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 November 2021 was conducted smoothly without any issues. The settlement value was in line with 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 broadly identical in value.
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 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 5c wide at the near-the-money strikes and no more than 1c wide at the far out-of-the-money strikes. The SRPs were sometimes 1 cent different from the CRP values in the call strikes, and 1c higher than the CRP at some of the far out-of-the-money put 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 in line with the CRP values.
Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.
Slightly higher SRP values in the far-out-of-the-money put strikes led to 5-6 additional strikes being included in the settlement calculation than the CRP values would imply.