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.
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 strike)
CRP2
Cash Reference Price (used in SPIKES index calculation) at settlement time (same time for all strikes)
