We show that option risk premia shift abruptly at the start of the Covid lockdown, a period associated not only with the onset of novel financial market risks, but also with an unprecedented surge in retail trading. While our evidence is consistent with a general increase in the magnitude of option risk premia during the lockdown, the shift is far larger for options on stocks favored by retail traders. In contrast, effects related to Covid exposure or systematic risk are modest. Retail option demand is much higher for stocks more likely to attract traders with preferences for lottery-like payoffs. A factor that captures lottery preferences in options explains most of the shift in option risk premia.