Abstract: The Puzzle of Index Option Returns Get access George M. Constantinides, George M. Constantinides University of Chicago and NBER Search for other works by this author on: Oxford Academic Google Scholar Jens Carsten Jackwerth, Jens Carsten Jackwerth University of Konstanz Search for other works by this author on: Oxford Academic Google Scholar Alexi Savov Alexi Savov New York University Search for other works by this author on: Oxford Academic Google Scholar The Review of Asset Pricing Studies, Volume 3, Issue 2, December 2013, Pages 229–257, https://doi.org/10.1093/rapstu/rat004 Published: 25 May 2013