This study uses a state-preference pricing approach to develop a state-price volatility index (SVX), as a forecast for market future realised volatility. We show that SVX is a more efficient forecaster than CBOE VIX for 30-day realised volatility of SPX returns, using both in-the-sample and out-of-the-sample tests. This result is robust to different measures of realised market volatilities. We also show that SVX provides a better volatility forecast than other alternative measures, including the at-the-money implied volatilities and GARCH (1, 1) volatility. Our results provide a foundation for forecasting higher risk-neutral moments using the same state prices.