Option prices embed information about the markets expectation of future performance of the underlying asset. The set of European option prices across strikes for a given maturity T implies a risk-neutral probability density function of the price S_T of the underlying asset at the maturity.

This project uses several years of daily SPX option chain data to extract the market-implied risk-neutral pdfs for options with 1 day maturities, 7 day maturities, and 28 day maturities.