本文參考CBOE計算VXO的模式，以台股選擇權的隱含波動度建構台灣市場的波動度指標。研究發現台灣市場買權與賣權的隱含波動度差異頗大，且具有不同的資訊內涵，其中賣權的隱含波動度與指數報酬率的相關性較大，對指數變化的敏感度也較高，是較能反映台灣市場風險的波動度指標。本文所建立的賣權波動度指標IVP與同期的指數報酬率呈現顯著的負相關，顯示其具備反映市場恐慌情緒的能力。分量迴歸的結果顯示，當賣權波動度指標出現極端高值時，短期（1-2日）內台股現貨市場會發生追賣的動能交易，但自第5個交易日起則出現反向操作交易。將上述資訊內涵應用於擇時交易策略，其績效表現在本文研究期間內超越買進持有的基本策略。

This article proposes a procedure to build up the volatility index for the Taiwan stock markets. Our approach resembles the CBOE's VXO which weights the implied volatilities of various index options, however, separating the put implied volatility and the call implied volatility. Evidence shows that the put implied volatility is more closely linked to the spot index and is more sensitive to the change of spot index than the call volatility. The volatility index using only put options (IVP) exhibits negative correlation to the spot index return, reflecting the market sentiment of fear. We find that the extremely high IVP is often followed by momentum trading (selling) in day 1 and day 2, and subsequent contrarian trading (buying) from day 5 to day 9. A market timing strategy based on the information contents of put volatility index outperforms the buy-and-hold strategy. Results suggest that the weighted put implied volatility is an appropriate sentiment measure of Taiwan spot market.