SPIKES options have been trading on the MIAX Exchange since February 2019. Over the past three months it seamlessly went through three expiration cycles without any issues. The monthly settlement process coincides with the VIX settlement conducted on the CBOE.
Read moreIn this note we take a look at different versions of the VIX and SPIKE indices, and compare their numerical values over time. More specifically, index construction using either monthly or weekly options in SPX or SPY is considered.
Read moreThe SRP is the price of each SPY option that is used in the SPIKES settlement calculation. The CRP on the other hand is the SPY option price used in the SPIKES cash index calculation. By comparing the two we may be able to see where possible discrepancies lie.
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