Whether risk aversion is time varying and countercyclical is central to modern asset pricing, yet evidence remains limited and is based mainly on experimental, survey, or aggregate stock market data. We provide individual-level evidence from 10 million Chinese auto insurance contracts from 2011 to 2017, estimating policyholders’ risk aversion from deductible choices. We find that risk aversion is time varying and countercyclical. The estimates are negatively related to lottery and stock trading, positively related to insurance sales and bond trading, and vary with psychological factors, including seasonal mood, “zodiac year,” and calendar events.