The purpose of this paper is to show that the growth of options open interest has predictive power for stock market returns. Predictability is demonstrated through in-sample tests, as evidenced by significant p-values and the improvement of adjusted R2 in monthly predictive regressions, and out-of-sample metrics. In addition, the stock return predictability confirms the economic significance, as shown by improving Sharpe ratios of returns from a predictor variablebased decision rule that exploit the growth of options open interest. Our empirical evidence indicates that the growth of options open interest contains additional information for future stock market returns, relative to other popular predictor variables.