{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,17]],"date-time":"2026-10-17T12:45:31Z","timestamp":1792241131790,"version":"4.4.0"},"posted":{"date-parts":[[2025]]},"group-title":"SSRN","reference-count":79,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2025,1,1]],"date-time":"2025-01-01T00:00:00Z","timestamp":1735689600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We examine whether expected stock returns translate into expected option returns as predicted by standard theory. Using machine-learning estimates of expected stock returns, we uncover a pronounced U-shaped relation between expected returns and volatility. Both high and low expected stock returns therefore coincide with elevated volatility, which increases option prices and largely offsets the expected payoff differential. We derive a model-free lower bound on expected option return spreads and show it is strongly violated in the data. As a result, equity options are an inefficient instrument for harvesting stock risk premia. A calibrated Black-Scholes model reproduces these empirical patterns.&amp;nbsp;<\/jats:p>","DOI":"10.2139\/ssrn.5275463","type":"posted-content","created":{"date-parts":[[2025,5,30]],"date-time":"2025-05-30T11:41:23Z","timestamp":1748605283000},"source":"Crossref","is-referenced-by-count":0,"title":["Betting on Stocks with Options?"],"prefix":"10.2139","author":[{"given":"Adrien","family":"d'Avernas","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian","family":"Schlag","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0002-0003-1037","authenticated-orcid":true,"given":"Tobias","family":"Sichert","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Martin","family":"Waibel","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-2955-0221","authenticated-orcid":true,"given":"Chunjie","family":"Wang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","doi-asserted-by":"crossref","first-page":"2279","DOI":"10.1111\/jofi.12181","article-title":"The joint cross 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