We introduce the variable implied variance asymmetry (IVA), defined as the difference between put and call option prices, and demonstrate that it is negatively correlated with future cross-sectional delta-hedged call option returns and positively correlated with future delta-hedged put option returns. The negative relationship between IVA and call option returns is driven by speculators, while the positive relationship between IVA and put option returns is linked to stock short-sellers. Furthermore, we find that stocks and put options with low IVA and high short-sale costs exhibit significantly negative excess returns, suggesting that the traders driving the overpricing of put options are more informed participants in the stock market. In contrast, high prices for call options with high IVA are driven by retail investors, who are attracted to speculative characteristics but lack information about future stock returns.