SPIKES®

Auction Analytics: APRIL 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 SPIKES settlement auction for April 2019 went smoothly without any issues. The settlement value was very much 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 National Best Bids and Offers (NBBOs) were used for all (but one) 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 0.2-0.5c) in two of the strike ranges (PUT2 and CALL). The SRPs were broadly in line with the CRPs in the PUT1 and ATM ranges.

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 near-the-money CRPs (280-300 strikes) moved as much as 6 cents during the settlement process, probably due to movements in the SPY spot price. The SRPs were often 0.5c higher than the corresponding CRPs in the far-out-of-the-money puts (240-265 strikes); a few cents lower in the 265-280 range; in line with the CRPs in the 280-295 range; and up to 3 cents higher in the 295-310 range.

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 in between the two CRP values. The SRPs were slightly higher than the CRP counterparts in the PUT2 range, but slightly lower in the PUT1 range. The two effects cancelled each other out.

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 SRP values in the PUT2 range led to 2-3 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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