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 March 2021 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 across the entire 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 a few cents higher than the corresponding CRP values at some of the near-the-money strikes and up to 2c higher in the out-of-the-money strikes.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for the SPY options was up to 5c wide at the near-the-money strikes and mostly 0c wide at the out-of-the-money strikes. The SRPs were often a few cents higher than the CRP values across the entire strike range.
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 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.
Higher SRP values in the far-out-of-the-money strikes led to three additional strikes being included in the settlement calculation than the CRP values would imply.