Cboe Global Markets

The Week that Was: September 6 to September 10

Kevin Davitt
September 13, 2021

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

Last week (September 6 – September 10), major U.S. equity markets retreated during the Labor Day shortened week. The Nasdaq 100 fell 1.36% and the small-cap Russell 2000 Index declined 2.4%. In terms of S&P 500 Index sector performance, Heath Care lagged, declining 2.4% week-over-week. Industrials declined 2.0% and Consumer Discretionary eked out small gains. Amazon and Tesla are the two largest constituents in the sector, and they were relative standouts. Markets have had a more defensive tone for the better part of two months, which is best illustrated by the relative strength in Utilities. Growth proxies like Oil and Copper are both about 10% off 2021 highs.

Economists have scaled back expectations for third quarter growth. Slumping consumer sentiment, which has been reflected in retail sales data and supply chain issues, is considered the culprit. The S&P 500 Index is now nearly a year removed from the last 5% peak-to-trough decline. Implied volatility levels for the index popped significantly last week, despite realized volatility levels remaining muted. Time will tell whether the options market is correct in forecasting some turbulence or if the current fears will quickly subside.

Quick Bites


  • U.S. Equity Indices pulled back last week.
  • S&P 500 Index (SPX®): Decreased 2.08% week-over-week.
  • Nasdaq 100 Index (NDX): Decreased 1.36% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 2.4% last week.
  • Cboe Volatility Index (VIX™ Index): Moved in a wider range of 21.13 and 16.89 last week and closed at 20.95, the highest weekly close since mid-March.


  • SPX options average daily volume (ADV) was about 1.58 million contracts, which is the highest in months. The one-week at-the-money (ATM) SPX options straddle (4460 strike with a 9/17 expiration) settled at around 77.2, which implies a +/- range of about 1.7%. The weekly ATM straddle settled on a 15% implied volatility.
  • VIX options ADV was about 400,000 contracts last week, which was higher than the previous week’s ADV of 360,000 contracts. The VIX options call-put ratio was 1.36:1.
  • RUT options ADV was 63,100 contracts, compared to an ADV of 58,600 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index decreased 1.64% on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 0.5% week-over-week and the MSCI Emerging Markets Index (MXEF℠) decreased 0.6% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index was up 4.5 vols last week and the VIX futures curve was higher across maturities and flatter in the front.
  • The September VIX futures gained 2.20 and the October VIX futures were up 1.50. As such, the Month-1/Month-2 futures spread narrowed by 0.70 and settled at 1.50 wide.
  • The November VIX futures contract gained 1.10 relative to the previous Friday.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield vacillated between 1.38% and 1.30% and ended the week up 1 basis point at 1.34%.
  • The S&P GSCI slipped 0.4% for the week. Natural Gas continues to lead with production shut-ins and the prospect of an early frost. Copper also gained on the week.
  • Palladium and platinum were off 12% and 7%, respectively. Hogs fell 7.6% and Silver gave back the prior week’s advance. Front-month Silver futures dropped 4.2%
  • The U.S. Dollar Index climbed 0.7%. The dollar remained in a narrow range and is holding just below 6-month highs.
  • Big Tech was a mixed bag last week. Apple fell 3.5%. The decline was tied to a court ruling about the power they wield over the app store.
  • Google and Microsoft declined 2% and 1.80%, respectively. Amazon was fractionally lower.
  • Tesla was up 0.4% and Facebook was the relative leader, adding 0.7%.


  • The 7-day average COVID-19 infection rate in the U.S. declined to approximately 148,000 on September 10, compared to approximately 164,000 a week prior.
  • It’s possible that Labor Day reporting issues have skewed recent data. However, infection rates in some of the hardest hit areas continue to improve.
  • 54% of the U.S. population is fully vaccinated against COVID-19 and 63% have received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 63% and 73%, respectively. 
  • Globally, the 7-day average infection rate declined from 632,000 to 586,000 week-over-week.

COVID-19 in the U.S.

Source: The New York Times

Tidbits from the News

  • 30-day realized volatility on the S&P 500 Index is approximately 8%. 30-day expected volatility for the same index, as measured by the VIX Index, is approximately 21%. From a historical standpoint, that spread is unusually wide. According to S&P Global Research, the last occurrence of a 100%+ VIX premium to 30-day realized was just ahead of the 2016 U.S. election cycle.

S&P 500 Index Implied versus Realized Volatility

Source: S&P Global Research

  • Aluminum futures rallied to near 25-year highs following a military coup in Guinea. West Africa is mineral rich and home to the largest reserves of bauxite, a key mineral required for aluminum refining/smelting. Prior to the coup, Aluminum prices were already up 40% year-over-year, following Chinese production cuts and shipping disruptions.  

Aluminum Futures Since 1998

Source: LME/TradingEconomics

The Week Ahead

  • Data to be released this week: Federal Budget on Monday; Core Consumer Price Index (CPI) on Tuesday; Industrial Production on Wednesday; Weekly Jobless Claims and Philly Fed and Retail Sales on Thursday; University of Michigan Consumer Sentiment Index on Friday.

Like what you see? Don’t miss the latest insights, webinars, news and announcements from the Cboe Options Institute.

Cboe Options Institute Back to School Series

An Introduction to Theoretical Pricing Models | Wednesday, September 14 at 10 a.m. ET

Options industry leader and Cboe Options Institute Adjunct Faculty member Sheldon Natenberg will help participants gain a better understanding of the logic behind traditional models and how to use them more effectively, while avoiding errors that result from a specific model’s weakness or limitations.

Learn more and register >>>

IRL: Pricing Models | Tuesday, September 21 at 12:30 p.m. ET

Citadel Securities Head of Institutional Equity Derivatives and Cboe Options Institute Adjunct Faculty member David Silber will discuss real-life market practices and how to effectively use pricing models to grow and protect your portfolio.

Learn more and register >>>

Cboe Options Calculator

The Options Calculator is an intuitive and easy-to-use tool for new and seasoned traders alike, powered by Cboe’s All Access APIs. Customize your inputs or select a symbol and generate theoretical price and Greek values to take your understanding to the next level.

Check it Out >>>


The information in this article is provided for general education and information purposes only. No statements within this article should be construed as a recommendation to buy or sell a security or futures contract or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this article is available by contacting Cboe Global Markets at www.cboe.com/Contact. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com. Cboe Volatility Index and VIX are registered trademarks and of Cboe Exchange, Inc. All other trademarks and service marks are property of their respective owners. © 2021 Cboe Exchange, Inc. All Rights Reserved.