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 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).
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 lower in the ATM strike range, higher in the PUT1 strike range, and inline in the far OTM strike ranges.
Compare actual settlement options volume with variance swap formula projection.
There were no SPY option trades 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 across all strike ranges.
Strike by strike comparison of SRP and the corresponding CRPs.
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.
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 has very small variation if SRP values are substituted by CRP values across all 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 and CALL strike ranges led to five additional strikes being included in the settlement calculation than the CRP values would imply.
