SPIKES®

Auction Analytics: SEPTEMBER 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

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

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

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

5. SPIKES Settlement and Cash Reference Prices

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

Commentary

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

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

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

SPIKES®

Next auction - 20 November 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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