I derive the term structure of expected market exposure for equity stocks using options data. Consistent with a downward sloping term structure, stocks with higher expected long-term exposure relative to short-term exposure earn lower expected returns. The spread portfolio generates a risk-adjusted return of up to 15.33% per annum. Evidence supports an explanation that investors care more about short-term than long-term exposure to the market volatility risk premium. This downward sloping return term structure is stronger during periods of higher market risk and risk aversion and among stocks with higher valuation risk and uncertainty. The term structure of the expected idiosyncratic risk does not have return implications.