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 June 2020 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values.
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 across the PUT2, ATM and CALL 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 0c at this settlement (i.e. CRP1 = CRP2). The SRPs were often 1c higher than the CRP values across the OTM strike ranges; and as much as >10c higher near the money.
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 CRP values, due to higher SRP values in the PUT2 and ATM striker anges.
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 four additional strikes being included in the settlement calculation than the CRP values would imply.