Over medium-high heat, heat the vegetable oil in a saucepan.
Add the popcorn kernels once the oil is hot and cover. Shake the saucepan often as the kernels pop. Remove from heat once the kernels have stopped popping (approximately 4 to 5 minutes). Pour the popcorn into a large bowl and set aside.
In separate bowl, add the cayenne pepper and baking soda and mix until fully combined.
In a separate saucepan over high heat, combine the sugar, butter, sea salt, and water. Let the mix sit over high heat for 10 to 15 minutes, until it's a rich yellow color.
While waiting on the caramel, lightly coat two large spoons and two baking sheets with vegetable oil. This is to keep the caramel from sticking while preparing the popcorn.
Remove the caramel from the heat and add in the baking soda and cayenne pepper mix. Stir to combine, then pour immediately over the popcorn.
Toss the popcorn using the spoons until the caramel is dispersed, then pour the popcorn onto the baking sheets, breaking up any popcorn clusters while the caramel is still warm.
Allow the spicy caramel popcorn to cool for 10 to 15 minutes, then serve.