The article tests if the Index options market is efficient by using a pairs trading strategy. They look at five Stock Indexes of the Euro Area to find any mispriced options based on their implied volatilities. Despite frequent signals of potential mispricing, the pairs trading strategy does not result in significant positive returns, supporting the efficiency of the Index Option market. The time-to-maturity and market turbulence have little impact on the strategy returns, with the moneyness of the options being the main driver. The results remain consistent even with stricter criteria for reversion to equilibrium or using options prices instead of implied volatilities.