This thesis examined the changing directions of KOSPI200 Call option prices and the underlying Index that seem to be anomalies. It tested the four types of the unusual movements that are not consistent with the forecast of the Black-Scholes Option pricing model by using the KOSPI200 Call option data obtained from the Korea Stock Exchange. The focuses are made to the market micro-structure and the option pricing model with the stochastic volatility. To see the effect of the market microstructure, we compared the occurrence rate of each type with the size of the bid-ask spreads, and with the changing frequency of the bid-ask spreads. Also, the occurrence rate of each type is measured according to the level of the tick size. The result shows that the market microstructure factors explain the movements when the call option prices do not change though the underlying index changes, and when the call option prices overreact to the underlying index change. The explanation is not made to the type in which the call prices change although the underlying index does not move, because this type rarely occurs and seems to be noise. To see why some-times the call option prices decline even though the underlying index move up, and vice versa, the thetas that measure the change of time value of the option during the given time are computed. It just reveals that the decrease of call option value by time decay is meaningful only when the observation interval is as long as a day. To estimate the parameters to model the stochastic volatility process, we adopt the method suggested by Wilmott(2000). However, the option pricing model with the stochastic volatility only explains relatively small part of the call option price changes.
