Abstract:In the Swap contract framework, the paper adopts the model-free method to extract the variance risk price and skewness risk price, and analyzes the time series characteristics, term structure, pricing and information content of implied risk prices. It uses S&P500 index options to find that: First, the variance risk price is significantly negative while the skewness risk price is positive and the conclusions hold in multiple contract maturities; Second, the variance risk price and skewness risk price have different level factors and convexities but common slope factors; Third, the variance risk price and skewness risk price cannot be explained by the size factor (SMB), book-value or market value ratio (HML). Momentum factor or macro factors, while the market excess return has a partial explanatory ability, and implied risk price can be priced in the cross-sectional difference of stock returns significantly; Forth, implied variance and implied skewness can predict both realized variance and skewness instead of unbiased expectation; Fifth, the correlation coefficient between the variance risk price and skewness risk price is - 0. 86, implying the influence of common risk-driven factor; Sixth, with reference to the theoretical deduction of Bakshi & Madan (2006) , the paper estimates the risk aversion coefficient to be about 4 ~ 6, as might be useful for related future research on risk attitudes.