We analyze thirty billion NASDAQ order book messages for four exchange-traded funds to delineate how the market responds to a VIX impulse. We find that investors actively sell equities and buy government bonds on largely unchanged liquidity. Deeper analysis shows that this result is entirely driven by investors becoming more averse to risk. In other words, the pattern we find for VIX impulses is entirely driven by changes in the variance risk premium. For VIX impulses driven by changes in cash-flow risk, we find active \emph{buying} of equities on worse liquidity. We rationalize these patterns by essentially adding risk shocks to Grossman and Stiglitz, 1980.