Options contracts are listed on thousands of stocks with different number of contracts per each name. This paper proposes to construct four risk-targeting option portfolios to consolidate the information in all the option contracts on each stock at any given date along four risk dimensions. A cross-sectional regression identifies the market price of each risk dimension. The pricing estimates positively predict the excess returns of the corresponding option portfolio. Long-short portfolio of option portfolio construction along each risk dimension in proportion to the market price of risk estimates generates highly positive risk-adjusted excess returns across all four risk dimensions.