By using Black-Scholes Model, the article analyzes CWB1 options in order to compare its prices in theory and its actual market prices. The prices with a relative big spread are selected to see whether there is an arbitrage space. The data analyses results suggest that the trend of CWB1’s history prices is in accordance with its prices in theory. Although there is no arbitrage space, there is still some over-valuation or under-valuation phenomena. The efficient China’s option market has been improved since years ago. However, there is still some space for improvements, because the type and number of options are limited, the creation mechanism has high requirements for security companies, and there is no short sell mechanism as well.