This study tries to find whether the volatility skew has some information contents about index and futures return. We use Corrado and Su(1996) and Camara and Heston (2008) models to calculate the volatility skew. And then, we conduct Granger causality test to find whether there is a lead-lag relationship between the market returns and the volatility skew. As result, we found that while there is a strong bi-directional Granger causality between the volatility skew and the returns, the volatility skew Granger-cause the index return stronger than the index return does themselves, and Grangercause futures return weaker than futures return does. Also, there exists a stronger bi-directional leadlag relationship between the returns and the volatility skew when market is exceptionally bullish or bearish, or volatile. We can conjecture that while all of the market achieve a similar level of efficiency, options market is slightly more efficient than spot market, and is slightly less efficient than futures market.