Cboe Global Markets

The Week that Was: July 12 to July 16

Kevin Davitt
July 20, 2021

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

Last week (July 12 – July 16), U.S. equity markets were lower across the board. The Nasdaq 100 (NDX) ended its streak of eight consecutive positive weeks and the small-cap Russell 2000 Index (RUT) experienced significant selling pressure, closing the week down 5.2%. The S&P 500 Index and Dow Jones Industrial Average declined as well. Sector performance reflected the market’s overall behavior. Energies fell by 7.5% and Financials lost 1.4%, while Utilities gained 2.9% and Consumer Stapes added 1.5%. Options volumes continue to be concentrated in a handful of Big Tech names and short-dated maturities. In terms of notional value, single-stock options continue to establish new records. According to Goldman Sachs, the top 50 single-stock options constitute 87% of the total volume and the top five securities (Amazon, Apple, Google, Tesla, NVIDIA) make up 64%. Big Bank earnings generally beat expectations and earnings season will get into full gear in the week ahead.

Quick Bites


  • U.S. Equity Indices declined, despite Federal Reserve Chair Powell’s relatively dovish semi-annual Congressional testimony. Inflationary data continues to roll in and earnings season kicked off.
  • S&P 500 Index (SPX®): Decreased by 1%. The large cap index measured in a wider 1.6% range relative to the previous Friday’s close. 1-month at-the-money (ATM) SPX implied volatilities have moved from measuring around 10% in early July to about 14% by the end of last week.
  • Nasdaq 100 Index (NDX): Declined 1% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 5.2% last week, marking the worst weekly small cap performance since October 2020.
  • Cboe Volatility Index (VIX™ Index): Moved between 18.70 and 15.94 last week and closed at 18.45, up 2.25 vols, compared to the previous week.


  • SPX options average daily volume (ADV) was about 1.4 million contracts, which was slightly below the week prior. The one-week ATM SPX options straddle (4330 strike with a 7/23 expiration) settled at around 61, which implies a +/- range of about 1.4%.
  • VIX options ADV was about 440,000 contracts last week, in-line with the previous week’s ADV of 445,000 contracts. 1.68 VIX options calls traded for every put.
  • RUT options ADV was 58,200 contracts, which was in-line with the previous week. The 1-week ATM straddle implies a range of 3% ahead of the 7/23 weekly expiry.

Across the Pond

  • The Euro STOXX 50 Index declined 1.8% on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 0.5% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 1.6% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX futures term structure held its overall shape (contango) and climbed across maturities last week.
  • The VIX futures Month-1/Month-2 spread closed at 1.95 over. On the previous Friday, the spread settled at 2.0 wide.
  • The July VIX futures gained 0.75 on the week, while August added 0.70. The July VIX futures and options will expire and cash settle on July 21.
  • There is already a noticeable “holiday effect” when you observe the spread between December 2021 and January 2022 VIX futures.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield declined last week and closed at 1.30% on July 16, down from 1.35% the week prior. 
  • The S&P GSCI fell 0.7% last week and Crude Oil moved lower. WTI Crude Oil declined as OPEC members agreed on a production boost with the United Arab Emirates (UAE).
  • Gold is trading in a narrow range of just over $1,800. 
  • Lumber futures have collapsed over the past two months. The September contract is 66% of the May 10 highs.
  • The Dollar Index moved higher following Fed Chair Powell’s Congressional testimony but, at 92.70, it is still shy of the late March 2021 highs of around 93.25.
  • Big Tech was mixed last week. Apple, Microsoft and Google were all positive week-over-week, while Amazon, Facebook and Tesla were lower. The Big Tech companies will report their earnings through the end of July, with Tesla kicking off the bunch on July 26.

Major Cryptos

  • Bitcoin (BTC) was trading around $32,000 on Friday, July 16 and prices ranged between $34,600 and $31,100 over the past week. BTC fell 4.3% on the week and is 48% below its mid-April highs. 
  • Bitcoin is back to the lows from late June and roughly near where the largest crypto started the year ($29,000).
  • Ethereum (ETH) fell 9.9% between July 9 and July 16. ETH ranged between $2,170 and $1,850. As of Friday afternoon, the second largest crypto was trading around $1,900. ETH is 54% off its all-time highs.
  • Bank of America, which is the second largest U.S. bank, has apparently approved Bitcoin futures trading for select clients.
  • During Fed Chair Powell’s Congressional testimony, he addressed the potential for a digital Central Bank currency. This may signal that greater crypto regulation is on the horizon.


  • The 7-day average infection rates have increased since late June. The 7-day average was as low as 11,000 three weeks ago but has since climbed to approximately 27,000.
  • Arkansas, Missouri, Florida and Nevada continue to deal with small hot spots.
  • 48% of the U.S. population is fully vaccinated and 56% have received at least one dose of a COVID-19 vaccine. For just those 18 years and older, the numbers are 59% and 68% respectively.
  • Vaccination numbers have slowed considerably. Roughly 550,000 shots are given daily,  compared to a high of 3.3 million in early spring.
  • Global infection numbers crept higher last week as contagious variants spread rapidly in Africa. Brazil just surpassed 500,000 deaths. 

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • Warren Buffett has referenced the relationship between an index’s (S&P 500 Index/Wilshire 5000) market capitalization relative to the country’s Gross National Product (GNP) as a bellwether for relative valuation. The long-term trendline puts “fair value” at 120% of GNP. The current ratio is 240% of GNP. Viewed differently, the measure is 2.8 standard deviations from the long-term mean.

Market Capitalization to Gross National Product

Source: The Felder Report

Last week, China cut its Required Reserve Ratio for Big Banks, citing a desire to “help small firms cope with the negative impact from rising commodity prices.” Chinese industrial output has slowed for the past three months and consumer inflation in China is falling short of the government’s expectations of 3% annually. China is the second largest economy in the world.

Source: The Daily Shot

In the chart below, the blue line represents personal savings plus corporate profits (after tax) and U.S. Trade Deficit. The red line below the axis includes transfer payments minus total government receipts (tax revenue). The government ran a deficit of 19% of GDP in 2020. A deficit on one side of the ledger reflects a surplus on the other. The government may continue to run significant deficits but they likely won’t be as large as they were last year. What implication will that have on the consumer and the economy?

Source: St. Louis Federal Reserve

The Week Ahead

  • Data to be released this week: Home Builders Index on Monday; Building Permits/Housing Starts on Tuesday; Weekly Jobless Claims and Leading Economic Indicators on Thursday; Manufacturing and Services Pricing Managers Index (PMI) on Friday.
  • Earnings season will get into full swing.

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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.