Data

VIX (http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data)
Investor Intelligence Sentiment Data
S&P 500 index

Plan

To start:
  1. Calculate correlations between the differences in IV estimated from  deep-out-of-the money and out-of-the money  puts and calls on sentiment. Do not worry about at-the-money or in-the-money options.
  2. The same for change in sentiment
  3. Regression