We establish the existence of liquidity risk premium in option returns via sorting analyses and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to liquidity risk ranges from 8.5 to 14.6 basis points per month. In hedged returns unadjusted for leverage, the alpha ranges from 165.9 to 185.1 basis points per month. Compared with the option bid-ask spread, the premium is small in magnitude. In contrast to the findings for stocks and bonds, the liquidity risk premium uncovered in option returns is negative. We explain the negative premium by noting that option end-users write options in net and they might care more about liquidity risk than market makers.