How does macroeconomic uncertainty affect the pricing of derivatives for an underlying asset? To address this question, we extend the Heterogeneous Autoregressive Gamma (HARG) model with a Mixed Data Sampling (MIDAS) filter, allowing macroeconomic uncertainty to influence equity volatility movements and shape the pricing kernel. Our proposed model outperforms the benchmark HARG model in terms of improving the fit for option pricing and implied volatility across different maturity and moneyness conditions. More importantly, our model highlights the significance of macroeconomic uncertainty in explaining the steepness of the implied volatility smirk and its term structure, especially for out-of-the-money (OTM) puts with longer maturities. Furthermore, we demonstrate the directional influence of macroeconomic uncertainty shocks on the implied volatility smirk, and subsequently on asset returns by using a Vector Autoregressive (VAR) model.