本文探討選擇權市場價格以及交易量的資訊內涵，有鑑於許多研究指出S&P 500 指數選擇權市場對於未來的S&P 500 指數提供重要的資訊。我們更進一步探討VIX 選擇權市場的價格以及交易量的資訊內涵是否與S&P 500 指數有相關，而VIX 選擇權市場所帶來的資訊內涵是否有助於我們預測未來S&P 500 指數。我們的研究結果指出:我們加入交易量考量後所建構的隱含VIX指數的確包含了對於S&P 500 指數的資訊內涵以及VIX指數所代表的S&P500 指數選擇權市場確實包含了對於S&P 500 指數未來報酬的資訊，因此確認了交易量的資訊內涵，而在兩個市場的高低交易量差異部分所造成的資訊差異，我們推測是由於投資人的避險需求而導致。 This article aims to examine the informational roles and the trading volume of options markets. Numerous studies have indicated that the S&P 500 index options market provide critical information on the future dynamics of the S&P 500 index. We therefore investigate further in this study the existence of any relationship between the trading volume of S&P 500 index options market and VIX option market and volatility of the S&P 500 index and whether this relationship, if it does exist, can provide any incremental information leading to improved S&P 500 index forecasts/predictions. Our results suggest that volume-weighted implied VIX which extracted from the VIX options market and including the information from trading volume does provide critical information on the S&P 500 index. And the S&P 500 index options market provide valuable measures with regard to the future return of the S&P 500 index. And we infer the reason for the different between the information of high trading volume and low trading volume of both the S&P 500 index options market and the VIX options market is caused by the hedge purpose of the market participants.
