market participants often consider the forward-looking information in currency option valuations when making assessments about future developments in foreign exchange rates. Option implied volatilities can be used as forecasts of realized volatility and interval and density forecasts can be extracted from strangles and risk-reversals. The purpose of this paper is to assess the quality of such volatility, interval and density forecasts. We analyze option-based forecasts from a unique dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility than has been found previously in studies relying on market-traded options. We also find that wide-range interval forecasts are often misspecified whereas narrow-range interval forecasts are well specified. Finally, we find that the option-based density forecasts are rejected in general. Graphical inspection of the density forecasts suggests that while the sources of rejections vary from currency to currency misspecification of the distribution tails is a common source of error. Les dirigeants et les participants du marche examinent souvent l'information previsionnelle des options sur devises lorsqu'ils produisent des estimations quant aux developpements futurs des taux de change etrangers. Les volatilites implicites des options peuvent etre employees comme previsions de la volatilite realisee et les previsions d'intervalles et de densites peuvent etre extraites a partir de stellages (strangles) et de cylindres (risk-reversals). Le but de cet article est d'evaluer la qualite de telles previsions des volatilites, intervalles et densites. Nous analysons des previsions basees sur les options a partir d'une base de donnees unique comprenant 10 ans de donnees quotidiennes sur des prix d'options sur devises hors cote (OTC). Nous constatons que les volatilites implicites du marche hors cote expliquent une part beaucoup plus importante de la variation de la volatilite realisee que celle qui a ete mise en evidence precedemment dans les etudes basees sur des options transigees sur les marches cotes. Nous constatons egalement que les previsions d'intervalles de grande amplitude sont souvent mal specifiees tandis que des previsions d'intervalles de faible amplitude sont bien caracterisees. De plus, nous constatons que les previsions de densite basees sur les options sont en general rejetees. L'etude graphique des previsions de densite suggere que bien que les sources de rejets varient avec la devise, la specification erronee des queues de distribution est une source d'erreur commune.

The Informational Content of Over-the-Counter Currency Options