This paper introduces a new approach to infer the individual stock return during market crashes from the options market, which relies on the correlation between the VIX and the prices of butterflies at different strikes. Applying it to the cross-section of S&P 500 stocks yields a strategy that hedges the market downturn while earning an annualized alpha of approximately 4%. The value-weighted aggregation produces a measure for the severity of market crashes, which is shown to be an important deter- minant of both the equity risk premium and the survey-based expectation of return.