| Summary: | 碩士 === 國立高雄科技大學 === 金融系 === 107 === There are a lot of studies about index option’s implied volatilities. In this paper, we focus on the study of implied volatilities of Taiwan stock index options by event study that based on the event day: February 6, 2018, and October 11, 2018. This paper draws the following conclusions from the implied volatility curve. We conclude：
1. When the moneyness ratio approaches to deeply in the money and deeply out of the money, the implied volatility is generally higher, showing a volatility smile phenomenon.
2. The implied volatility curve is not symmetric. The lowest point is at the point where the strike price is higher than the underlying price, indicating that the Taiwan stock index option market also performs volatility skew phenomenon.
3. The volatility skew phenomenon is more pronounced after the event indicating that the investor’s crashophobia is more serious than the previous.
4. Before the event occurs, the closer the event day, the higher the implied volatility curve will be, indicating that the investors are alert beforehand.
5. After the event occurred, the farther away from the event, the lower the implied volatility curve is and the less volatility skew the implied volatility curve performs.
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