In the context of the Spanish IBEX-35 Index Futures Option Market, this work analyses the out-of-sample performance of the model proposed by Corrado and Su (1996, 1997a, 1997b), which accounts for non-normal skewness and kurtosis. We employ an extensive database of intra-day transaction prices for call and put options transacted between 16:00 and 16:45 from January 1994 to October 1998. The empirical results indicate that the out-of-sample predictive performance of the Corrado and Su model is better than that of Black-Scholes (1973), although the hedging performance of the Corrado and Su model is worse. Finally, the implied volatility of Corrado and Su contains information about future IBEX-35 volatility. However, implied skewness and kurtosis do not seem to contain information about future IBEX-35 skewness and kurtosis, respectively.

Key words: option pricing models, black-Scholes, Gram-Charlier series expansions, skewness and kurtosis, out of sample pricing errors.
JEL classification: G12, G13.