Settlement Date

SPKCS Value

Settlement Time

SPY Spot Price

SPY Expiration

Interest Rate %

Vega Traded

CRP1 Value

CRP2 Value

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).

SPY Strikes

SPY Calls

SPY Puts

Total Volume

Call Volume

Put Volume

Net Volume

ATM Volume

Projection Ratio

Number of Strikes

Volume per Strike

Rel. to Prior Day's Vol.

Rel. to Open Interest

Median CRP Range

Median SRP Position

Projection Ratio

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.

SPIKES Prev. Close

SPIKES 52wk High

SPIKES 52wk Low

SPY Close

SPY Change