This paper studies how non-monotonicities and VIX-dependence of the stochastic discount factor affect the option-based physical distribution of stock market returns and the accuracy of risk-neutral bounds for expected returns. I show that monotonic and non-monotonic pricing kernels generate similar option-based physical distributions of returns. However, when non-monotonicities are combined with VIX-dependent risk aversion in the discount factor, the resulting physical densities are very different. Similarly, option-based expected returns from both monotonic and non-monotonic fixed-parameter pricing kernels are aligned with the variance-based risk-neutral bounds. Yet, when the parameters of the pricing kernel depend on the VIX, the resulting option-based expected returns largely deviate from the risk-neutral bounds.