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 April 2022 was conducted smoothly without any issues. The settlement value was slightly lower than 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 marginally lower 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 3c wide at the near-the-money strikes and no more than 1c wide at the out-of-the-money strikes. The SRPs were often a few cents lower than the CRP values in the ATM and PUT1 strike ranges, and 1-2c lower than the CRPs at some of the far out-of-the-money 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 slightly lower than the CRP values, due to marginally lower SRP values in the ATM and PUT 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 lower SRP values in the far-out-of-the-money put strikes led to one less strike being included in the settlement calculation than the CRP values would imply.