Cboe Global Markets

The Week that Was: December 6 to December 10

Kevin Davitt
December 13, 2021

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

Last week (December 6 – December 10), investor concerns about the COVID-19 Omicron variant, the Federal Reserve and the Debt Ceiling were assuaged, albeit perhaps temporarily. The Federal Open Market Committee (FOMC) meeting and press conference this week will likely include clarification about the speed of the Fed’s taper and the prospect for interest rate hikes next year. With core inflation up 4.9% year-over-year and the unemployment rate falling to 4.2%, the expectation of higher rates seems reasonable. The real/effective Fed Funds (FF) Rate, which measures FF relative to annual inflation (CPI), is at -6.74%. The probability of three rate hikes in 2022 increased last week with the first rate hike priced in for May.

The latest University of Michigan Consumer Confidence Index reading of 70.4 was slightly higher than the expected 68. That measure fell to a decade low last month and weekly jobless claims fell to the lowest levels since 1969.

The S&P 500 Index reached its 67th record high for the year on Friday. This correction lasted 11 days. It was the fourth quickest recovery from a 5% (intraday peak to trough) decline in the S&P 500 Index since 2008. There are 14 trading days remaining in 2021 and standard December equity and index options will expire on Friday, December 17. Apple, the largest constituent in S&P 500 Index, has added $712 billion in market cap this calendar year. That addition is greater than the value of 98% of the other constituents in the large cap index. 

U.S. equity markets continue to lead globally. The S&P 500 Total Return Index for 2021 stands at 27.1. Only Saudi Arabia (+29%), Austria (+29.3%) and the United Arab Emirates (+51.8%) have higher returns. By comparison, benchmarks in China and Turkey have declined by 18.4% and 22.7% respectively.

Quick Bites


  • U.S. Equity Indices had a strong rally.
  • S&P 500 Index (SPX®): Increased 3.82% week-over-week and closed at new all-time highs.
  • Nasdaq 100 Index (NDX): Increased 3.95% week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 2.53%. week-over-week.
  • Cboe Volatility Index (VIX™ Index): Measured between 30.82 and 18.69 last week and ended the week on lows.


  • SPX options average daily volume (ADV) was 1.5 million contracts per day, below the previous week’s average of 1.86 million contracts per day. The one-week at-the-money (ATM) SPX options straddle (4710 strike with an 12/17 expiration) implies a +/- range of about 1.4%.
  • VIX options ADV was about 706,000 contracts last week, which was lower than the previous week’s ADV of 1.06 million contracts. The VIX options call-put ratio was 1.06:1.
  • RUT options ADV was 58,500 contracts, down from the previous week’s ADV of 88,800.

Across the Pond

  • The Euro STOXX 50 Index increased 3.0%.
  • The MSCI EAFE Index (MXEA℠) increased 2.32% 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 Index fell 12 handles on the week, the third largest weekly decline ever. Expected volatility declined significantly as equity markets moved higher.
  • The VIX futures snapped back into a relatively steep contango. The Month-1 vs. Month-2 spread moved from 0.35 inverted (Month-1 over) to a 2.45 discount. That spread moved 2.70 in favor of January week-over-week.
  • December VIX futures fell 8.65 handles last week and the January VIX futures contract declined by 5.85.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury yield reversed course again last week, ending the week higher by 15 basis points, at 1.49%.
  • The U.S. 30-year yield declined to 1.89% and the 2-year yield moved from 59 basis points up to 66 basis points as inflation data runs hot. 
  • The Federal Open Market Committee (FOMC) meeting is expected to provide some clarity on changes to the Federal Reserve’s monthly asset purchase program (taper) and the prospect of interest rate hikes in 2022.
  • The S&P GSCI gained 3.7% last week. Crude Oil gained 8.7%. Gasoline futures, which had been sliding since mid-October, turned higher and added 10% week-over-week. 
  • Gold was unchanged week-over-week and silver fell by 1.3%. Front-month Natural Gas futures declined 6%. 
  • The S&P 500 Index’s Big Tech leaders had a stellar week. Apple led the charge with an increase of nearly 11%.
  • Apple is approaching the $3 trillion valuation mark. If the stock moves to $182.85, it will be the first U.S. company to breach the $3 trillion threshold.
  • Facebook climbed by 7.5% and Microsoft added more than 6%.

Major Cryptos


  • Last week Bitcoin (BTC) traded between $54,000 and $42,000. There was significant liquidation in the spot markets over the previous weekend and BTC fell about $1,000 in an hour. 
  • BTC rebounded during the week and traded between $51,000 and $47,000. BTC remained around $47,800 on Friday afternoon, lower by 10.7% relative to the previous Friday.


  • Ethereum (ETH) prices fell in concert with BTC during the previous weekend and ETH moved from $4,200 to $3,600. During the work week, ETH ranged between $4,500 and $3,800.  
  • ETH was ultimately unchanged week-over-week and ended the work-week near lows, at $4,000.
  • ETH constitutes 21.3% of the overall digital asset market. 

Digital Asset Industry

  • Last week, Visa announced its intent to establish a digital asset advisory service and plans to  partner with financial firms, retailers and others in a consulting capacity. It’s another instance of traditional players in the financial services industry embracing the future of the digital asset industry.
  • The head of six cryptocurrency companies testified in front of the House Financial Services Committee to help legislators understand the growing market for digital assets and discuss potential regulation. There will be another hearing with the Senate Banking Committee this coming week. 


  • The 7-day average COVID-19 infection rate in the U.S. increased week-over-week, moving from approximately 105,000 cases per day on December 3 to approximately 119,800 cases per day on December 10. That is the highest 7-day average since late September.
  • 60% of the U.S. population is fully vaccinated against COVID-19 and 71% have received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 70% and 82% respectively.
  • The Northeast and Great Lakes area have been the hardest hit of late. The uptick is related to the COVID-19 Delta variant. The impact of the Omicron variant is unknown. Roughly 1.9 million vaccinations are administered per day (including booster shots).
  • Globally, the 7-day average has climbed from approximately 609,000 to approximately 617,000. International travel restrictions are increasing. Germany joined Austria in requiring vaccination for visits to stores, restaurants and other indoor spaces.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • In 2018, the U.S. surpassed Russia and Saudi Arabia to become the largest Crude Oil producer in the world. That trend continued until early 2020 when the COVID-19 pandemic began. Drillers have been more active in recent months as Crude Oil prices rebound. Daily U.S. production is approaching 12 million barrels again. Roughly 19 million barrels of Crude Oil are consumed daily in the U.S.

U.S. Crude Oil Production

Source: The Daily Shot

  • On Thursday, December 9, Fitch, a ratings agency, downgraded the debt of two Chinese property developers, Evergrande Group and Kaisa Group. The “restricted default” status means “an issuer has experienced a default or a distressed debt exchange but has not begun winding-up processes such as bankruptcy filings and remains in operation.” It is a technical credit event.

Evergrande Bond Maturity

Source: Business Insider

The Week Ahead

  • Data to be released this week: Producer Price Index (PPI) and Small Business Index on Tuesday; Retail Sales, Home Builders Index, Federal Open Market Committee (FOMC) Statement and Press Conference on Wednesday; Initial Jobless Claims, Philly Fed, Building Permits on Thursday.

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