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 December 2021 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values (CRP1 and CRP2).
There were three SPY option trades 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 (mostly by 1c) in the out-of-the-money strike ranges.
Compare actual settlement options volume with variance swap formula projection.
There were three 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 broadly in line with the CRP values.
Strike by strike comparison of SRP and the corresponding CRPs.
The CRP range for out-of-the-money options was mostly 0c; it was up to 6c wide for the near-the-money options. The SRPs were 1c higher than the corresponding CRP values at some strikes across the out-of-the-money ranges.
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 two CRP values, due to slightly higher SRP values across the PUT1 and PUT2 strike ranges.
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 tail of the PUT2 and CALL strike ranges led to two additional strikes being included in the final settlement calculation than the CRPs would imply.