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).
Compare actual settlement options volume with variance swap formula projection.
A visualisation of the settlement option prices and their equivalents in the SPIKES index calculation.
Strike by strike comparison of SRP and the corresponding CRPs.
Replace some or all of the SRPs with the CRPs in the settlement calculation and see how different the results are.
Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.