This study mainly discusses the information transmission effect between stock and option markets, by using Taiwan option intraday data during 2008 to 2011 February. We exchange the intraday data into every fifteen minutes, and only use the open-buy call and put positions. There are two purposes in this paper. First, when the rules of option market change, will the information between stock market and option market be different? Second, do different investors have different information between stock market and option market? To capture the variable’s real action, we use the panel data which include the cross-section and time-series. Then use F-test, LM-test, and Hausman-test to select the fit regression for the data. This paper shows that the open-buy positions are most out-off-money, because out-off-money option has low premium and high leverage. The rule of corporate hedging account makes domestic and foreign institutional investors structural changes.