This paper studies the distribution of air quality benefits from the EPA's NOx Budget Program, a seasonal cap-and-trade market for nitrogen oxides (NOx) emissions. We use electricity generating unit-level data together with a triple difference estimator, a new empirical method to estimate heterogeneous treatment effects, and an air pollution transport model to estimate the market's impacts on ambient concentration of fine particulate matter. We find that the market improved equity outcomes by reducing the Black-white disparity in electricity sector air pollution. Replacing the market with a counterfactual policy where all coal units reduce their emissions by the same percentage leads to higher PM2.5 concentrations and worse equity outcomes compared to the market based policy.