A number of studies have investigated the performance of common stocks recommended in The Value Line Investment Survey. Little attention, however, has been given to the performance of call options recommended in Value Line Options. This study has two major purposes. The first is to determine whether an investor acting on Value Line’s call purchase recommendations and following Value Line’s prescribed strategy earns abnormal returns, and if so, to identify the portion of the abnormal return that is associated with purchasing calls that are undervalued relative to the prevailing stock price and the portion that is due to the undervaluation of the underlying stock. The second major purpose is to determine whether there is a correlation between Value Line’s option and stock rankings and returns performance. Underlying both of these purposes is a test of the superiority of Value Line’s estimates of future stock price variance relative to volatilities implied by prevailing market stock and call option prices. The results indicate that abnormal returns are earned by following the prescribed strategy but that abnormal returns are eliminated after consideration of transactions costs. There is, however, a strong and persistent correlation between option rankings and returns performance. In general, the results are consistent with the relative superiority of Value Line’s estimates of future stock price variance. / Ph. D.