Cboe Global Markets

The Week that Was: May 24 to May 28

Kevin Davitt
June 1, 2021

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

Last week (May 24 to May 28), U.S. equity markets advanced relatively quietly and inflation fears arguably subsided. The S&P 500 Index ended May up 0.7% for the month -- posting gains every month this year, aside from January – and coming within 0.5% of new all-time highs. Additionally, the SPX SKEW Index reading is at its highest level since late 2019. Short term realized volatility declined dramatically, despite “meme stocks” and options on those stocks attracting another round of attention. At-the-money (ATM) volatility has declined, but the out-of-the-money (OTM) puts remain bid, following the S&P 500’s grind higher off the May 12 lows. The tech-heavy Nasdaq 100 Index and small-cap Russell 2000 Index outperformed at the end of May, as did growth relative to value stocks. Meanwhile, U.S. politicians continue to negotiate the proposed U.S. infrastructure bill.

Quick Bites


  • U.S. Equity Indices moved in a fairly wide range but settled in-line with last Friday’s close. Realized and implied volatility measures continue to move higher.  
  • S&P 500 Index (SPX®): Increased by 1.15%. The index measured in a narrow 1.2% range, relative to the previous Friday’s close, and advanced 0.7% for the month of May. 
  • Nasdaq 100 Index (NDX): Increased 2.1% last week and measured in a 2.1% range, relative to the previous Friday’s close. The index declined 1.2% in May – its worst monthly performance since October 2020. 
  • Russell 2000 Index (RUT℠): Gained 2.4% last week. The index measured in a 3.4% high-to-low range last week and ended the month up 0.3%.
  • Cboe Volatility Index (VIX™ Index): Declined consistently last week and closed at 16.76, which is the third weekly close below 17 since late February 2020.


  • SPX options average daily volume (ADV) was about 1.1 million contracts, down slightly from the week prior. The one-week at-the-money SPX options straddle (4205 strike with a 6/4 expiration) settled at 40 (7.8% implied volatility) which implies a +/- range of just under 1%.
  • VIX options ADV was about 650,000 contracts last week, up from the previous week’s ADV of 600,000 contracts. VIX options calls traded 1.27 times for every 1 VIX options put. 
  • RUT options volume decreased week-over-week to an ADV of 35,300 contracts, compared to an ADV of about 41,100 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index gained 1.25% on the week and established new highs.
  • The MSCI EAFE Index (MXEA℠) advanced 1.3% week-over-week to reach new highs and the MSCI Emerging Markets Index (MXEF℠) increased 2.4% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • VIX futures declined across the term structure last week. June VIX futures fell 2.75 handles and the July VIX futures fell 2.50. Consequently, the June/July spread settled at 1.70, compared to 1.45 on May 21.
  • The VIX futures term structure remains in contango with increasingly “normal” steepness relative to the term structures observed during the pandemic, which tended to be flatter in the middle/back of the curve.
  • Last week’s VIX Index close was the third weekly close below 17 since February 2020.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year treasury yield has been declining since May 12 when yields hit 1.70%. Last week the 10-year yield vacillated between 1.62% and 1.55% and ended the week around 1.6%.
  • The next Federal Open Market Committee (FOMC) meeting will end on June 16 and there is a small probability (currently 11%) of a 25-basis point (bps) hike.
  • WTI Crude oil moved slightly above its recent range, reaching $67 per barrel and trading to 10-week highs.
  • Copper prices continue to decline after reaching multi-year highs on May 10.
  • Big Tech: Leaders in Big Tech closed mostly higher last week. Amazon made news with its planned $8.5 billion acquisition of MGM Studios. Apple was roughly unchanged week-over-week, Microsoft, Google and Tesla were higher. Facebook jumped about 5%.  

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) ranged between $40,000 and $32,000 last week. On Friday, May 28, the cryptocurrency was trading near $36,000, which was in line with the previous Friday.
  • Ethereum (ETH) moved between $2,900 and $1,800 during another volatile week.
  • South Korea will start taxing crypto transactions (gains) at 20% next year. 
  • Iran banned cryptocurrency mining following electricity blackouts.
  • Conversations about the negative environmental impact of cryptocurrency mining continue to gain attention.


  • The number of new COVID-19 cases in the U.S. continues to decline. Last week, the 7-day moving average declined from approximately 27,000 new cases per day to about 23,000. Averages have fallen 35% over the past two weeks. 
  • 40% of the U.S. population is fully vaccinated and 50% have received at least one dose of a COVID-19 vaccine.
  • The global caseload also improved during the month of May but South American hotspots are now a concern.

Average Number of COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • Last week, coffee prices hit 4.5-year highs. In many parts of the world, including Central and South America, Africa and Southeast Asia, coffee is the primary cash crop.

Global Coffee Prices

Source: Barchart

  • The current light truck and automobile sales rate of 18.51 million units harkens back to the late 1980s, early Aughts and 2006. Vehicle sales fell drastically in the early stages of the pandemic but have come roaring back in recent months. The average transaction price for a vehicle in early 2021 is approximately $41,000 and the average auto loan exceeds $30,000.

Light Truck and Automobile Sales Rate

Source: MacroTrends.net

  • The “meme stocks” are apparently not content with 15 minutes of fame. Some of the equity names that made headlines early in the year made significant moves again last week.

The Week Ahead

  • Data to be released this week: ISM Manufacturing & Construction Spending on Tuesday; Motor Vehicle Sales and Summary of Commentary on Current Economic Conditions (also known as Beige Book) on Wednesday; Weekly Jobless Claims, ADP Employment Report and ISM Services Report on Thursday; Monthly Non-Farm Payrolls and U.S. Unemployment Rate on Friday.

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