Toss together popcorn and pecans in a large bowl. In a small bowl, whisk together the baking soda and cayenne pepper; set aside.

In a large saucepan, combine the sugar, butter, corn syrup, salt, and water. Cook over medium-high heat, without stirring, until the mixture is a light amber color, about 8-10 minutes.

Remove from the heat and carefully whisk in the baking soda mixture and vanilla (the mixture will bubble up). Pour the caramel over the popcorn and toss until all of the popcorn is evenly coated with the caramel.

Pour the popcorn onto a large, parchment lined baking sheet and carefully separate it into pieces while still warm. Cool to room temperature before serving.