SPIKES®

Auction Analytics:

MARCH 2020

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
-

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 March 2020 was conducted smoothly without any issues. Settlement time was delayed to 9:45am ET by the exchange due to extreme market volatility. The settlement value was in line with the spot index values (CRP1 and CRP2).

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
-
Projection Ratio
-

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 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

Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were lower in the ATM strike range, higher in the PUT1 strike range, and inline in the far OTM strike ranges.

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

There were no SPY option trades 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 Settlement Reference Prices (SRPs) were broadly in line with the CRP values across all strike ranges.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The CRP range for the SPY options was mostly zero at this settlement. The SRPs were noticeably lower than the CRPs in the near-the-money calls, but higher in the near-the-money puts.

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 has very small variation if SRP values are substituted by CRP values across all strike ranges.

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 PUT2 and CALL strike ranges led to five additional strikes being included in the settlement calculation than the CRP values would imply.

SPIKES®

Next Auction: 21 Oct 2020 - 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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