This paper puts forward the concept of bull market risk, i.e., time variation in the probability of future bull market state, and explores whether it is priced. Exploiting the fact that the price of the bull spread portfolio in option market reflects investors’ ex-ante expectation about risk-neutral probability of future bull market state, we use its short-term return to measure bull market risk. This measurement belongs to the implied information method, which is more in line with the ex-ante attributes of risk and can avoid the peso problem existing in the historical method. Based on China’s stock and option market (50ETF option) data, we find that bull market risk can’t be explained by traditional factor models. What’s more, individual stock’s exposure to the bull market risk, i.e., bull beta, has a significantly and robustly positive relation with its future return, which means that bull market risk is priced in the cross-section.