SPIKES®

Auction Analytics: MARCH 2019

SPIKES - Settlement Details

Download ALL SETTLEMENT DATA

1. SPIKES Settlement - Calculation Summary

Settlement Date
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SPKCS Value
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Settlement Time
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SPY Spot Price
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SPY Expiration
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Interest Rate %
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Vega Traded
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CPR1 Value
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CRP2 Value
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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).

Commentary

The first SPIKES settlement auction went smoothly without any issues in March 2019. The settlement value was broadly in line with the spot index values (CRP1 and CRP2).

2. SPIKES Settlement - SPY Options Summary

SPY Strikes
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SPY Calls
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SPY Puts
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Total Volume
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Call Volume
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Put Volume
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Net Volume
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ATM Volume
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Projection Ratio
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Commentary

There were no SPY option trades during this SPIKES settlement. The mid-price of the National Best Bids and Offers (NBBOs) were used for all the SPY options included in the final settlement calculation.

3. SPY Options Volume & Price Analysis by Strike Range

Number of Strikes

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Volume per Strike

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Rel. to Prior Day's Vol.

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Rel. to Open Interest

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Median CRP Range

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Median SRP Position

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Projection Ratio

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Commentary

Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were slightly higher (by 0.5c) across 3 of the 4 strike ranges (PUT 2, ATM and CALL). The SRPs were broadly the same as the CRPs in the PUT 1 range.

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

No SPY options were traded during this SPIKES settlement auction.

5. SPIKES Settlement and Cash Reference Prices

A visualisation of the settlement option prices and their equivalents in the SPIKES index calculation.

Commentary

The Settlement Reference Prices were broadly in line with the Cash Reference Prices.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The SRPs were often 0.5c higher than the corresponding CRPs.

7. Alternative Settlement Values

Replace some or all of the SRPs with the CRPs in the settlement calculation and see how different the results are.

Commentary

The SPKCS settlement value was higher than the CRP values by 0.05-0.06. These were mainly due to higher SRP values inthe PUT 2 range. Higher SRP values in the ATM range also made a contribution to the difference.

8. Alternative # SPY Options

Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.

Commentary

Higher SRPs in the PUT 2 range led to 3 additional strikes being included in the settlement calculation than the CRPs would imply.

SPIKES®

Next auction - 16 October 2019 - 9:30am EST

SPIKES® Volatility Index

SPIKES Prev. Close
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SPIKES 52wk High
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SPIKES 52wk Low
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SPY Close
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SPY Change
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