We show that shocks to the first three principal components of the term structure of the option-based expected market risk premium contain significant pricing information beyond the VIX, both in the cross-section and time-series analysis. Notably, the second and third components are highly exposed to extreme characteristic-based portfolios and financial and macroeconomic uncertainty measures. A key innovation of our study is the use of supervised principal component analysis (SPCA) to optimally select test assets, individually priced risk factors, and non-tradeable state variables, effectively addressing weak factor concerns. Our findings highlight the critical role of the term structure of the expected market risk premium, challenging the conventional view of the VIX as the primary macro factor.