Ticker: SPKCS

Settlement Date

SPKCS Value

Settlement Time

SPY Spot Price

SPY Expiration

Interest Rate %

Vega Traded

CRP1 Value

CRP2 Value

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 August 2022 was conducted smoothly without any issues. The settlement value was slightly higher than the spot index values.

SPY Strikes

SPY Calls

SPY Puts

Total Volume

Call Volume

Put Volume

Net Volume

ATM Volume

Projection Ratio

There was one SPY option trade during this SPIKES settlement. The mid-price of National Best Bids and Offers (NBBOs) were used for all other SPY options included in the final settlement calculation.

Number of Strikes

Volume per Strike

Rel. to Prior Day's Vol.

Rel. to Open Interest

Median CRP Range

Median SRP Position

Projection Ratio

Relative to the Cash Reference Prices (CRPs) used in the SPIKES index calculation, the Settlement Reference Prices (SRPs) were most in line across the entire strike range.

Compare actual settlement options volume with variance swap formula projection.

There was one SPY option trade during this SPIKES settlement auction for a total of 1 lot.

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 mostly 0c wide at the out-of-the-money strikes. The SRPs were often 1 cent higher than the corresponding CRP values across the out-of-the-money strike 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 CRP values, due to marginally higher SRP values in 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.

Marginally higher SRP values in the far-out-of-the-money strikes led to four more strikes being included in the settlement calculation than the CRP values would imply.

SPIKES Prev. Close

SPIKES 52wk High

SPIKES 52wk Low

SPY Close

SPY Change