We propose a new investor sentiment index by estimating the differences in variance,skewness, and kurtosis from realized stock returns and option implied moments. We show that our index cannot be explained by risk factors such as market risk, firm size, value, or profitability. Furthermore, we present evidence that this correlation can be exploited for momentum strategies, which perform significantly better during high-stimulation periods. In fact, our methodology can be extended to a daily sentiment measure and stock-specific sentiment indices.