The authors thank Edmund Choong, Xiaolin Qian and Fan Yu for their research assistance. Support for this project was provided by the Nanyang Technological University (Research Fund: RCC41/2004/NBS) and the Singapore Ministry of Education Academic Research Fund Tier 1, RCC11/2005/NBS. *Correspondence author, Nanyang Technological University, Nanyang Avenue, Block S3, B1B-63, Singapore 639798, Singapore. Tel: +65-67905753, e-mail: abslow@ntu.edu.sg Received January 2008; Accepted March 2008 ■ Charlie Charoenwong is an Associate Professor in the Division of Banking at the Nanyang Technological University, Singapore. ■ Nattawut Jenwittayaroje is in the Faculty of Commerce and Accountancy at the Chulalongkorn University, Thailand. ■ Buen Sin Low is an Associate Professor in the Division of Banking and Finance at the Nanyang Technological University, Singapore. The Journal of Futures Markets, Vol. 29, No. 3, 270–295 (2009) © 2009 Wiley Periodicals, Inc. Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/fut.20351 WHO KNOWS MORE ABOUT FUTURE CURRENCY V OLATILITY? CHARLIE CHAROENWONG NATTAWUT JENWITTAYAROJE BUEN SIN LOW* We use four currency pairs from October 1, 2001 to September 29, 2006 to com- pare the predictive power of the implied volatility derived from currency option prices that are traded on the Philadelphia Stock Exchange (PHLX), Chicago Mercantile Exchange (CME), and over-the-counter market (OTC). Among the competing implied volatility forecasts, OTC-implied volatility subsumes the infor- mation content of PHLX- and CME-implied volatility. Consistent with extant studies our result also shows that the implied volatility provides more information about future volatility–regardless of whether it is from the OTC, PHLX, or CME markets–than time series based volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:270–295, 2009