The below data are derived from options price chains. The full methodology is explained here. In short, behavioral finance adopted welfare functions are used to identify the frontiers between the portion of the market motivated to buy a particular option, sell that option, or sit on the sidelines (i.e. do nothing). Because securities are purchased by those at the margins of the market distributions, the median investor falls within the space of investors choosing to neither buy nor sell.  By combining these frontiers for a variety of puts and calls, the overlapping sideline investor space diminishes, allowing us to pinpoint the options implied expected return and uncertainty of the median investor.