To differentiate between the effects of volatility trading and direction trading on an option market, this study decomposes net buying pressure of options into volatility‐motivated demand and direction‐motivated demand and examines their information content accordingly. With the two proposed measures, we find that changes in implied volatility of TAIEX OTM put options are driven by both volatility trading and directional trading over the sample period before the onset of the 2011 U.S. debt‐ceiling crisis, though the volatility trading effect is less than the directional trading effect. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:238–259, 2017