Load serving entities（LSEs） are faced with the trade-off between benefit and risk when they purchase energy from several submarkets under electricity market environment. In terms of a new risk index based on conditional value at risk（CVaR） as the measuring index for market risk， a purchasing model based on portfolio theory is presented， in which the object function is to minimize the portfolio loss among day-ahead market， forward contract market and options market. The focus is put on the effects of options market trade on purchasing portfolio. Examples illustrate that options can effectively lower purchasing portfolio loss， and the price and strike price of options have explicit effect on the portfolio allocation， while the validity and rationality of the model are also demonstrated.