Cboe Global Markets

The Week that Was: August 23 to August 27

Kevin Davitt
August 30, 2021

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

Last week (August 23 – August 27), the S&P 500 Index and Nasdaq 100 Index both closed at new all-time highs. Overall, August has been a relatively uneventful month for the broad market. Thus far, there’s only been a single session with a move of greater than 1% for the S&P 500 Index. Gross Domestic Product (GDP) came in at a 6.6% annualized increase, compared to expectations of a 6.5% increase. The economic backdrop continues to be favorable with earnings expectations moving higher.

 The S&P 500 is higher by nearly 20% year-to-date. Beneath the surface, there has been some sector rotation over the past few months with a slightly more risk-off tone. Earlier in the year, cyclical stocks led the market and outperformed relative to more defensive stocks like utilities and health care. Over the past three months, sector leadership has shifted toward defensive equities as consumer confidence measures have wavered with increasing COVID-19 infections.

The continued spread of the Delta variant of the coronavirus has also led some to believe the Federal Reserve will err on the side of caution and further continue its stabilization efforts. At the Federal Reserve’s recent symposium in Jackson Hole, Chair Jerome Powell did not make any overt mentions of a timeline from for slowing the Fed’s asset purchase program.

There are four months remaining in 2021. If the S&P 500 Index hangs on to its gains, this would be the fifth best year in the past two decades. With a slight bump higher, it will be the fourth best performance. There have been two peak-to-trough declines of less than 4% this year. Despite the placid backdrop and slow grind higher in August, the VIX Index remains elevated compared to pre-pandemic highs. Implied volatility risk premiums (implied volatilities relative to subsequent realized volatilities) remain positive.

Quick Bites


  • U.S. Equity Indices climbed higher overall.
  • S&P 500 Index (SPX®): Increased 1.52% week-over-week.
  • Nasdaq 100 Index (NDX): Increased 2.25% week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 5.65% last week.
  • Cboe Volatility Index (VIX™ Index): Moved in a narrower range of 19.27 and 16.11 last week and closed at 16.43.


  • SPX options average daily volume (ADV) was about 1.2 million contracts, which is below the previous week’s ADV of approximately 1.56 million. The one-week at-the-money (ATM) SPX options straddle (4510 strike with a 9/3 expiration) settled at around 40.6, which implies a +/- range of about 0.9%. The weekly ATM straddle settled on an 8.1% implied volatility.
  • VIX options ADV was about 320,000 contracts last week, which was lower than the previous week’s ADV of 500,000 contracts. The VIX options call-put ratio was 1.03:1.
  • RUT options ADV was 69,800 contracts, compared to an ADV of 69,700 contracts the previous week. Last week marked the highest RUT options volume in more than a year.

Across the Pond

  • The Euro STOXX 50 Index increased 2% on the week.
  • The MSCI EAFE Index (MXEA℠) increased 1.9% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 4.8% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index fell by 2.13 handles last week and the VIX futures curve declined across maturities.
  • The Month-1/Month-2 futures spread is already out to 2.20 wide, compared to 1.60 the previous week.
  • September VIX futures fell by 1.6 handles and October VIX futures dropped 1 handle.
  • The back months remain at 24 or higher, which has been the case for nearly all of the past 18 months.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield vacillated between 1.37% and 1.25% last week and ended the week at 1.31%, up 5 basis points.
  • Yields fell and the U.S. Dollar index fell 0.9% following Federal Reserve Chair Jerome Powell’s comments at the Fed’s Jackson Hole symposium. There was no overt mention of a timeline for tapering the Fed’s $120 billion in monthly asset purchases.
  • The S&P GSCI added 6.9% for the week. Natural Gas was up 14.6% and Crude Oil gained 10.5%. Copper added 4.5%. Rice and Bean Meal were the only physical commodities lower on the week.
  • Big Tech had some significant gains last week.
  • Amazon and Tesla each gained 4.7% and Google/Alphabet climbed 4.8% to lead the pack. 
  • Facebook was higher by 3.7% and Apple added 0.3%, while Microsoft was lower, falling 1.5%. 

Major Cryptos

  • Bitcoin (BTC) prices chopped between $50,400 and $46,500 last week. Week-over-week, BTC was effectively unchanged at $49,000.
  • Bitcoin’s market cap is approaching $1 trillion again.
  • Ethereum (ETH) chopped between $3,000 to $3,360. ETH has been right around $3,300 the past three Fridays. 
  • Cardano (ADA) is now the third largest crypto, with a market cap around $93 billion. For the sake of comparison, ETH’s market cap is $383 billion, making it four times the size of ADA.
  • Cuba announced its intent to recognize and regulate cryptocurrencies. The country follows El Salvador, which will have a new crypto law go into effect on September 7.
  • Treasury Secretary Janet Yellen continues to be a vocal critic of unregulated crypto markets in the U.S. 


  • The COVID-19 7-day average infection rates rose from approximately 144,000 a week ago to 156,000 on August 27.
  • Hospitalizations rose from about 90,000 to 96,600.
  • Florida now has higher COVID-19 case numbers and related fatalities than at any other point during the pandemic.
  • 52% of the U.S. population is fully vaccinated against COVID-19 and 61% have received at least one dose of a COVID-19 vaccine. For just those 18 years and older, the numbers are 63% and 74% respectively.
  • Globally, the 7-day averages remained stable at 658,000 and show some signs of slowing.
  • In many African nations vaccination rates are below 5%.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • On March 23, 2020, the S&P 500 Index measured 2,237.40. On August 16, 2021, the S&P 500 Index measured 4,479.71, doubling in just 17 months. That marks the fastest ever 100% gain for the S&P 500 Index (354 trading days). For comparison, the market bottomed in March 2009 during the global financial crisis. By February 2012, the S&P 500 Index had doubled. Previously, that was the quickest doubling in history (540 trading days).

Number of Trading Days for the S&P 500 Index to Double

Source: CNBC and S&P Dow Jones Indices

  • Over the last 10 years, the average annualized return for the S&P 500 Index was 14.7%. In total, the ETF proxy for the S&P 500 Index gained 333% between 2011 and 2021, year-to-date. The chart below compares the best performing countries over the same time frame based on ETF performance. The Dutch have done well with an average annualized gain of 10.8%. Taiwan and Switzerland follow at about 9% each. South Africa and Brazil had the weakest returns. South Africa was down 8.2% and Brazil was down more than 40%.

Country Performance Based on ETF Performance

Source: Compound Advisors

  • Much has been made of the forward Price-to-Earnings (P/E) Ratio of the S&P 500 Index in the U.S. The reading is high relative to the past decade, but it’s come down as earnings expectations increase. On average, over the past five years, S&P 500 Index earnings growth has been approximately 7.5% and earnings volatility has been low compared to other nations.

Forward P/E Ratios for S&P 500 Index

Source: Yardeni Research

The Week Ahead

  • Data to be released this week: Pending Home Sales on Monday; Chicago Purchasing Managers Index (PMI) and Case Schiller Home Index on Tuesday; New Home Sales on Tuesday; ADP Employment, Manufacturing PMI and Motor Vehicle Sales on Wednesday; Weekly Jobless Claims, Trade Balance and Unit Labor Costs on Thursday; Non-Farm Payrolls, Unemployment Rate and Services PMI on Friday.

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