SPIKES®

Auction Analytics: MAY 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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CRP1 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 May 2019 went smoothly without any issues. The settlement value was slightly higher than the spot index values (CRP1 and CRP2). The settlement process ran for over 2 minutes due to one SPY call strike not having a tight enough NBBO bid-ask spread. During this time the SPY ETF had rallied by ~30 cents.

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 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

The Cash Reference Price (CRP) of near-the-money SPY options experienced considerable change in value as the underlying SPY spot price moved higher during the two-and-a-half-minute settlement period. Relative to the CRPs used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were slightly higher (by 0.5-1c) across all strike 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 SRPs were broadly in line with the CRP1 values. Almost all of them were snapped shortly after 9:30am. They are considerably different to the CRP2 values, which lagged by some two and a half minutes.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The near-the-money CRPs (260-295 strikes) moved as much as 15 cents during the settlement process, 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 (230-260 strikes); a few cents higher in the 260-285 range; slightly lower than the CRPs in the 285-300 range; and 0.5 cents higher in the 305-310 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 slightly higher than the CRP values. It is higher than CRP1 due to slightly higher SRP values across all strike ranges. CRP2 is less relevant here as it occurred two and a half minutes after all but one SRP and CRP1 values were determined. During this time the SPY ETF had moved up, as a result a lower CRP2 value was expected.

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 CALL and PUT2 ranges led to 1-2 additional strikes on either side 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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