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 September 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 the 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 slightly higher in the PUT1 strike range, and mostly in line otherwise.
Compare actual settlement options volume with variance swap formula projection.
There was one single 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.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for out-of-the-money options was at most 1c, with a few much higher exceptions in strikes below 250 due to zero CRP1 values. It was up to 5c wide 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 puts were 4-6c higher than the corresponding CRPs.
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 CRP1 but essentially the same as the CRP2 value.
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 range led to two additional strikes being included in the settlement calculation than the CRPs would imply. Consecutive zero value in downside strikes within the PUT2 range led to significantly smaller number of options being included in the CRP1 calculation.