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 2020 was conducted smoothly without any issues. The settlement value was modestly lower than the spot index values (CRP1 and CRP2).
There were two SPY option trades during this SPIKES settlement. The mid-price of National Best Bids and Offers(NBBOs) were used for most of the other SPY options included in the final settlement calculation. There were strikes that required exchange override.
Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were up to 10c higher in the near-the-money strikes, and no more than 1c higher in the out-of-the-money strikes.
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 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 20c wide for near-the-money strikes. The SRPs were up to 10c higher than the corresponding CRP values at some near-the-money strikes; and up to 1c higher 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 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.
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.
