In Improved High-data-rate Phase-Orthogonality Correlation-Delay-Shift-Keying (I-HPO-CDSK) modulation scheme, 3-bits information can be transmitted in parallel in the same spectral band and will not cause an intra-signal interference component. However, the transmitting power of I-HPO-CDSK is treble that of conventional chaotic modulation schemes, such as Differential-Chaos-Shift-Key (DCSK) and CDSK. By virtue of index modulation technology in Phase-Index Correlation-Delay-Shift-Keying (PI-CDSK) modulation scheme, PI-CDSK can synchronously transmit one data bit and one index bit in the same spectral band. Although the spectral efficiency of PI-CDSK is lower than that of I-HPO-CDSK, its energy efficiency is equal to DCSK and CDSK. Based on I-HPO-CDSK and PI-CDSK, we propose High-Efficiency PI-CDSK (HE-PI-CDSK) in this paper. In our scheme, 3-bits (including two index bits and one information bit) are beared in one carrier. Results show that, due to no interference and 3-bits transmitting in parallel, HPI-CDSK can acquire higher spectral efficiency and the same bit error rate performance as that of PI-CDSK. Moreover, our transmitting power is just one third of the I-HPO-CDSK.