The economy is in a transition process to a low-carbon state. The risk that arises for stock prices due to the uncertainty about the progression of the transition process is referred to as transition risk. Option contracts can be used to hedge equity risks and hence, option prices contain information about the perception and pricing of risks induced by the transition process. Using a measure of transition risk at the individual firm level, the carbon beta developed by Görgen et al. (2020), we analyse delta-hedged returns and measures derived from option prices to examine the relationship between a firm's transition risk and option hedging costs. In contrast to the previous literature, we find a symmetric relationship for brown and green firms, implying that only the absolute value of a firm's exposure to the transition process, and not its sign, is relevant for the expensiveness of options. The increase in expensiveness is caused by several reasons, including higher physical volatilities as well as an increased anticipation of volatility risks for firms with a high absolute value of the carbon beta. We also study anticipated downside tail risks and find evidence that green firms with a negative carbon beta are exposed to higher risks of large value drops than brown firms.