Cboe Global Markets

The Week that Was: May 31 to June 4

Kevin Davitt
June 7, 2021

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

Last week (May 31 – June 4), U.S. equity markets traded in early summer fashion during a holiday-shortened week. The “meme stock” phenomena reemerged with AMC Entertainment (ticker: AMC) and GTT Communications (Ticker: GTT) garnering the most attention – and volume. Meanwhile, the Energy sector dominated the market, adding 6.5%, while the Healthcare sector lagged, losing 1.1%. Construction spending numbers were slightly weaker than anticipated. Updated employment numbers from the Labor Department showed 559,000 jobs were added in May. Forecasts were scattered but the expectation consensus was around 650,000. Additionally, the unemployment rate declined to 5.8% and average hourly wages continue to rise. Restaurants, leisure and hospitality accounted for the bulk of the gains in new jobs.

Quick Bites


  • U.S. Equity Indices moved in a narrow range and closed higher across the board. Realized and implied volatilities have been creeping lower.
  • S&P 500 Index (SPX®): Increased by 0.6%, closing just below all-time highs. The index measured in a narrow 1.6% range relative to the previous Friday’s close. Short-term 10-day realized volatility has declined from 19% to 7.5% in two weeks.
  • Nasdaq 100 Index (NDX): Gained 0.6% last week and measured in a 2.3% range relative to the previous Friday’s close. NDX implied volatility has held its bid relative to SPX implied volatility.  
  • Russell 2000 Index (RUT℠): Gained 0.6% last week. The small cap index measured in an unusually low 2.0% high-to-low range last week.
  • Cboe Volatility Index (VIX™ Index): Moved between 19.27 and 15.68 last week and closed at 16.42, the second lowest weekly close since February 2020.


  • SPX options average daily volume (ADV) was about 1.1 million contracts, which was in line with the week prior. The one-week at-the-money SPX options straddle (4230 strike with a 6/11 expiration) settled at 50 (10% implied volatility) which implies a +/- range of about 1.2%.
  • VIX options ADV was about 450,000 contracts last week, down from the previous week’s ADV of 500,000 contracts. VIX options calls traded 1.18 times for every 1 VIX options put. 
  • RUT options volume increased week-over-week to an ADV of 38,900 contracts, compared to an ADV of about 35,300 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index gained 0.5% on the week and established new highs.
  • The MSCI EAFE Index (MXEA℠) advanced 0.73% week-over-week to reach new highs and the MSCI Emerging Markets Index (MXEF℠) increased 1.62% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX futures curve fell slightly across most of the term structure last week.
  • The June VIX futures contract settled at 18.30, down 0.80 for the week.
  • The July contract declined 0.30 to 20.45, causing the Month-1/Month-2 spread to steepen ahead of the June contract expiry on the June 16. The spread is out to 2.15 wide compared to 1.65 last week.
  • August and September VIX futures fell by 0.20 and 0.05 respectively.

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year treasury yield moved lower week-over-week. Last week the 10-year yield vacillated between 1.64% and 1.56% and settled at 1.56% following another relatively slow Non-Farm Payroll number.
  • The U.S. unemployment rate fell to 5.8%. For context, in February 2020, the U.S. unemployment rate hit 3.5%, which was a 50-year low.
  • Big Tech: Leaders in big tech were mixed last week. Amazon and Tesla lagged while Apple, Microsoft and Facebook moved higher and Google traded to new all-time highs.
  • In May, funds flowed out of technology at the fastest clip since late 2018.

Major Cryptos

  • Bitcoin (BTC) ranged between $39,000 and $34,000 last week. Bitcoin’s value declined on Friday, June 4, following a Tweet from Elon Musk, highlighting his continued sway in the cryptocurrency market.
  • Google announced it will allow cryptocurrency exchanges and digital wallets to advertise on its website. In 2018 several platforms restricted cryptocurrency ads in an effort to reduce fraudulent activity.
  • The Biden Administration indicated plans to evaluate the role of cryptocurrencies in the recent ransomware hacks involving Colonial Pipeline and JBS Meatpacking. Cryptocurrency transfers are more difficult to track than other forms of payment.


  • Daily vaccination numbers continue to fall, which is to be expected. The daily vaccination rate is down nearly 50 percent from its April peak of about 3 million per day.
  • Despite the slowing vaccination numbers, the U.S. 7-day average declined from approximately 23,000 to about 15,000.
  • 41% of the U.S. population is fully vaccinated and 51% have received at least one dose of a COVID-19 vaccine.
  • The trend in global infections has also improved significantly. The global 7-day average moved from about 825,000 in late April to about 455,000 last week. 

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • Citibank’s Inflation Surprise Index reached new all-time highs in May. The recovery in prices for goods and services has been impressive and price data has been coming in well ahead of expectations in recent months.

Citibank Inflation Surprise Index

Source: The Daily Shot

  • According to data from the U.S. Transportation Security Administration (TSA), more than 7.1 million people traveled via airplane over Memorial Day weekend, which is the highest number of weekend travelers since March 2020. Averages are approaching 75% of “normal” levels, which is a boon for the airline companies.

U.S. Transportation Security Administration Travel Numbers

Source: Chartr

The Week Ahead

  • Data to be released this week: Consumer Credit on Monday; Trade Deficit on Tuesday; Wholesale Inventories on Wednesday; Weekly Jobless Claims, ADP Employment Report, Core Consumer Price Index (CPI) and Federal Budget on Thursday

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