Cboe Global Markets

The Week that Was: September 13 to September 17

Kevin Davitt
September 21, 2021

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

Last week (September 13 – September 19), the S&P 500 Index closed just above its 50-day simple moving average (SMA) and the index is higher by 35% over the past 52 weeks. So far, the largest peak-to-trough decline for the broad market in 2021 was 4.1%. While there’s slightly more than a quarter of the year remaining, only 2017 (2.8% drawdown) and 1995 (2.5% drawdown, the lowest ever) compare. Looking at S&P 500 Index sector performance, Energy was the clear standout, gaining 3.25% on the week. Consumer Discretionary gained 0.75% and Financials were effectively unchanged. Materials (-3.13%), Utilities (-2.7%) and Industrials (-1.55%) were the laggards. Meanwhile, the Consumer Price Index (CPI) data released last week helped bolster the argument that inflationary pressures may be transitory. However, reopening-sensitive areas of the economy are feeling the impact of the COVID-19 Delta variant. Hotel prices, rental car prices and airline fares are softening.

Quick Bites


  • U.S. Equity Indices pulled back last week.
  • S&P 500 Index (SPX®): Decreased 0.57% week-over-week.
  • Nasdaq 100 Index (NDX): Decreased 0.7% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 0.26% last week.
  • Cboe Volatility Index (VIX™ Index): Moved in a wider range of 21.51 and 17.65 last week and closed at 20.81, down fractionally week-over-week.


  • SPX options average daily volume (ADV) was about 1.74 million contracts, which is the heaviest week for SPX options volume since late March 2020. The one-week at-the-money (ATM) SPX options straddle (4430 strike with a 9/24 expiration) settled at around 75.3, which implies a +/- range of about 1.7%. The weekly ATM straddle settled on a 12.9% implied volatility.
  • VIX options ADV was about 540,000 contracts last week, which was higher than the previous week’s ADV of 400,000 contracts. The VIX options call-put ratio was 2.08:1.
  • RUT options ADV was 58,000 contracts, compared to an ADV of 63,100 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index decreased 0.54% on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 1.3% week-over-week and the MSCI Emerging Markets Index (MXEF℠) decreased 2.27% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index ended the week essentially unchanged.
  • The September VIX futures expired on Wednesday at 19.40, with the VIX futures curve mostly higher across maturities.
  • The October VIX futures contract gained 0.35 and the November VIX futures were up 0.45. 
  • The current Month-1/Month-2 VIX futures spread settled at 0.85 wide and the October/November spread closed at 0.75 wide on September 10.

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield vacillated between 1.38% and 1.26%, ending the week up 3 basis points at 1.37%.
  • The S&P GSCI climbed 7.4% last week and the Commodity Research Bureau (CRB) Index reached 6-year highs.
  • Natural Gas (NG) continued its bull run as front month NG futures traded to the highest levels since February 2014 (Polar Vortex). Energy prices climbed last week with Brent and WTI Crude Oil gaining approximately 2.5%. Uranium prices have moved significantly higher of late.
  • Industrial metals sold off with Palladium (-6.1%), Silver (-6.0%) and Copper (-4.7%) all down significantly. Iron Ore futures hit 9-month lows. The selloff is partially related to the debt owed by Evergrande, a property development company in China, and concerns about the impact it may have on a Chinese economic slowdown.
  • The U.S. Dollar Index climbed another 0.7%.
  • There was dispersion in Big Tech performance last week. Tesla gained 3.15%, Microsoft was up 1.4% and Alphabet and Amazon were unchanged. Facebook declined 3.7% and Apple fell 1.95%


  • The 7-day average COVID-19 infection rate in the U.S. increased slightly from approximately 148,000 a week ago to 150,300 on September 17. Infection data has been choppy due to the Labor Day holiday.
  • West Virginia is contending with its worst infection rate to date. Fortunately, New York City, Los Angles and Chicago caseloads are half of the national average.
  • 54% of the U.S. population is fully vaccinated against COVID-19 and 63% has received at least one dose. For just those 12 years and older, the numbers are 64% and 74% respectively. Daily COVID-19 vaccination numbers have declined recently. 
  • Globally, the 7-day averages continue to decline from 586,000 to 535,000 week-over-week.

Source: The New York Times

Tidbits from the News

  • For the past six months, the VIX Index has consistently measured at a premium to the S&P 500 Index 1-month Realized Volatility Index. Historically, implied volatility measures tend to exceed realized metrics, but the spread between the two has been unusually wide lately. The divergence has been driven primarily by lower levels of realized volatility with the VIX Index remaining in the high teens to low 20s. 

Source: S&P Global Research

  • Last week’s Consumer Price Index (CPI) data showed inflation pressures slowing. The month-over-month gains of +0.1% were the lowest since February (excluding Food and Energy). Used car prices fell alongside airline fares. Federal Reserve Chair Jerome Powell will likely comment on the trend during the Fed’s September 22 press conference following the announcement of their decision on rates.

Source: The Daily Shot

The Week Ahead

  • Data to be released this week: Home Builder Index on Monday; Housing Starts and Building Permits on Tuesday; Federal Open Market Committee (FOMC) Press Conference on Wednesday; Weekly Jobless Claims, Purchasing Managers Index (PMI) and Leading Economic Indicators on Thursday; New Home Sales on Friday.

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