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 September 2021 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values.
There was one SPY option trade during this SPIKES settlement. The mid-price of National Best Bids and Offers (NBBOs) were used for all 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 most in line across the entire strike range.
Compare actual settlement options volume with variance swap formula projection.
There was one SPY option trade 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 mostly consistent with the corresponding CRP values across the entire strike range.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for the SPY options was up to 12c wide at the near-the-money strikes and no more than 1-2c wide at the out-of-the-money strikes. The SRPs were 1 cent higher than the corresponding CRP values at some strikes across the 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.
Marginally higher SRP values in the far-out-of-the-money strikes led to two additional strikes being included inthe settlement calculation than the CRP values would imply.