Equity index options historically displayed sharply negative returns and CAPM alphas. This could reflect investor risk preferences or intermediary frictions. We document that over the past 15 years, option alphas have become indistinguishable from zero. We also introduce synthetic options, that, under some conditions, reflect risk preferences of the average equity investor, independent of option-market frictions. Synthetic options never, over the last 100 years, had negative alpha, indicating that equity investors never required high compensation for market downturns. An intermediary-based model explains the patterns in both synthetic and traded options, including the recent decline in the variance risk premium.