Put option prices are counter-cyclical. We build a general equilibrium model based on Duffie-Epstein preferences, a linear production function and time-varying growth rates that delivers both time-series and cross-sectional properties of relative put option prices. We directly take our general equilibrium model to structural estimation using Bayesian methodologies and conclude that the underlying economic states are counter-cyclical to prices. The model implied risk-premia estimated from put options are astronomical and are captured in the long-run risk framework, however, with short-run dynamics. Moreover, consumption growth dynamics reveal that the intertemporal elasticity of substitution is less than 1, but the theory can still deliver substitution effect out of state-dependence which delivers counter-cyclical premia necessary to match the time-series properties of put option prices.