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The Week that Was: November 22 to November 26


Visit: Cboe

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

Last week (November 22 – November 26), news of an emerging, potentially problematic strain of COVID-19 sparked worries about possible shutdowns. The S&P 500 Index suffered its largest daily decline (2.22%) since February 25, 2021 (2.45%) and third worst sell-off of the year on Friday. Additionally, the small-cap Russell 2000 Index is approaching correction territory, following two straight weeks of 3.9% declines. However, despite the pullback, the S&P 500 Index is higher by more than 22% for the year. Meanwhile, the options market indicates meaningful concern about the future path for the S&P 500 Index and other major indices as the spread between implied volatility (high) and realized volatility (relatively low) is unusually wide.

Interest rates and energy prices fell, which could be a boon to consumers. The odds of multiple interest rate hikes in the U.S. declined significantly on Friday. The next Federal Reserve meeting is scheduled for December 14 and 15. The coming week’s economic calendar is full of new data points, including the release of Nonfarm Payroll numbers on Friday.

Quick Bites


  • U.S. Equity Indices fell as concern about the newly identified COVID-19 Omicron variant worried investors.
  • S&P 500 Index (SPX®): Decreased 2.2% week-over-week.
  • Nasdaq 100 Index (NDX): Decreased 3.3% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 3.9%. week-over-week.
  • Cboe Volatility Index (VIX™ Index): Measured between 28.99 and 17.35 last week and ended the week at 28.62, the highest weekly VIX Index close since January 2021.


  • SPX options average daily volume (ADV) was 1.63 million contracts per day, above the previous week’s average of 1.46 million contracts per day. The one-week at-the-money (ATM) SPX options straddle (4595 strike with an 12/03 expiration) implies a +/- range of about 2.7%.
  • VIX options ADV was about 600,000 contracts last week, which was above the previous week’s ADV of 480,000 contracts. The VIX options call-put ratio was 1.64:1.
  • RUT options ADV was 74,300 contracts, up from the previous week’s ADV of 55,000. More than 91,000 RUT options puts traded Friday – the heaviest put trading in more than a year.

Across the Pond

  • The Euro STOXX 50 Index decreased 5.7% on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 3.7% week-over-week and the MSCI Emerging Markets Index (MXEF℠) decreased 3.6% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index increased nearly 11 handles week-over-week and closed at 28.62 amidst escalating concerns about COVID-19 and a broad-based equity selloff.
  • The December VIX futures contract gained 5.3, ending the week at 25.90.
  • The January VIX futures contract added 3.80 and closed at 26.40.
  • The Month-1 vs. Month-2 spread moved from 2.00 wide to just 0.50 wide last week.
  • The VIX futures curve is much higher and flatter, compared to the previous Friday. 
  • The VIX 1-year Index moved up to 29.66. The longer-term measure of volatility has remained elevated since the COVID-19 pandemic but has moved back to the highest levels since late January 2021.

VIX Futures Term Structure

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield climbed to 1.69% on Wednesday, matching the October 22 high-yield mark. Late on Thursday, headlines about the COVID-19 Omicron variant led to U.S. treasury purchases and pushed yields lower.
  • The 10-year yield ended the week at 1.5%, lower by 4 basis points week-over-week. The 30-year yield fell back below 2% and closed at 3-week lows.
  • The S&P GSCI fell 4.4%. Front month WTI futures declined by 9.6% and Brent futures fell 7.1%. Near-term RBOB (gasoline) futures declined 10%, which should push prices at the pump lower in the coming weeks.
  • Natural gas continued to climb, adding another 5% last week as temperatures drop. 

Major Cryptos


  • Last week Bitcoin (BTC) traded between $60,000 and $53,500.
  • Bitcoin ended the week at $54,400 which was down 6.2% week-over-week. $53,500 was the lowest BTC has traded since early October 2021. BTC has declined 20% from recent highs.


  • Ethereum (ETH) traded between $4,530 and $3,950 last week. The $4,000 level is seemingly an area of support dating back to early October.
  • ETH ended the week at $4,100, down 10.9% week-over-week.

Digital Asset Industry

  • Last week, a plot of virtual real estate in Decentraland sold for $2.4 million in cryptocurrency. In June, a plot in the same “metaverse” sold for $913,000.
  • The India’s government introduced legislation to regulate digital assets. Their parliament may prohibit all private cryptocurrencies in India but may “allow for certain exceptions to promote the underlying technology and its uses.”


  • The 7-day average COVID-19 infection rate in the U.S. is slightly higher week-over-week, increasing to approximately 95,000 cases per day on November 24, compared to about 90,000 cases per day on November 19. Many states did not report data on November 25 because of Thanksgiving. 
  • 59% of the U.S. population is fully vaccinated against COVID-19 and 70% has received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 69% and 80% respectively.
  • The upper Midwest and Northeast are currently the hardest hit areas. COVID-19 cases in Michigan, Massachusetts and Illinois are up more than 70% over the past two weeks. 
  • The COVID-19 Omicron variant was identified in South Africa and cases have been discovered in Botswana, Belgium, Hong Kong and Israel. The Omicron variant has mutated spike proteins and scientists are uncertain about the efficacy of existing COVID-19 vaccines.
  • Globally, the 7-day average has climbed from approximately 508,000 to approximately 572,000.

COVID-19 Cases in the U.S.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • The cost of a basket of 12 common Thanksgiving meal components, which includes turkey, stuffing, sweet potatoes, rolls, butter, peas, cranberries, a vegetable tray, pumpkin pie and whipped cream, climbed 14% year-over-year in 2021. However, the average cost to feed a group of ten declined to $46.90 last year, which was the lowest in a decade. Average Thanksgiving dinner costs are up 9% relative to 2019.

The Cost of Thanksgiving

The Cost of Thanksgiving

Source: American Farm Bureau Federation

  • The S&P 500 Index is higher by approximately 26.5% year-to-date. Energy has outperformed the other sectors, but it has a low weighting of 2.75%. Information Technology (IT) has the largest weighting within the index at 27.6%. These weightings change over time. For example, in December 2016, Energy accounted for 7.6% of the index and Information Technology comprised 20.8%. The influence of Financials has also declined over the past five years, with  current weight of 11.4%.

S&P 500 Index Sector Performance in 2021

S&P 500 Index Sector Performance in 2021

Source: S&P Global Research

  • New jobless claims fell to 199,000 last week, the lowest level since November 1969. The average level in 2019 (pre-pandemic) was 218,000. This data is reflective of a strong labor market and resilient U.S. economy. This could also put pressure on the Federal Reserve to increase the pace for tapering monthly asset purchases.

Initial Claims for Unemployment Insurance in the U.S.

Initial Claims for Unemployment Insurance in the U.S.

Source: Department of Labor

The Week Ahead

  • Data to be released this week: Pending Home Sales on Monday; Chicago Purchasing Managers Index and Consumer Confidence Index on Tuesday; ADP Employment, Manufacturing Purchasing Managers Index, ISM Index and Beige Book on Wednesday; Initial Jobless Claims on Thursday; Nonfarm Payrolls, Unemployment Rate and ISM Services on Friday.

Originally Posted on November 29, 2021 – The Week that Was: November 22 to November 26

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