We address the information content of European option prices about volatility in terms of the Fisher information matrix. We assume that observed option prices are centred on the theoretical price provided by Heston's model disturbed by additive Gaussian noise. We fit the likelihood function on the components of the VIX, i.e., near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid, and compute their Fisher information matrices from the Greeks in the Heston model. We find that option prices allow reliable estimates of volatility with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value, inferences from option prices become impossible because Vega, the derivative of a European option w.r.t. volatility, nearly vanishes.
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