KOSPI 200 Index options are useful for risk management and developing new trading strategy. In spite of low trading volume and low anticipation, KOSPI 200 Index options have great potential. I examine market efficiency on early time of KOSPI 200 Index options using the put-call-futures parity and the box spread strategy. I use intra-day prices which recorded from July to November. I assume the market is efficient. If this assumption is valid, then arbitrage profit using two risk-free strategy are not available. I find the options frequently violate the put-call-futures parity, and no-arbitrage assumption of the box spread strategy. Although Index options frequently violate the assumption, only brokerage companies can make arbitrage profit from these strategy. The results indicate that KOSPI 200 Index options market are not efficient during early 4 months and economic profit is sensitive to the level of arbitrage costs.
