SPIKES®

Auction Analytics:

May 2021

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 May2021 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values.

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
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Commentary

There were several SPY option trades during this SPIKES settlement for a total volume of 8 lots. The mid-price of National Best Bids and Offers (NBBOs) were used for all other SPY options included in the final settlement calculation.

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 marginally higher in the PUT1 strike range and consistent otherwise.

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

Commentary

There were six SPY option trades during this SPIKES settlement auction.

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 mostly consistent with the corresponding CRP values across the entire strike range.

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

Commentary

The CRP range for the SPY options was up to 9c wide at the near-the-money strikes and no more than 1-2c wide at the out-of-the-money strikes. The SRPs were 6-9 cents higher than the corresponding CRP values in the 350-380 strike range; otherwise they were never more than few cents away from the CRP range.

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 higher than the CRP values, due to marginally higher SRP values in the PUT1 and PUT2 strike ranges.

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

Higher SRP values in the far-out-of-the-money strikes led to 3-4 additional strikes being included in the settlement calculation than the CRP values would imply.

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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