How Does the Calculation of a “Reference Rate” for Options Differ from a Futures Index Price?
The reference rate for options is often the same or very similar to the futures index price, as both need a reliable spot price for settlement. However, options on futures (not options on the spot asset) use the futures price as the underlying.
For options on the spot asset, the reference rate is the final spot price used for exercise and settlement, which, like the futures index, is usually a volume-weighted average from multiple venues.
