This paper contributes to existing literature by extending the risk-neutral option implied measures of riskiness based on the Bali et al. (2015) to predict the future return of different market portfolio (i.e. S&P 500, NASDAQ and DJIA indices). Option implied riskiness shows a robust positively intertemporal relation to future market returns, which supports the "high-risk & high-return" hypothesis. Besides, we confirm not only a strong contemporaneous positive relation between the option implied riskiness and the option trading volume, but also an intertemporal relation between them. Furthermore, we investigate the relationship between option implied riskiness and macroeconomic factors to provide intuitive explanations. Finally, in subsample analysis, interest-rate related factors have better predictive power for future return after Lehman's bankruptcy in September 2008.