This study examines the information implied in options with short and long maturities. In the analysis using the forward moments, we find that long-term option investors, on average, seem to underestimate the third moment relative to short-term option investors, and this becomes severe when the market variance is large. We find that the third moment underestimation of long-term option investors is economically meaningful using Corrado and Su's model and a trading strategy exploiting the relative underestimated skewness in long-term options. The abnormal return of the strategy is around 7% per year after controlling systematic risks. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:722-744, 201