Cboe Global Markets

The Week that Was: July 19 to July 23

Kevin Davitt
July 26, 2021

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

Last week (July 19 – July 23), whipsaw markets were in action. The S&P 500 Index moved down to its 50-day simple moving average (SMA) before bouncing back and closing at new all-time highs. The Russell 2000 Index flirted with its 200-day SMA before rebounding. Similarly, bonds and interest rates moved in wide ranges, with the 10-year U.S. treasury yield trading between 1.13% and 1.31%. Front-month WTI Crude Oil traded down to $65 per barrel, then bounced more than 10% to end the week at $72 per barrel. Meanwhile, reported second quarter earnings were quite strong and 90% of S&P 500 Index constituents remain above their 200-day SMA. Manufacturing growth improved but services data decelerated, according to the Purchasing Managers Index (PMI). Consumer Discretionary, Communications Services and Technology led in terms of sector performance, while Real estate, Utilities and Energy underperformed. The week ahead (July 26 – July 30) is the most active week for earnings reports, with more than a third of the companies in the S&P 500 Index expected to report.

Quick Bites


  • U.S. Equity Indices moved in wide ranges during a volatile week.
  • S&P 500 Index (SPX®): Gained 1.96% week-over-week. The large cap index measured in a 4.2% high-to-low range, relative to the previous weekly settle.
  • Nasdaq 100 Index (NDX): Increased 2.94% week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 2.2% last week and rebounded with the rest of the market, following a significant decline.
  • Cboe Volatility Index (VIX™ Index): Moved between 25.09 and 16.33 last week and closed at 17.20, down 1.25 vols, compared to the previous week.


  • SPX options average daily volume (ADV) was about 1.4 million contracts, which is in line with the week prior. The one-week at-the-money (ATM) SPX options straddle (4410 strike with a 7/30 expiration) settled at around 47.80, which implies a +/- range of about 1.1%. The weekly ATM straddle settled on an 9.8% implied volatility.
  • VIX options ADV was about 660,000 contracts last week, well above the previous week’s ADV of 440,000 contracts. More than 1.6 million VIX options traded on Monday, marking the second most active session in 2021. VIX options call volume ran 1.54 for every 1 put.
  • RUT options ADV was 63,200 contracts, an increase over the previous week. The 1-week ATM straddle implies a range of 2.5% ahead of the 7/30 weekly expiry.

Across the Pond

  • The Euro STOXX 50 Index gained 1.7% on the week.
  • The MSCI EAFE Index (MXEA℠) increased fractionally week-over-week and the MSCI Emerging Markets Index (MXEF℠) decreased 2.2% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX futures curve changed very little last week. July VIX futures came off the board on Wednesday with a settlement value of 18.90.
  • The August contract is now the front month.
  • August VIX futures closed the week 0.05 lower, while September VIX futures moved up 0.05 week-over-week, widening the current Month-1/Month-2 spread by 0.10.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year yield traded in a wide range last week, measuring between 1.13% on Tuesday and 1.31% on Friday. It closed the week at 1.29%, which was just below the July 16 level of 1.3%.
  • The S&P GSCI (commodity index) erased the previous week’s decline, gaining 0.7% as Crude Oil rebounded. Gold remains right around $1,800/ounce.
  • Coffee (Arabica) futures climbed higher last week following a frost in Brazil. September futures traded as high as $2.10 this week before closing at $1.89.
  • The Dollar Index moved slightly higher week-over-week.
  • Big Tech stocks were almost all higher across the board. Facebook and Google led the charge, gaining 8.4% and 4.7% respectively. Tesla lagged, declining fractionally week-over-week.
  • Amazon, Apple, Facebook, Google, Microsoft and Tesla will all report second quarter earnings this week, beginning with Tesla on Monday.

Major Cryptos

  • Bitcoin (BTC) broke below the $30,000 mark during the early week sell-off but rebounded late in the week.  
  • On Friday afternoon (July 23), BTC was trading around $32,400, which is in line with the previous Friday’s levels.
  • Ethereum (ETH) was slightly higher week-over-week, ranging between $1,750 and ~$2,100 last week. As of Friday afternoon, ETH was near $2,000.


  • The 7-day average infection rate continued its ascent, moving from approximately 27,000 to about 45,000. 
  • The Delta variant remains the primary concern. Infections in parts of Missouri, Arkansas, Louisiana and Florida account for the significant growth.
  •  49% of the U.S. population is fully vaccinated and 56% received at least one dose. For those 18 years and older, the numbers are 60% and 69% respectively.
  • Globally, the 7-day average infection rate moved from approximately 494,000 to about 523,000.
  • The Olympic games opened in Tokyo on Friday amidst an outbreak issue in Japan.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • The recent combination of a relatively high VIX Index and an unequivocally high SKEW Index is unusual. While the VIX Index has declined substantially over the past year, it remains high, considering the S&P 500 Index established new all-time highs. The SKEW Index, which is an indication of perceived left tail risk (multiple standard deviations) in the broad market, is also near all-time highs. The demand for protection in SPX options is persistent.

VIX Index and Cboe SKEW Index Daily Closing Values

(January 1990 - July 2021)

Source: S&P Global

  • Consumer Price Index (CPI) data over the past few months has been unusually hot. Inflation has become a hot-button issue and spurred bouts of equity volatility. Based on recent Fed comments, U.S. central bankers contend that inflationary pressures are likely transitory and are attributed to low baseline year-over-year comparisons and unusual pandemic related bottlenecks. The chart below illustrates the large jumps in Logistics and Energy inputs to the CPI calculation. Thus far, the rate of change for Shelter (a primary component in the CPI) has been far less.

June U.S. Inflation Reading by Category

Source: Fitch Solutions

  • The S&P 500 (total return) Index has outperformed the Emerging Market Index (IEMG) for years. There was a reversal between May 2020 and February 2021 in which the Emerging Market Index outperformed the S&P 500 Index. However, since then, the S&P 500 has continued to outpace Emerging Market performance.

Ratio: U.S. Equities to Emerging Market Equities

(S&P 500 ETF Trust Total Return Price/iShares Core MSCI Emerging Markets ETF Total Return Price)

Source: Compound Advisors, Charlie Bilello

The Week Ahead

  • Data to be released this week: New Home Sales and Dallas Fed Report on Monday; Durable Goods and Consumer Confidence on Tuesday; Trade Balance, U.S. Mortgage Applications and Federal Open Market Committee (FOMC) Announcement on Wednesday; Weekly Jobless Claims and Leading Economic Indicators on Thursday; Wages, Personal Consumption Expenditures (PCE) and Personal Spending on Friday
  • Earnings take center stage with 36% of the S&P 500 Index constituents set to report this week. 

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