The risk-based explanation of momentum asserts that the anomaly reflects compensation for systematic, priced risk. I test whether momentum exposure indeed generates return premia using ex-ante, option-implied expected returns, which sidestep the limitations of ex-post realized return proxies. Contrary to the hypothesis, momentum expected returns range from near-zero during ‘normal’ markets, to negative during and after major downturns. I show that momentum expected returns move inversely with the market risk premium, as dynamically rebalanced momentum portfolios long low-risk and short high-risk stocks when market premia are high around downturns. However, somewhat puzzlingly, the momentum premium is negative during downturns even after controlling for popular risk factors. This implies the existence of correlated, but omitted, risk factors. Overall, estimated momentum premia are inconsistent with the hypothesis of momentum as an orthogonal risk factor. Findings suggest that momentum tilts into other risk factors rather than providing a separate source of risk premia.