A.F. Siegel (1995) has developed a technique with which the systematicrisk of a security (beta) can be estimated without recourse to historicalcapital market data. Instead, beta is estimated implicity from the currentmarket prices of exchange options that enable the exchange of a securityagainst shares on the market index. Because this type of exchange optionsis not currently traded on the capital markets, Siegel’s technique cannotyet be used in practice. This study will show that beta can also be estimat-ed implicitly from the current market prices of plain vanilla options, basedon the capital asset pricing model. Empirical evidence on implicit betas isprovided using prices of exchange options from the European DerivativesExchange Market (EUREX) over years 2000 to 2004.