We present a theoretical model of option‐implied preferences with model uncertainty. An option‐implied risk aversion function with model uncertainty has a higher and a steeper level of risk aversion than an investor without model uncertainty. Based on the theoretical model, we try to extract empirical option‐implied risk aversion functions with S&P 500 index options. Our empirical option‐implied risk aversion with model uncertainty and option‐implied uncertainty premium show a decreasing and a smirk pattern across wealth. After subprime crisis, the shape of option‐implied risk aversion function with model uncertainty is not quite different, and both the level of option‐implied risk aversion function and the option‐implied uncertainty premium become slightly lowered. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:498–515, 2014