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 January2021 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 within the PUT1 and PUT2 strike ranges, and slightly lower within the CALL strike range.
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 up to 4c wide at the near-the-money strikes and no more than 1c at the out-of-the-money strikes. The SRPs were often a few cents different from the CRP values across the strike range. Sometimes higher, sometimes lower.
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 marginally higher SRP values in the PUT2strike range.
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 far-out-of-the-money strikes led to two additional strikes, one from each tail end, being included in the settlement calculation than the CRP values would imply.