SPIKES®

Auction Analytics:

December 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
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Interest Rate %
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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 December 2020 was conducted smoothly without any issues. The settlement value was modestly lower 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
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Net Volume
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ATM Volume
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Projection Ratio
-

Commentary

There were two SPY option trades during this SPIKES settlement. The mid-price of National Best Bids and Offers(NBBOs) were used for most of the other SPY options included in the final settlement calculation. There were strikes that required exchange override.

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 broadly in line across the strike range.

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

There were two SPY option trades during this SPIKES settlement auction for a total of 40 lots.

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, except in the 267-287 strike range where the SRPs are approximately 5c lower than the CRPs.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The CRP range was mostly 0-1c wide across the entire strike range. The SRPs were mostly within 1c compared to the corresponding CRP values across most strikes. The SRP for 267-287 strike put options were 4-6c lower than the corresponding 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 lower than the CRP1 and CRP2 values solely due to higher prices in the PUT2strike range.

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

The settlement calculation includes the same number of SPY option strikes as the cash index calculation implied by the CRPs.

SPIKES®

Next Auction: 15 Sep 2021 - 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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