Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.

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The forward‐looking nature of option market data allows one to derive economically based and model‐free risk measures. This article proposes an extensive analysis of the performances of option‐implied value at risk and conditional value at risk and compares them with classical risk measures for the S&P 500 index. Delivering good results both at short and long time horizons, the proposed option‐implied risk metrics emerge as a convenient alternative to the existing risk measures.