Did James and Lily know about the prophecy?

[Krystol Berry]

No: HPFGUIDX 86575

Forgive me if this has been asked before...I couldn't find any mention of it
in the archives.

I know James and Lily went into hiding presumably because they knew LV was
after them.  But did they know about the prophecy and realize the danger
Harry was in as well?  Or did they think their family was in danger because
they had "thrice defied him"?

:)
Pixieberry