SPIKES®

Auction Analytics:

February 2024

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SPIKES Settlement Details
Ticker: SPKCS

Download ALL SETTLEMENT DATA

1. SPIKES Settlement - Calculation Summary

Settlement Date
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SPKCS Value
-
Settlement Time
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SPY Spot Price
-
SPY Expiration
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Interest Rate %
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Vega Traded
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CRP1 Value
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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).

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GLOSSARY

2. SPIKES Settlement - SPY Options Summary

SPY Strikes
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SPY Calls
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SPY Puts
-
Total Volume
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Call Volume
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Put Volume
-
Net Volume
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ATM Volume
-
Projection Ratio
-
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GLOSSARY

3. SPY Options Volume & Price Analysis by Strike Range

Number of Strikes

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Volume per Strike

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Rel. to Prior Day's Vol.

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Rel. to Open Interest

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Median CRP Range

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Median SRP Position

PUT 2   -

PUT 1   -

ATM   -

CALL   -

Projection Ratio

PUT 2   -

PUT 1   -

ATM   -

CALL   -

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GLOSSARY

4. SPIKES Settlement SPY Options Volume vs Projection

Compare actual settlement options volume with variance swap formula projection.

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GLOSSARY

5. SPIKES Settlement and Cash Reference Prices

A visualisation of the settlement option prices and their equivalents in the SPIKES index calculation.

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GLOSSARY

6. SRP vs CRP Comparison

Strike by strike comparison of SRP and the corresponding CRPs.

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7. Alternative Settlement Values

Replace some or all of the SRPs with the CRPs in the settlement calculation and see how different the results are.

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8. Alternative # SPY Options

Replace some or all of the SRPs with the CRPs and see how many SPY options are used in the settlement calculation.

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GLOSSARY

SPIKES®

Next Auction: 20 Mar 2024 - after 9:30am ET

SPIKES® Volatility Index

SPIKES Prev. Close
-
SPIKES 52wk High
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SPIKES 52wk Low
-
SPY Close
-
SPY Change
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