Cboe Global Markets

The Week that Was: May 10 to May 14

Kevin Davitt
May 17, 2021

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

Last week (May 10 to May 14), U.S. equities whipsawed as concerns over inflationary pressures spilled over. Headline Consumer Price Index (CPI) data was up 4.2% year-over-year, which was the highest measure since 2008 and an increase of 0.8% month-over-month. Core CPI, which excludes food and energy, was up 3% -- the highest reading since 1996. However, the potential persistence of imbalances between supply and demand in specific markets looms and may depend on whether recent price and wage pressures will continue in the longer term. Last week was difficult for risk parity funds because bonds and stocks were sold-off in tandem. Finally, volatility took center stage last week, but it is unclear if that focus will also be transient or long-lasting.

Quick Bites


  • U.S. Equity Indices declined across the board but settled well off lows as realized and implied volatility levels shifted higher. 
  • S&P 500 Index (SPX®): Down 1.37% on the week and measured in a 4.3% range relative to the previous Friday close.
  • Nasdaq 100 Index (NDX): Fell for a fourth consecutive week, declining 2.4% week-over-week.
  • Russell 2000 Index (RUT℠): Declined 2.0% on the week after measuring in a 6.1% high-to-low range.
  • Cboe Volatility Index (VIX™ Index): Measured as high as 28.93 last week. The weekly low was 17.07. The index closed 2.13 higher on the week at 18.81.


  • SPX options average daily volume (ADV) was about 1.5 million contracts, up from the week prior and making for the most active SPX options trading week since March 30, 2020. The one-week at-the-money SPX options straddle (4175 strike with a 5/21 expiration) settled at 65 (14% implied volatility) which implies a +/- range of 1.6%.
  • VIX options ADV was about 1 million contracts last week, which is nearly triple the number of contracts traded in the previous week.  
  • RUT options volume increased week-over-week to an ADV of 46,700 contracts, compared to an ADV of about 36,600 contracts the previous week.

 Across the Pond

  • The Euro STOXX 50 Index declined 3.6% last week but closed just slightly below the previous week’s closing level.
  • The MSCI EAFE Index (MXEA℠) fell 1.3% and the MSCI Emerging Markets Index (MXEF℠) declined 3.1%.  

Charting It Out

Observations on VIX futures term structure

  • VIX futures moved higher last week, but the week-over-week shift belies the changes that occurred during the broad market decline. The VIX futures curve settled flat and elevated following Wednesday’s 2.1% selloff.
  • The VIX futures curve moved back into contango as the S&P 500 Index rebounded, but remains higher week-over-week.
  • The May/June VIX futures spread settled at 2.15 over, compared to the previous week’s 2.25. May VIX futures were up 0.65 on the week and the June futures gained 0.55. Month-3 and Month-4 futures were also up slightly.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • Big Tech leadership, which includes Apple, Amazon, Microsoft, Facebook, Google and Tesla, all lost value last week. Apple bounced off its 200-day simple moving average (SMA) while Amazon and Tesla settled right at their respective 200-day SMA. The others remain well north of that long-term technical measure.
  • Rates remained relatively contained despite the “hot” inflation measures.
  • The U.S. 10-year treasury yield started the week around 1.57% and ended around 1.64%, reaching highs of 1.695% on Wednesday.
  • Grain prices declined following a World Agricultural Supply and Demand Estimates (WASDE) report.
  • Copper and iron ore futures fell 5% from highs and lumber futures fell 19% from highs.
  • Crude oil prices (WTI) remain near $65 per barrel. Gasoline (RBOB) is down 5% following  the Colonial Pipeline hack-related highs.

Major Cryptos

  • Bitcoin (BTC) prices fell roughly 14% week-over-week as news that Tesla would no longer accept BTC for payment rattled the crypto market. BTC ended the week near $49,500
  • Ethereum (ETH) ended last week just above $4,000, trading between $4,300 and $3,500 during the week.
  • Dogecoin lost significant value following Elon Musk’s Saturday Night Live appearance, moving between $0.72 and $0.39 and ending the week around $0.54. 
  • Last week, the value of the top 300 cryptocurrencies exceeded the value of all U.S. dollars in circulation. At its previous peak, the leading cryptocurrency’s value was half of the dollars in circulation. The surge in crypto value over the past year has few historical parallels.

Weekly Value of U.S. Currency Versus Cryptocurrency

  • * Total market value of the 300 largest cryptocurrency assets

Source: CoinDesk and Federal Reserve Bank of St. Louis


  • New COVID-19 cases reached the lowest levels since September and COVID-19-related death totals are back near July 2020 levels.
  • The 7-day average declined from approximately 43,600 cases per day to 35,500 per day last week.
  • 37% of the U.S. population is fully vaccinated and 47% have received at least one dose of a COVID-19 vaccine. 

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • On May 12, the S&P 500 Index declined 2.15% and the VIX Index increased 26% -- an unusually large VIX Index response, relative to the move in the S&P 500 Index. More recent, over 2% declines in the broad market led to approximately 8% increases in the VIX Index. The VIX Index then fell sharply as the S&P 500 Index rallied late in the week.

Daily Percent Changes in VIX Futures Versus S&P 500 Index Futures

Source: The Daily Shot

The Week Ahead

  • Data to be released this week: National Association of Home Builders (NAHB) Home Builders Index on Monday; Building Permits/Housing Starts Report on Tuesday; Federal Open Market Committee (FOMC) Minutes on Wednesday; Weekly Jobless Claims and Philadelphia Fed Business Conditions Index on Thursday; Manufacturing Purchasing Mangers’ Index (PMI) and Existing Home Sales on Friday.
  • More than 90% of the S&P 500 Index constituents have reported earnings.

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