This paper introduces, for the first time, model-free indicators of volatility and asymmetry specifically tailored to the STOXX Europe 600 Oil & Gas index. We evaluate the short- and medium-term predictive power of Implied Volatility (VOL), Upside and Downside Corridor Implied Volatility (CIVup and CIVdown), and the Risk Asymmetry Index (RAX). Our results show that these option-implied measures contain significant information about future index returns. While over the medium-term horizon VOL, CIVup and CIVdown exhibit a strong negative relationship with returns (confirming their role as fear indicators), RAX shows a weaker but positive association in some market phases, consistent with investor optimism. In contrast, over the short- term horizon, our metrics fail to predict future returns of the STOXX Europe 600 Oil & Gas index. These findings highlight the importance of distinguishing volatility by return direction and demonstrate the relevance of asymmetry in risk perception in the European energy market, especially in the medium term, offering useful insights for both investors and policymakers.