This paper investigates which risk premium plays a key role in explaining index option returns. We find that variance risk premium is necessary to explain the option returns by (i) using discrete-time option pricing models which can reflect variance risk premium properly even for short-term, in order to overcome the limitation of continuous-time stochastic volatility models, and (ii) examining various types of index option returns that provide more definite analysis on the impact of risk premiums on the option returns. Variance risk premium can explain the 1-month holding period returns of 2-month maturity straddles which are significantly negative as well as the call returns which are decreasing with moneyness and negative for outof- the-money. On the contrary, jump risk premium that previous studies emphasize for option returns cannot account for the two observed facts. These results come from the ability of risk premiums to capture the wedge between the physical and riskneutral volatilities which substantially determines option returns.