The term Knightian uncertainty is well known in the economics literature and is also referred to today as ambiguity. I conduct a study to measure the investor-perceived ambiguity of the stock market. More specifically, I construct a forward looking ambiguity index based on option-implied volatilities extracted from European index options. As the option-implied volatilities across strike prices each represent a different estimate of the future realized volatility, I can take the standard deviation across these values to represent the ambiguity over stock market returns. Using options data on the EURO STOXX 50, I show that my constructed ambiguity index is valid through comparison with other famous ambiguity indices. I also include the ambiguity index in the decomposition of the equity premium into risk and ambiguity components, showing that the ambiguity attitude of the aggregate investor is contingent on the average daily probability of favorable returns.