Equity index options with less than one month to maturity have surged in popularity over the past two decades, particularly for the very shortest maturities. S&P 500 (SPX) options with fewer than 10 days to maturity represented 17% of all SPX option trading volume in 1996 as compared to around 70% today. Despite this popularity, research on such short maturities remains limited. In this paper, I examine deleveraged daily returns to short maturity contracts written on three major U.S. indices: S&P 500, Nasdaq 100, and Russell 2000. I estimate Instrumental Principal Components Analysis factor models and find evidence for a low-dimensional factor structure that explains over 95% of the variation in the cross-section of option returns. I apply two complementary approaches to interpret the latent factors and conclude they primarily provide compensation for exposure to the forward-looking higher-order moments of these indices, namely risk-neutral variance and skewness. Based on this interpretation, I propose a tradable factor model which outperforms previously proposed models from the literature and industry practice. Using this factor model, I quantify the contributions to the expected return for options with various levels of moneyness, maturity, and type (call/put) from exposure to the underlying index, variance, and skewness. I document substantial contributions to the expected return from exposure to these higher-order moments, with significant variation across moneyness, maturity and type.