When investors expect a downside jump of stock market returns，they usually use the out-of-the-money ( OTM) put options to hedge the tail risk． As a result，the OTM put options contain the information of future possible stock market crash． According to the concept of lower partial moment，this paper uses the model-free method to estimate an option implied tail risk and finds that it can significantly predict the expected stock market return． After controlling for the economic variables and other option implied variables，the predictive power of our tail risk measure is still significant． Thus，our option implied tail risk measure contains additional forecasting information beyond that implicit in the alternative return predictors．