This study investigated the return rates of the TAIEX option contracts with 8 or fewer remaining days, called the shortest-term TAIEX options. Daily transaction data from January 2013 to December 2014 were used to explore the return rates of the buy-and-hold strategy for the shortest-term TAIEX options. The empirical results revealed that the average return rates were significantly negative. Moreover, the average return rates of the deep in-the-money, in-the-money, and at-the-money options increased as the expiration date approached. By contrast, the average return rates of the deep out-of-the-money and out-of-the-money options decreased as the expiration date approached. The average return rates of the weekly options and the monthly options differed significantly. Specifically, the return rates of the weekly call options were greater than those of the monthly call options. By contrast, the return rates of the weekly put options were lower than those of the monthly put options. This phenomenon resulted from the tendency of the TAIEX to plunge as the monthly options are going to expire.