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 July 2019 went smoothly without any issues. The settlement value was very slightly higher than the spot index values (CRP1 and CRP2).
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.
Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were slightly higher (by 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.
Compare actual settlement options volume with variance swap formula projection.
No SPY options were traded during this SPIKES settlement auction.
A visualisation of the settlement option prices and their equivalents in the SPIKES index calculation.
The Settlement Reference Prices were broadly in line with the Cash Reference Prices.
Strike by strike comparison of SRP and the corresponding CRPs.
The near-the-money CRPs (280-300 strikes) moved as much as 4 cents during the settlement process, probably due to movements in the SPY spot price. The SRPs were often 0.5-1.5c higher than the corresponding CRPs in the far-out-of-the-money puts (240-270 strikes) and calls (300-320 strikes); and were in line with the CRPs otherwise.
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 two CRP values, due to higher SRP values in the PUT2 and CALL ranges.
Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.
Higher SRP values in the PUT2 and CALL ranges led to two and one additional strikes respectively being included in the settlement calculation than the CRPs would imply.