We provide new empirical evidence on the intertemporal risk-return relation in the aggregate stock market. Our approach estimates the expected excess market returns from index options, avoiding reliance on noisy realized returns or specifying conditioning variables. We find a positive and statistically significant relationship between the conditional mean and variance of stock returns with this evidence being consistent across different specifications of the conditional variance. The positive risk-return relation is time varying, robust to controlling for the omitted variable bias, holds for different components of the expected return, and persists to longer horizons. Our findings suggest that the measurement of the conditional mean is critical in identifying the risk return relation.