We provide the first analysis of firms' exposure to market expectations of future weather volatility. Using option contracts on temperature indices, we estimate the weather option implied volatility (WIVOL) and document it captures risks of future temperature oscillations, increasing with climate uncertainty about physical events and regulatory policies. Local weather risk shocks worsen operating performance and increase uncertainty about fundamentals, indicating incomplete hedging. The magnitude of these effects suggests that, while managers acknowledge weather risk, they seem to blame it on the weather rather than implementing risk management policies. In asset prices, firms with more negative return exposure to WIVOL trade at a discount and earn higher future returns, consistent with a compensation for weather volatility risk. Only exposures to local, not foreign, WIVOL predict returns, revealing a local channel for pricing uncertainty shocks.