We empirically test if the findings in Ardia et al. (2023)-that low-greenhouse-gas-emitting firms outperform high-greenhouse-gas-emitting firms when climate change concerns increase unexpectedly-extend to option-implied stock returns using daily options data of U.S. companies from January 2010 to June 2018. We find option-implied returns exhibit a weaker relationship with unexpected increases in climate change concerns than realized returns, and this relationship is only significant for climate-change themes related to the transition risk.