Cboe Global Markets

The Week that Was: November 29 to December 6

Kevin Davitt
December 6, 2021

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

Last week (November 29 – December 3), was dominated by greater than 1% daily moves for the S&P 500 Index, ushering in the return of realized volatility. The Wednesday, December 1, trading session was unusually volatile. The S&P 500 Index gained 1.9% in the morning, then settled down 1.2% for a 3.1% intraday range. It was the first day since March 2020 that the broad based U.S. equity market shifted from up more than 1.5% to down more than 1%. According to Susquehanna International Group, there have only been 10 sessions over the past decade where the S&P 500 Index experienced that range of volatility. On average, the S&P 500 Index gained 1.7% over the next week. The largest jump was a 10.3% boost following March 20, 2020. Twice there were 4.0% declines (late February and early March 2020). As of Friday’s close, the S&P 500 Index is up 0.5% relative to the December 1, 2021 settle of 4,513.04.

Against that backdrop, options volume was incredibly strong. VIX options ADV was more than 1 million contracts. That was the highest weekly VIX options volume since March 20, 2020, the week the VIX Index closed at new all-time highs (82.69).

There are significant unknowns about the COVID-19 Omicron variant. The World Health Organization (WHO) declared the Delta variant a variant of concern in early May and the S&P 500 Index found support on May 12. On March 11, 2020 the WHO declared COVID-19 a global pandemic. The S&P 500 Index bottomed on March 23, 2020.

The Federal Reserve currently has a divergent tone regarding monetary policy. The Fed appears poised to reduce its monthly asset purchase program more quickly than the market anticipated because of persistent inflation pressure. The next Federal Reserve meeting is December 14 and 15.

The November Nonfarm Payroll data, which showed an increase of 210,000 jobs, was well below consensus estimates of 550,000. However, the October and September jobs numbers were both revised higher and the U.S. unemployment rate fell from 4.6% to 4.2%.

All-in-all, last week was a reminder of market volatility’s tendency to “take the elevator up and the stairs down.”

Quick Bites


  • U.S. Equity Indices continued to decline last week with small caps underperforming again.
  • S&P 500 Index (SPX®): Decreased 1.23% week-over-week.
  • Nasdaq 100 Index (NDX): Decreased 1.96% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 4.27%. week-over-week
  • Cboe Volatility Index (VIX™ Index): Measured between 35.32 and 22.38 last week and ended the week at 30.67, the first VIX Index close above 30 since February 1, 2021.


  • SPX options average daily volume (ADV) was 1.86 million contracts per day, above the previous week’s average of 1.63 million contracts per day. The one-week at-the-money (ATM) SPX options straddle (4540 strike with an 12/10 expiration) implies a +/- range of about 3.6%.
  • VIX options ADV was about 1.06 million contracts last week, which was much higher than the previous week’s ADV of 600,000 contracts. The VIX options call-put ratio was 1.22:1. It was the most active week for VIX options since the week ending March 20, 2020.
  • RUT options ADV was 88,800 contracts, up from the previous week’s ADV of 76,000. It was the second most active week in RUT options in more than two years.

Across the Pond

  • The Euro STOXX 50 Index decreased fractionally on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 0.6% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 0.2% week-over-week. 

Charting It Out

Observations on VIX futures term structure

  • The VIX Index moved up by another two handles last week as realized volatility caught up to recent implied/expected volatility measures.
  • The VIX Index is measuring above 30 for the first time in 10 months. Despite the relatively small move in the VIX Index, the futures curve shifted meaningfully
  • The VIX futures are inverted between December 2021 and June 2022. The Month-1/Month-2 spread moved from a 0.50 carry (Month-1 under) to the December VIX futures trading 0.35 over the January VIX futures contract. In other words, the spread moved 0.85 in favor of the front month contract.
  • December VIX futures gained 2.70 last week and the January VIX futures contract was up 1.85.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield fell to the lowest level since early September and ended the week at 1.34%, lower by 15 basis points. 
  • The U.S. 30-year Treasury Yield declined to 1.68%, which is right where the long bond yield was at the start of 2021. Yields moved as high as 2.5% as vaccines became readily available.
  • The yield on 2-year notes moved up to 0.59% as the market contends with the prospect of an expedited taper and potential interest rate hikes in 2022.
  • The S&P GSCI declined by another 3.14% last week. The commodity index closed the week 12.2% off of late October highs. WTI and Brent Crude Oil both lost about 3.5% last week. Natural Gas futures collapsed leading to the largest weekly decline in more than 20 years as forecasts call for well above average temperatures. The January Natural Gas futures contract has fallen by nearly 40% since October 6.
  • Gold was unchanged week-over-week and silver was down 2.5%. Lumber futures jumped nearly 19%. The wild ride for lumber in 2021 continues. January Lumber futures have increased 55% since November 2. 
  • The S&P 500 Index’s Big Tech leaders were under pressure for much of the week. Facebook traded down near $300 per share, its lowest level in seven months. 
  • Apple expects to ship approximately 10 million fewer iPhones than originally anticipated. The company points to supply chain issues and weaker demand for the iPhone 13 model. 
  • Despite the ostensibly negative headlines, Apple closed up 3.2% last week.

Major Cryptos


  • Last week Bitcoin (BTC) traded between $59,000 and $53,000. The range has remained consistent for two weeks. 
  • BTC ended the week down 1.7% week-over-week, near lows at $53,500. BTC remains in a “bear market,” about 23% off the highs from a month ago.
  • BTC still makes up about 42% of the overall cryptocurrency market.


  • Ethereum (ETH) traded between $4,780 and $4,000 last week. Like the previous week, the $4,000 level was supported. 
  • ETH ended the work week around lows at $4,000, declining 2.4%.
  • ETH constitutes 20% of the overall cryptocurrency market. 


  • The 7-day average COVID-19 infection rate in the U.S. increased week-over-week, moving from approximately 88,000 cases per day on November 26 to approximately 94,600 cases per day on December 3. 
  • 59% of the U.S. population is fully vaccinated against COVID-19 and 70% have received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 69% and 81% respectively.
  • The first U.S. cases of the COVID-19 Omicron variant were detected in California and Minnesota. The Biden Administration established a new pandemic strategy on Thursday with a focus on expanded vaccination sites, international traveler testing and free at-home tests to be covered by insurers.
  • Globally, the 7-day average has climbed from approximately 572,000 to approximately 57,000. Austria reinstated a nationwide lockdown and became the first “western democracy” to mandate COVID-19 vaccination for adults.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • Small- and micro-cap U.S. equities have had a rough month relative to the large-cap S&P 500 Index. The performance gap has been exacerbated following COVID-19 Omicron variant news. Micro-caps are technically in “correction” territory and the Russell 2000 Index flirted with a 10% drawdown since the start of November. Meanwhile, the S&P 500 Index leaders have held up well in the recent environment.

Recent Performance of Micro-caps, Small-caps and Large-caps

Source: The Daily Shot

  • News about the emergence of the COVID-19 Omicron variant and the onset of winter in the Northern Hemisphere have seemingly impacted American’s willingness to get out and about. The trend for in-store shopping, working in an office, sitting in a movie theater, attending a public event, eating in a restaurant and traveling have shifted lower.

How Soon People Expect to Be Comfortable Participating in Certain Activities

Source: Civic Science

The Week Ahead

  • Data to be released this week: Consumer Credit on Tuesday; Job Openings/Job Quits on Wednesday; Initial Jobless Claims on Thursday; Year-over-Year and Core Consumer Price Index (CPI), University of Michigan Consumer Sentiment Index, Expected Inflation and Federal Budget on Friday.

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