SRP: Settlement Reference Price for each SPY option, used in final SPKCS calculation.
CRP1: Cash Reference Price (used in SPIKES index calculation) at time of SRP, (unique time for each SPY strike).
CRP2: Cash Reference Price (used in SPIKES index calculation) at settlement time, (same time for all SPY strikes).
The SPIKES settlement auction for December 2022 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values.
There was one SPY option trade during this SPIKES settlement. The mid-price of National Best Bids and Offers (NBBOs) were used for all other SPY options included in the final settlement calculation.
Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were slightly higher in the lower put strikes and slightly lower in the higher call strikes.
Compare actual settlement options volume with variance swap formula projection.
There was one SPY option trade during this SPIKES settlement auction for a total of 2 lots.
A visualisation of the settlement option prices and their equivalents in the SPIKES index calculation.
The Settlement Reference Prices (SRPs) were mostly consistent with the corresponding CRP values across the entire strike range.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for the SPY options was a few cents wide at some of the near-the-money strikes. The SRPs were a few cents higher than the corresponding CRP values at some of the lower put strike prices, and a few cents lower at some of the higher strikes.
Replace some or all of the SRPs with the CRPs in the settlement calculation and see how different the results are.
The SPKCS settlement value was slightly higher than the CRP values, due to marginally higher SRP values in the PUT strike ranges.
Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.
Marginally higher SRP values in the far-out-of-the-money strikes led to five additional strikes being included in the settlement calculation than the CRP values would imply.