Using Russell index reconstitution as the identification strategy, we examine how the option market quality is affected by the indexing in the stock market. Evidence from regression discontinuity design shows that the option liquidity and trading continuity, measured by the number of zero trading days, is significantly lower if the firm is at the top of Russell 2000 index, compared with a similar-sized firm that is at the bottom of Russell 1000 index. The drop in number of zero trading days in option is likely to be due to the increased trading from transient institutional investors who benchmark their performance to indexes and trade option as part of their strategies.