Cboe Global Markets

The Week that Was: May 17 to May 21

Kevin Davitt
May 24, 2021

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

Last week (May 17 to May 21), U.S. equity markets were largely unchanged but the week-over-week comparisons mask meaningful daily swings. Earnings reports for companies in the S&P 500 Index are nearly complete and profits are up 49% year-over-year. The current economic backdrop involves an improving global economy and continued easy monetary policies (globally), pushing against valuation and inflation concerns. The S&P 500 Index longer-term average forward price-to-earnings (P/E) ratio measure is approximately 16.5. The recent selloff pushed the current forward P/E ratio down from 24 to 22. Volatility metrics have increased over the last two weeks, as the 10-day S&P 500 Index volatility is up to approximately 19% from about 8.5% on May 7. Implied volatility readings have made smaller but noticeable jumps. Commodities and cryptocurrencies have led the decline in terms of price. However, index option volumes have been robust in May as intraday and daily vacillations picked up.

Quick Bites


  • U.S. Equity Indices moved in fairly-wide ranges but settled in-line with last Friday’s close. Realized and implied volatility measures continue to move higher.  
  • S&P 500 Index (SPX®): Lower by 43 basis points and measured in a 3.1% range relative to the previous Friday close.
  • Nasdaq 100 Index (NDX): Was up slightly, avoiding a fifth straight week lower.
  • Russell 2000 Index (RUT℠): Unchanged on the week.
  • Cboe Volatility Index (VIX™ Index): Measured as high as 25.96 last week. The weekly low was 18.81. The index closed 1.34 higher on the week at 20.15.


  • SPX options average daily volume (ADV) was about 1.35 million contracts, down slightly from the week prior. The one-week at-the-money SPX options straddle (4160 strike with a 5/28 expiration) settled at 65 (14.5% implied volatility) which implies a +/- range of 1.6%.
  • VIX options ADV was about 600,000 contracts last week, down from the previous week’s ADV of 1 million contracts. VIX options calls and puts traded in equal volumes.  
  • RUT options volume decreased week-over-week to an ADV of 41,100 contracts, compared to an ADV of about 46,700 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index is unchanged relative to the May 7 and May 14 closes.
  • The MSCI EAFE Index (MXEA℠) climbed 90 basis points week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 1.6% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • VIX futures moved higher across the board and the May VIX futures expired and cash settled at 25.21.
  • The June/July spread settled at 1.45 wide, which is slightly narrower than the previous Friday.
  • The VIX futures term structure remains in contango. The middle to back of the curve is fairly flat and high relative to historical norms.
  • The VIX Index measuring at approximately 20 implies daily S&P 500 Index (SPX) moves of 1.25%.

Source: LiveVol Pro

Macro Movers

  • U.S. 10-year treasury yield was relatively contained, aside from an interlude following the release of the Federal Open Market Committee (FOMC) meeting minutes, which included language about “scaling back the central bank’s massive bond purchases…at some point.”
  • The 10-year yield ranged from 1.61% to 1.69% and settled roughly in line with the previous week at 1.62%.
  • WTI Crude Oil chopped on either side of $65 and ended the week near the May 14 levels.
  • Copper prices continue to decline after reaching multi-year highs on May 10.
  • Gold traded close to $1,900 per ounce, its highest levels since early 2021. July lumber futures sold off 30% from May 10 highs and then bounced 20% off the lows.
  • Leaders in Big Tech were mostly lower again last week. Apple, Amazon, Microsoft and Tesla all declined, while Facebook and Google were both slightly higher for the week.
  • Amazon is trading right at its 200-day simple moving average (SMA).

Major Cryptos

  • The crypto market was rattled by news from China that indicated the need for greater cryptocurrency regulation to protect the financial system, mixed messages from Elon Musk on his Twitter accounts and various outage problems at some of the larger spot market trading venues.
  • Bitcoin (BTC) topped in mid-April when Coinbase went public. Since then BTC has ranged between $64,800 and $30,200. Bitcoin ended the week around $35,600, compared to $50,000 the week prior.
  • Ethereum (ETH) traded down to $2,300 during Wednesday’s vicious selloff. ETH moved back over $3,000 but declined into the end of the week, trading around $2,300 as of May 21.
  • In total, the global crypto market lost $750 billion in market cap between May 14 and May 21.   


  • New COVID-19 cases reached 11-month lows and no states are experiencing a significant increase in cases.
  • The 7-day average declined from approximately 35,500 cases per day to 29,000 per day last week.
  • 39% of the U.S. population is fully vaccinated and 48% have received at least one dose of a COVID-19 vaccine. Vaccinations have slowed to an average of 1.8 million per day.

Source: The New York Times

Tidbits from the News

  • Based on the most recent housing data, sales figures (existing homes) increased  19.1% year-over-year, the largest increase ever recorded. The median sales price was $341,600. The median sales price was $174,000 in April 2012 and $287,000 in April 2020. The Federal Reserve Bank continues to buy $40 billion worth of mortgage-backed bonds monthly and its balance sheet recently hit all-time highs of almost $8 trillion. 

Source: St. Louis Federal Reserve and Compound Advisors

  • The correlation between emerging markets and U.S. markets has weakened significantly. Lower correlations between indices and asset prices improve diversification value. MXEF options growth may be reflective of this trend at play in the derivatives markets. 

Source: Bloomberg, TS Lombard

The Week Ahead

  • Data to be released this week: Consumer Confidence Index and Case Shiller Home Price Index on Tuesday; Weekly Jobless Claims, Revised Gross Domestic Product (GDP), Durable Goods Index and Home Sales on Thursday; Income/spending/inflation data and Chicago Purchasing Managers Index on Friday.

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