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 November 2019 was conducted smoothly without any issues. The settlement value was 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 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 1 to 2c) in the ATM, PUT1 and PUT2 strike 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 (SRPs) were broadly in line with the CRP values.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for all but one strike is 0c (i.e. CRP1 = CRP2). The SRPs were 0.5-1.5c higher than the corresponding CRP values in the PUT1 and PUT2 strike ranges; up to 4c higher than the CRPs in the ATM range; and in line in the CALL range.
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 slightly higher SRP values across the ATM, PUT1 and PUT2 strike 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 strike rangeled to three additional strikes being included in the settlement calculation than the CRPs would imply.