Many aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations, as in the case of market-based implied volatilities. One can extend the market-based approach by monitoring not implied volatility extracted from a single option, but rather entire risk-neutral densities extracted from sets of options with different strike prices (Gray and Malone, 2008). This is consistent with the density forecasting perspective on risk measurement advocated by Diebold, Gunther, and Tay (1998) and several of the references therein.