SPIKES®

Auction Analytics:

May 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
-
Interest Rate %
-
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

The SPIKES settlement auction for May 2020 was conducted smoothly without any issues. The settlement value was slightly higher than 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
-
Net Volume
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ATM Volume
-
Projection Ratio
-

Commentary

There was one SPY option trade during this SPIKES settlement. The mid-price of National Best Bids and Offers (NBBOs) were used for all the other 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 slightly higher in the ATM and PUT1 strike ranges, and slightly lower in the CALL strike range.

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

There was one single SPY option trade 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.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The CRP range for out-of-the-money options was at most 1c; it was wider for the near-the-money options. The SRPs were mostly within 2c compared to the corresponding CRP values across the OTM strike ranges.The SRPs for near-the-money options were higher than the CRPs.

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 was slightly higher than the two CRP values, due to slightly higher SRP values across the ATM, PUT1 and PUT2 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 strike range led to one additional strike being included in the settlement calculation than the CRPs 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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