Cboe Global Markets

The Week that Was: May 3 to May 7

Kevin Davitt
May 10, 2021

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

Last week (May 3 to May 7), U.S. equities traded in a narrow range, ending the week in-line with last Friday across the board. The Non-Farm Payroll data released on Friday was a big miss. Estimates fell between 700,000 and 2,000,000 but the headline number came in at 266,000. Meanwhile, 442 of the constituents in the S&P 500 Index have reported quarterly earnings. Thus far, profits are up 49%, relative to the same quarter last year. At the Berkshire Convention last week, Warren Buffett described the economy as running “red hot.” Treasury Secretary Janet Yellen said modest rate increases may be necessary as the economy recovers, but clarified her “hawkish” statements later in the week. Alternatively, Federal Reserve Chair Jerome Powell and other members of the Federal Open Market Committee (FOMC) have been much more dovish in their language around fiscal policy.

Quick Bites


  • U.S. Equity Indices were mixed last week as large-caps outperformed tech and small-caps.
  • S&P 500 Index (SPX®): Up 1.2% higher on the week and is sitting at new all-time highs.
  • Nasdaq 100 Index (NDX): Fell for a third consecutive week, declining 1% week-over-week.
  • Russell 2000 Index (RUT℠): Slightly higher for the week. The index has ended every week since April within 15 handles of 2,255.
  • Cboe Volatility Index (VIX™ Index): Measured as high as 21.85 last week. The weekly low was 16.68. The index closed 1.75 lower on the week at 16.69 – the third lowest VIX Index close since the start of the pandemic.


  • SPX options average daily volume (ADV) was about 1.28 million contracts, up from the week prior. The one-week at-the-money SPX options straddle (4235 strike with a 5/14 expiration) settled at 47.4 (10.7% implied volatility) which implies a +/- range of 1.1%.
  • VIX options ADV was about 387,500 contracts last week, in line with the previous week.  
  • RUT options volume increased week-over-week to an ADV of 36,600 contracts, compared to an ADV of about 36,100 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index advanced 3.3% last week to reach new highs.
  • The MSCI EAFE Index (MXEA℠) gained 2.4%, reaching new highs, while the MSCI Emerging Markets Index (MXEF℠) was slightly lower week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX futures declined across the term structure last week. The front month May contract lost 2.10 week-over-week, the June contract fell 1.60 and July fell 1.25.
  • The Month-1/Month-2 spread moved from 1.75 wide out to 2.25, ahead of the standard May VIX futures expiry on May 19.
  • Prior to the pandemic, with the S&P 500 Index at record highs, VIX futures traded near 15.4. with a month until expiration. The roughly equivalent future in the current environment is trading near 20, indicating that a significant volatility premium exists.

 Source: LiveVol Pro

Macro Movers

  • Rates declined again last week with the 10-year U.S. treasury yield falling from 1.63% to 1.58%. Yield snapped down to 1.52% on the heels of the disappointing monthly employment data but recovered during Friday’s session. 

Major Cryptos

  • Bitcoin (BTC) prices rebounded last week. Week-over-week BTC moved from $53,000 to $58,300.   
  • Ethereum (ETH) reached new highs again last week, trading between 2,800 and 3,600. ETH has a market cap over $350 billion.


  • Over the past week there were about 45,000 new COVID-19 cases per day, compared to a seven-day average of 50,000 earlier in the month. 
  • The two-week change in infections in Michigan is -46%
  • By now, 34% of the U.S. population is fully vaccinated and 46% of U.S. residents have received at least one dose of a COVID-19 vaccine.
  • On average, 2.1 million doses have been administered daily over the past week.

Source: The New York Times

Tidbits from the News

  • The commodity bull market continues. Chinese markets reopened after an extended holiday and prices were pushed beyond 2011 highs. China has been the primary driver of copper prices over the past decade. Copper prices are up about 30% on the year and 120% off the 2020 lows. The electric vehicle and alternative energy markets (wind/solar) are also ripe for demand.

 Source: BarChart

  • U.S. inflation expectations hit the highest level since 2008 last week. The soaring input costs of raw materials and commodities has driven the Treasury Breakeven Rate significantly higher over the past year.

Source: Y Charts & Compound Advisors

The Week Ahead

  • Data to be released this week: Small Business Index on Tuesday; Consumer Price Index (CPI) and Federal Budget on Wednesday; Weekly Jobless Claims and Producer Price Index (PPI) on Thursday; Retail Sales and Consumer Sentiment on Friday.
  • Earnings season will continue into mid-May, then slow considerably.

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