Cboe Global Markets

The Week that Was: Jan. 11 to Jan. 15

Kevin Davitt
January 18, 2021

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

Last week (January 11 through January 15) marked the beginning of earnings season as several big banks reported numbers for Q4 2020. The Dollar Index, which recently measured near five-year lows, rebounded slightly; however, growth underperformed in relation to value. President-elect Biden made headlines when he announced a proposed $1.9 trillion stimulus plan for COVID-19 recovery and response. The Commerce Department reported a drop in retail sales by 0.7% in December as initial and continuing jobless claims climbed higher. The S&P 500 had its worst week since the end of October, but decreased only by less than 1.5%. At the same time, the small-cap Russell 2000 Index pushed higher, gaining 37% since October 31. And finally, according to Trade Alert, the industry reached a new volume record on Friday with over 49.5 million contracts traded.

Quick Bites


U.S. equities indices finished the second full week of the year mixed, with small cap indices continuing to climb, up 7.5% year-to-date.

  • S&P 500 Index (SPX): Down 1.48% to 3,768
  • Nasdaq 100 (NDX): Dropped 2.3% and is just above 12,800
  • Cboe Volatility Index (VIX Index): Up to 24.34 – the highest weekly VIX Index close since the week of the U.S. presidential election in November
  • Cboe VIX Volatility Index (VVIX): Ranged between 115 and 128 and ended the week closer to the high end at 124.25. 


  • SPX options volume averaged roughly 1.2 million contracts per day, in-line with the previous week. Friday (expiration) was the most active session with 1.5 million SPX options on the tape.
  • VIX options averaged about 533,000 per day as compared to roughly 675,000 the previous week. VIX calls and puts traded in equal volumes. 

Charting It Out

Observations on VIX Futures and the VVIX Index

  • The entire VIX futures curve climbed higher week-over-week, with January up 1.8V and February up 1.55V.
  • The Mo1/Mo2 spread was in contango and settled at 1.75 wide, compared to 2.00 the previous week.
  • The February/March VIX futures spread settled at 0.60 wide and will become front two months next week. 

VIX Futures Term Structure

Source: LiveVol Pro

  • 1M forward volatility measures maintain a significant premium to short term SPX historical volatility.

SPX 30-Day Implied Volatility vs. SPX 20-Day Historical Volatility

Source: LiveVol Pro

Analyzing the Performance of S&P 500 Sectors

The Energy sector has dominated in terms of returns so far in 2021, followed by the Financials and Materials sectors, while Consumer Staples and Communication Services have lagged.

S&P 500 Sectors Month-to-Date Total Return

Source: S&P Dow Jones Indices (Date as of January 14, 2021)

Options market insights

SqueezeMetrics highlighted the growth in gamma exposure in the options market. It’s possible some of that will roll off with January options expiry, but volume data and retail participation (upside calls) are driving forces.

Gamma Exposure Since 2011

Source: Sundial Capital Research, SqueezeMetrics

Here’s a look at the options market put-call ratio from 1997 to today.

Put-Call Ratio from 1997 - 2021

Source: Bloomberg

Macro Movers

  • U.S. 10-year yields traded up to 1.18% on Tuesday. Fed Chairman Powell then assuaged market concerns about “lower for longer” interest rates and 10-year yields closed at 1.09%, keeping the numbers essentially unchanged week-over-week.
  • Big Tech: Apple, Facebook, Amazon, Microsoft and Tesla were all lower on the week. In fact, this week was the lowest weekly Facebook close since the end of July 2020.

Tidbits from the News

  • According to The Land Report, Bill Gates has become the largest landowner in the United States, surpassing the likes of Ted Turner (TBS/CNN) and John Malone (Liberty Media).
  • In a narrative that echoes the growth in small lot options trading, Bloomberg recently published an article about the risks and potential rewards of Penny Stock trading.

The Week Ahead

  • Data reports on Housing Starts, Building Permits, Purchasing Managers’ Index (PMI) and Existing Home Sales
  • S&P 500 earnings are expected to decline 6.8% for Q4
  • Markets are closed Monday in honor of Martin Luther King Jr. Day
  • Wednesday is Inauguration Day

Like what you see? Don’t miss the latest insights, webinars, news and announcements from the Cboe Options Institute.

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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.