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 February 2021 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 tail strikes, and broadly in line otherwise.
Compare actual settlement options volume with variance swap formula projection.
There was one SPY option trade during this SPIKES settlement auction for a total of 10 lots.
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 was mostly 0-1c wide across the entire strike range. The SRPs were mostly within 1-2c compared to the corresponding CRP values across most 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 PUT2 strike range.
Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.
The settlement calculation includes 7 more SPY option strikes compared to the cash index calculation as implied by the CRPs.
