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 October 2020 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values (CRP1 and CRP2).
There were two SPY option trades 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 across all strike ranges.
Compare actual settlement options volume with variance swap formula projection.
There were two 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.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for out-of-the-money options was at most 1c. It was up to 5c wide for the near-the-money options. The SRPs were mostly within 3c compared to the corresponding CRP values across the OTM strike ranges. The SRPs for near-the-money options were up to 11c higher than the corresponding CRPs at some of the strikes.
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 CRP1 and CRP2 values due to higher prices in the out-of-the-money put options.
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 one additional strike being included in the settlement calculation than the CRPs would imply.
