After a lively debate on whether there were not too much trading on the Korean derivatives market and whether, as a result, this market shoud be taxed, the Korean government decided to introduce, in 2016, a capital gains tax on Kospi 200 futures and options. The stated goals were both to securize tax revenue and to restricte speculative demand by private investors. This tax is somewhat unique, not only because it concerns derivatives, but in the sense that it is not based on transactions (like the Tobin tax, the UK stamp duty, the French or Italian financial transaction taxes, etc.), but on capital gains. This article aims to assess the impact of the Korean tax on the liquidity and the volatility of the Korean derivatives market. We apply Difference-in-Differences (DiD) analysis over the period August 2015-August 2016 using the mini-Kospi 200, which is not taxed, as a control. The introduction of the capital gains tax reduced market activity (the value and volume of transactions), however, it had no significant effect on the bid-ask spread and other measures of liquidity. A closer look at the activities of the different types of traders shows a shift in trading activity from individual to institutional traders and from the Kospi 200 to the mini-Kospi 200 derivatives.