This paper investigates the influence of the put-call-ratio (PCR) implied by the Shanghai Stock Exchange (SSE) 50 ETF option on the price discovery process of the SSE50 index, on both the spot and the futures markets. By constructing an asymmetric VARX-MGARCH model, this paper examines the relationship between the PCRs and SSE50 index (futures). Empirical results indicate an asymmetric V-shaped relationship between the PCRs and the conditional volatility of the stock index returns and the index