  We construct the term structure of the (forward-looking, US market) equity
risk premium from SPX option chains. The method is "model-light". Risk-neutral
probability densities are estimated by fitting $N$-component Gaussian mixture
models to option quotes, where $N$ is a small integer (here 4 or 5). These
densities are transformed to their real-world equivalents by exponential
tilting with a single parameter: the Coefficient of Relative Risk Aversion
$\kappa$. From history, I estimate $\kappa = 3 \pm 0.5$. From the inferred
real-world densities, the equity risk premium is readily calculated. Three term
structures serve as examples.
