The paper extracts the implied volatility skew and the risk-neutral skewness from the S＆P500 index option data and uses the logistic model to explore whether the volatility skew and the risk-neutral skewness are good estimators of future tail risk. The results show that both contain some information about future tail risk but cannot predict it accurately. Instead, the volatility skew and the risk-neutral skewness are both significantly correlated with investor sentiments.