Cboe Global Markets

The Week that Was: August 2 to August 6

Kevin Davitt
August 9, 2021

A concise weekly overview of the U.S. equities and derivatives markets

 Last week (August 2 – August 6), the S&P 500 Index and the Nasdaq 100 Index each reached yet another new all-time high. The Russell 2000 Index remains 5% below its best levels. The fundamental backdrop is improving, based on the 0.5% decline in the U.S. unemployment rate and two straight months with 900,000+ job openings across the country. Earnings growth has also been robust, with 80% of the S&P 500 Index constituents already reporting their second quarter financial results. The U.S. 30-year Treasury Yield increased 10 basis points on the week, mostly following the monthly jobs data release on Friday. However, inflationary pressures and the fourth wave of COVID-19 surges are ongoing concerns. “Reopening” stocks lagged last week, with airlines and retailers showing sensitivity to recent COVID-19 infection numbers.

Quick Bites


  • U.S. Equity Indices continued their slow ascent.
  • S&P 500 Index (SPX®): Increased 1% week-over-week.
  • Nasdaq 100 Index (NDX): Increased 1% week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 0.95% last week.
  • Cboe Volatility Index™ (VIX™ Index): Moved between 20.44 and 16.14 last week and closed at lows.


  • SPX options average daily volume (ADV) was about 1.12 million contracts, which is slightly higher than the previous week’s ADV of approximately 1.08 million. The one-week at-the-money (ATM) SPX options straddle (4435 strike with an 8/13 expiration) settled at around 40.3, which implies a +/- range of about 0.9%. The weekly ATM straddle settled on a 9.5% implied volatility.
  • VIX options ADV was about 320,000 contracts last week, which was higher than the previous week’s ADV of 260,000 contracts. VIX options call volume was in line with put volumes.
  • RUT options ADV was 45,600 contracts, compared to an ADV of 45,100 contracts the previous week. The 1-week ATM straddle implies a range of 2.1% ahead of the 8/13 weekly expiry.

Across the Pond

  • The Euro STOXX 50 Index gained 1.2% on the week, marking three straight weekly advances for the STOXX Index.
  • The MSCI EAFE Index (MXEA℠) increased 1% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 1.2% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX futures curve shifted slightly lower and steeper last week.
  • The August VIX futures contract fell by 1.30, while the September VIX futures contract declined 1.10 week-over-week.
  • The Month-1/Month-2 spread settled at 2.00 wide. For comparison, the spread settled at 1.80 the week prior.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-Year Treasury Yield traded in a wide range last week, measuring between 1.13% on Wednesday and 1.3% on Friday, following the release of Nonfarm Payroll data. The yield closed the week at 1.29%, higher by five basis points. 
  • The S&P GSCI lost 3.5% last week as natural gas prices continued to climb. Crude Oil (September) fell from $74 to $68 on the week. Copper prices, which moved above $4.60 per pound in late July, have since declined to $4.35 per pound.
  • Gold and Silver sold off considerably after the employment data release on Friday. Lumber futures have been falling and are retesting 2021 lows.
  • The U.S. Dollar Index gained 0.70%, bolstered by the relatively strong Monthly Jobs Report.
  • All of the Big Tech leaders in the S&P 500 Index were higher on the week.
  • Facebook was the leader, gaining just over 2%, as Apple lagged, adding 0.20%. Tesla closed just shy of the $700 mark.

Major Cryptos

  • Bitcoin (BTC) prices moved higher again last week. On a week-over-week basis the largest cryptocurrency jumped 9%.
  • As of Saturday, August 7, Bitcoin was trading around $43,900 compared to $40,200 the week prior.
  • Ethereum (ETH) made another significant jump, gaining approximately 29%. ETH was trading around $3,100 on August 7, compared to approximately $2,400 the week prior.
  • ETH has added about 75% in the past two weeks. The bull run was catalyzed in part by the “London Hard Fork,” which would entail changes to the fee structure on the ETH blockchain.
  • These changes may help pave the way for ETH 2.0, which would embed a Proof-of-Work (POW) mining system.
  • A POW structure would likely make ETH mining a thing of the past.


  • The 7-day average COVID-19 infection rate rose from 71,000 at the end of July to approximately 105,000 on August 6.
  • COVID-19 vaccination rates have increased over the past few weeks. On average, about 675,000 shots are given per day now, compared to about 500,000 a month ago.
  • 50% of the U.S. population is fully vaccinated against COVID-19 and 59% have received at least one dose of a COVID-19 vaccine. For those 18 years and older, the numbers are 61% and 71% respectively.
  • Globally, the 7-day averages moved from approximately 570,000 to approximately 605,000.

COVID-19 in the U.S.

Source: The New York Times

Tidbits from the News

  • Delta is the Greek measure that illustrates the change in the price of an option’s theoretical value for every $1.00 (unit) change in the underlying market. It’s also useful as the probability of a given option expiring in-the-money. Below is a visual breakdown to illustrate “What is the probability/number you would assign to the phrase ___________”. It was inspired by a Sherman Kent CIA Intelligence Analysis study.

Perceptions of Probability

Source: GitHub

  • The S&P 500 Index is higher by 18.1% in 2021. The table below shows the frequency with which the S&P 500 Index’s returns fall within a given decile. Since 2008, there’s only been one down year for the S&P Total Return Index (SPTR). In 2018, the SPTR was lower by 4.38%. The average annual return (1928 -2020) is 12.2%. At this point, 2021 would be better than “average” and fall into the most frequent bucket of returns (10% - 20%).

U.S. Stock Market Annual Returns Over Time (1928 - 2020)

Source: NYU/@RitholtzWealth

  • Total U.S. stock market capitalization hit a new all-time high of more than $50 trillion. U.S. value relative to the rest of the world has moved from 30% in 2011 to 43% in 2021.

U.S. Total Stock Market Capitalization as a Percentage of World Market Capitalization

Source: Bloomberg

The Week Ahead

  • Data to be released this week: Job openings on Monday; National Federation of Independent Businesses (NFIB) Small Business Index and Labor Productivity and Costs on Tuesday; Consumer Price Index (CPI), Core CPI and Federal Budget on Wednesday; Weekly Jobless Claims and Producer Price Index (PPI) on Thursday; Import Price Index and University of Michigan Consumer Sentiment Index on Friday.

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The information in this article is provided for general education and information purposes only. No statements within this article should be construed as a recommendation to buy or sell a security or futures contract or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this article is available by contacting Cboe Global Markets at www.cboe.com/Contact. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com. Cboe Volatility Index and VIX are registered trademarks and of Cboe Exchange, Inc. All other trademarks and service marks are property of their respective owners. © 2021 Cboe Exchange, Inc. All Rights Reserved.