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The Week that Was: August 30 to September 3


Visit: Cboe

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

Last week (August 30 – September 3), growth outperformed value as the U.S. equity markets continued their low-volatility climb higher. With regard to sector performance, Utilities added 2% to lead the pack, followed by Health Care and Consumer Staples. The Financials and Energies sectors lagged, down 2.2% and 1.2%, respectively, which is indicative of some cautious rotation. However, Crude Oil (WTI) rallied last week to climb back about the $70 mark but closed at $69.29.

Economic data, except for earnings, has been weakening with the spread of the COVID-19 Delta variant and that fragility seems to have spilled into the labor markets. The August Nonfarm Payroll data was a significant disappointment, with the U.S. economy adding only 235,000 new jobs, compared to expectations for 725,000 new jobs. September typically tends to beget macro market volatility and a lower S&P 500 Index. Over the past 20 years, September performance is the worst month of the year. That average is skewed in large part by the events of September 2008. The “glass half-full” types could view the weaker economic backdrop as a catalyst for continued easy monetary policy, which has supported asset prices. Furthermore, this is the ninth time in the past 30 years that the S&P 500 Index is up 20%+ on the year by Labor Day. In each of those years, the S&P 500 Index continued higher after the holiday, with average post-Labor Day gains at 8.8%. However, past performance is never indicative of future results.

Quick Bites


  • U.S. Equity Indices continued a record-setting advance.
  • S&P 500 Index (SPX®): Increased 1.52% week-over-week.
  • Nasdaq 100 Index (NDX): Increased 0.98% week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 0.5% last week.
  • Cboe Volatility Index (VIX™ Index): Moved in a narrow range of 17.07 and 15.68 last week and closed at 16.41, effectively unchanged week-over-week.


  • SPX options average daily volume (ADV) was about 1.24 million contracts, which is slightly higher than the previous week’s ADV of approximately 1.2 million. The one-week at-the-money (ATM) SPX options straddle (4535 strike with a 9/10 expiration) settled at around 41.85, which implies a +/- range of about 0.9%. The weekly ATM straddle settled on an 7% implied volatility.
  • VIX options ADV was about 360,000 contracts last week, which was slightly above the previous week’s ADV of 320,000 contracts. The VIX options call-put ratio was 1.10:1.
  • RUT options ADV was 58,600 contracts, compared to an ADV of 69,800 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index increased 0.9% on the week.
  • The MSCI EAFE Index (MXEA℠) increased 1.6% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 3.2% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index was effectively unchanged last week.
  • The shape of the VIX futures curve was also little changed, but rolldown in the near-term futures continues.
  • The September and October VIX futures both fell 0.75 week-over-week. As such, the Month-1/Month-2 futures spread remained unchanged at 2.20.
  • The November contract lost 0.45 relative to the previous Friday.

VIX Futures Term Structure

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield vacillated between 1.33% and 1.27%, ending the week up two basis points at 1.33%.
  • The S&P GSCI added 0.5% for the week. Lumber reversed course and closed higher by more than 20%. Natural Gas continues to climb and is trading at 2.5-year highs, with Hurricane Ida shutting in some production. Silver added 3%. 
  • The U.S. Dollar Index fell 0.7% last week. The weaker jobs data released recently gives credence to the belief that the Federal Reserve will continue its asset purchase program. All else equal, that puts pressure on the U.S. Dollar.

Major Cryptos

  • Bitcoin (BTC) prices chopped between $50,900 and $46,700. BTC has gained about 3%, relative to the previous Friday and its market cap continues to bump up against the $1 trillion mark. 
  • Ethereum (ETH) chopped between $3,160 and $4,050, gaining nearly 20% last week.
  • Cardano (ADA) gained about 5% last week and is trading at $3.00 for the first time ever.
  • A CNBC and Acorns survey showed roughly half as many women currently invest in crypto compared to men. That trend plays out across several asset classes including ETFs, equities and bonds.
  • In late August, PayPal announced its intent to allow UK customers to buy or sell four cryptocurrencies, including Bitcoin. PayPal’s U.S. customers can already access a limited number of cryptocurrencies. Globally, PayPal has more than 400 million accounts.


  • The U.S. 7-day average COVID-19 infection rates continued to rise from approximately 156,000 a week ago, to approximately 164,000 on September 2.
  • COVID-19 cases and related deaths and hospitalizations have returned to winter 2020 levels. However, the positive case rate has slowed slightly in recent days.
  • The hardest hit areas in the country’s Southern states have improved. There are now issues in the Midwest and mid-Atlantic.
  • 53% of the U.S. population is fully vaccinated against COVID-19 and 62% have received at least one dose of a COVID-19 vaccine. For just those 18 years and older, the numbers are 64% and 75% respectively.
  • Globally, the 7-day average declined from 658,000 to 632,000 week-over-week. 

Average COVID-19 Cases in the U.S.

Average COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • The S&P 500 Index’s top five constituents (Apple, Microsoft, Amazon, Google and Facebook) all have a market capitalization of more than $1 trillion. Apple recently surpassed the $2.5 trillion mark. The visual below highlights the current large cap concentration in Big Tech. Exposure to the Top Five has grown significantly over the past few years. At present, those five tech companies make up almost 23% of the S&P 500 Index. By comparison, the Top Five in late 1999 made up less than 17% of the index.

Cumulative Weight of the S&P 500 Index’s Top Five Constituents

Cumulative Weight of the S&P 500 Index's Top Five Constituents

Source: S&P Global Indices

  • The August Nonfarm Payroll data was a disappointment. The U.S. economy added 235,000 jobs and the unemployment rate fell from 5.4% to 5.2%. However, expectations called for 725,000 new jobs. The data points to the muddled outlook given surging COVID-19 infections. Federal Reserve Chair Jerome Powell’s comments (historically) have tethered any plans to taper the Fed’s $120 billion per month asset purchases to the labor market.

Cumulative Change in Number of U.S. Jobs Since Before the COVID-19 Pandemic Began

Cumulative Change in Number of U.S. Jobs Since Before the COVID-19 Pandemic Began

Source: Bureau of Labor Statistics

The Week Ahead

  • Data to be released this week: Beige Book on Wednesday; Weekly Jobless Claims on Thursday; Producer Price Index (PPI) on Friday.

Originally Posted on September 7, 2021 – The Week that Was: August 30 to September 3

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