This paper evaluates the performance of various measures of model‐free implied volatility in predicting returns and realized volatility. The critical role of the out‐of‐the money call options is highlighted through an investigation of the relevance of different components of the model‐free implied volatility. The Monte Carlo simulations show that: first, volatility forecasting performance of various measures can be enhanced by employing an interpolation‐extrapolation technique; second, for most measures considered, gains in their predictive power for future returns can be obtained by implementing an interpolation procedure. An empirical application using SPX options recorded from 2003 to 2013 further illustrates these claims.