The article explores expected returns of options based on mainstream asset pricing theory. Call options tend to have higher expected returns than their underlying stocks, increasing with strike prices. Put options, on the other hand, have lower expected returns below the risk-free rate, also increasing with strike prices. S&P 500 and 100 index options show these patterns consistently. Option betas play a role in determining expected returns, with risk premia close to market returns. However, zero-beta straddle positions tend to lose money, suggesting factors like systematic stochastic volatility impact option returns.