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 April 2020 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values (CRP1 and CRP2).
There was one SPY option trade during this SPIKES settlement. The mid-price of National Best Bids and Offers (NBBOs) were used for all other 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 modestly higher across all strike ranges.
Compare actual settlement options volume with variance swap formula projection.
There was one SPY option trade 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 modestly higher than the CRP values across all strike ranges.
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 would be modestly lower if the SRP values were substituted by CRP values across all strike ranges, but especially strikes in the PUT2 range.
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 CALL strike ranges led to 9 additional strikes being included in the settlement calculation than the CRP values would imply.