Options is an important financial instrument for electricity market participants. At present， investigation on options mainly focuses on its pricing and risk management， yet there are a few literatures to deal with its impact on electricity market efficiency and generators' strategic bidding. A two-stage game model is presented where risk averse purchasers are assumed to maximize their utility in options market and risk neutral generators compete with Cournot conjectures. Analytical formulas for market equilibrium are developed. The results show that options makes electricity market more efficient than forward contracts. With the increase of purchasers' equivalent risk evasion index and the volatility of spot price， generators' market power abuse is enhanced. In order to retain higher payoff and spot price， generators show incentives to hold high volatility of spot price.