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The Week that Was: September 20 to September 24


Visit: Cboe

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

Last week (September 20 – September 24), the S&P 500 Index fell 5% from recent highs on Monday. It was the steepest decline year-to-date but muted by historical standards. The index ultimately ended the week just 2% off highs. Meanwhile, markets seem to be anticipating that the central bank will begin to scale back its monthly asset purchases in November. Concerns linger about the prospect of a U.S. government shutdown related to the debt ceiling debate. This type of conflict is not new, but in 2011 the delayed response in Washington D.C. played a role in the subsequent U.S. debt downgrade. Bigger picture, the spread between high-yield and investment grade bonds remains narrow. The VIX Index is back below the 2021 average of 19.77, ending the week at 17.75. The third quarter of 2021 ends on Thursday, September 30, which can give rise to portfolio rebalancing.

Quick Bites


  • U.S. Equity Indices were a roller coaster last week.
  • S&P 500 Index (SPX®): Increased 0.5% week-over-week.
  • Nasdaq 100 Index (NDX): Was unchanged week-over-week. 
  • Russell 2000 Index (RUT℠): Increased 0.9% last week.
  • Cboe Volatility Index™ (VIX™ Index): Moved in a much broader range of 28.79 and 17.63 last week and closed at 17.75, down more than three vols week-over-week.


  • SPX options average daily volume (ADV) was about 1.68 million contracts, which is just below the previous week’s ADV of 1.74 million contracts. The one-week at-the-money (ATM) SPX options straddle (4455 strike with a 10/1 expiration) settled at around 54.75, which implies a +/- range of about 1.2%. The weekly ATM straddle settled on an 11% implied volatility.
  • VIX options ADV was about 620,000 contracts last week, which was higher than the previous week’s ADV of 540,000 contracts. The VIX options call-put ratio was 0.83:1.
  • RUT options ADV was 63,700 contracts, compared to an ADV of 58,000 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index increased 0.5% on the week.
  • The MSCI EAFE Index (MXEA℠) decreased 0.3% week-over-week and the MSCI Emerging Markets Index (MXEF℠) decreased 1.1% week-over-week.  

Charting It Out

Observations on VIX futures term structure

  • The VIX Index fell more than three vols as implied measures of S&P 500 Index volatility declined and realized measures increased.
  • The spread between October and November VIX futures settled at 1.70 wide, compared to 0.85 wide the previous week.
  • The October VIX futures contract fell 2.55 and the November VIX futures contract lost 1.70.
  • The chart below plots the VIX futures term structure following the 1.7% selloff in the S&P 500 Index on Monday, September 20. At that point the curve was flat and much higher across maturities.

VIX Futures Term Structure

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield vacillated between 1.46% and 1.30%. The 10-year yield ended the week up 9 basis points at 1.46% — the highest 10-year treasury yield rate since July 1.
  • The S&P GSCI gained another 2% on the week. Oats, Platinum and Coffee prices led the charge, followed by Crude Oil, which gained 3%.
  • Bonds, Cocoa and Hogs were the laggards, alongside the VIX Index, which fell about 14%.
  • The U.S. Dollar Index was fractionally higher following the Federal Reserve meeting last week that alluded to its plan to potentially begin tapering asset purchases later this year and increase rates in 2022. 
  • The dispersion in the massive market cap names continued last week.
  • Facebook lost 3.2%, Amazon fell 1% and Microsoft was fractionally lower.
  • Apple gained 0.6%, Alphabet added 1% and Tesla was up nearly 2%.

Major Cryptos

  • Bitcoin (BTC) prices were around $47,200 on Friday, September 17. Last week they traded between $48,700 and $40,000.
  • Bitcoin was trading at approximately $42,000 as of Friday afternoon which was down 11% week-over-week.
  • Last week Ethereum (ETH) prices vacillated between $3,530 and $2,650.
  • As of Friday afternoon, ETH was near $2,900, lower by 14.7%. 
  • The People’s Bank of China declared that all cryptocurrency transactions are deemed illegal and cryptocurrencies tumbled.
  • The regulatory environment regarding crypto in the U.S. has garnered more attention of late as well.
  • A broader perspective shows a significant increase in Bitcoin futures (and spot market) trading over the past few quarters. 


  • The 7-day average COVID-19 infection rate in the U.S. decreased to 127,000 on September 24 from approximately 150,000 a week prior.
  • 55% of the U.S. population is fully vaccinated against COVID-19 and 64% has received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 64% and 75% respectively. Daily vaccination numbers continue to decline.  
  • Globally, the 7-day average infection rate declined from 535,000 to 507,000 week-over-week.

COVID-19 in the U.S.

COVID-19 in the U.S.

Source: The New York Times

Tidbits from the News

  • According to Modern Portfolio Theory, market risk and potential reward are inextricably connected. The visual below highlights a primary impact of lower fixed income yields. Bonds typically have a lower risk profile, relative to equities and other asset classes. In 1995 an investor could allocate 100% to bonds, generate an expected, annualized return of approximately 7.5% with a standard deviation, or risk, of approximately 6.0%. The requisite mix has shifted much further along the risk spectrum over the past two decades. Reaching 17.2% standard deviations in 2015.

Estimates of What Portfolio Allocations Investors Needed to Earn a 7.5% Annualized Return

Estimates of What Portfolio Allocations Investors Needed to Earn a 7.5% Annualized Return

Source: Wall Street Journal and Callan Associates

  • There has been a massive uptick in global equity trading over the past few years. Based on data from the World Federation of Exchange (WFE), the value of equities trading was up 32% globally between 2019 and 2020. As illustrated in the graphic below, the average holding period has declined significantly. 40 years ago, an equity was typically held for nearly a decade. As of last year, that average fell to 7.2 months.

Record Year in 2020

global stocks growth 1980 - 2020

Source: World Federation of Exchanges and The Daily Shot

The Week Ahead

  • Data to be released this week: Durable Goods on Monday; Case-Shiller Home Price Index and Consumer Confidence Index on Tuesday; Pending Home Sales on Wednesday; Weekly Jobless Claims, Gross Domestic Product (GDP) Revision, Chicago Purchasing Managers Index (PMI) on Thursday; Core Inflation, Manufacturing PMI and Five-Year Expected Inflation Rate on Friday.

Originally Posted on September 27, 2021 – The Week that Was: September 20 to September 24


  • Options involve risk and are not suitable for all market participants. Prior to buying or selling an option, a person should review the Characteristics and Risks of Standardized Options (ODD), which is required to be provided to all such persons. Copies of the ODD are available from your broker or from The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606. 
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VIX® Index and VIX® Index Products

  • The Cboe Volatility Index® (known as the VIX Index) is calculated and administered by Cboe Global Indices, LLC. The VIX Index is a financial benchmark designed to be a market estimate of expected volatility of the S&P 500® Index, and is calculated using the midpoint of quotes of certain S&P 500 Index options as further described in the methodology, rules and other information here
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  • Transacting in VIX Index Products involves the risk of loss, which can be substantial and can exceed the amount of money deposited for a VIX Index Product position (except when buying options on VIX Index Products, in which case the potential loss is limited to the purchase price of the options).
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  • Not Buy and Hold Investment: VIX Index Products are not suitable to buy and hold because: 
  • On their settlement date, VIX Index Products convert into a right to receive or an obligation to pay cash.
  • The VIX Index generally tends to revert to or near its long-term average, rather than increase or decrease over the long term. 
  • Volatility: The VIX Index is subject to greater percentage swings in a short period of time than is typical for stocks or stock indices, including the S&P 500 Index.
  • Expected Relationships: Expected relationships with other financial indicators or financial products may not hold. In particular:
  • Although the VIX Index generally tends to be negatively correlated with the S&P 500 Index – such that one tends to move upward when the other moves downward and vice versa – that relationship is not always maintained.
  • The prices for the nearest expiration of a VIX Index Product generally tend to move in relationship with movements in the VIX Index. However, this relationship may be undercut, depending on, for example, the amount of time to expiration for the VIX Index Product and on supply and demand in the market for that product.
  • Mini VIX futures contracts trade separately from regular-sized VIX futures, so the prices and quotations for Mini VIX futures and regular-sized VIX futures may differ because of, for example, possible differences in the liquidity of those markets.
  • Final settlement Value: The method for calculating the final settlement value of a VIX Index Product is different from the method for calculating the VIX Index at times other than settlement, so there can be a divergence between the final settlement value of a VIX Index Product and the VIX Index value immediately before or after settlement. (See the SOQ Auction Information section here for additional information.) 

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Cboe Strategy Benchmark Indices

  • Cboe Strategy Benchmark Indices are calculated and administered by Cboe Global Indices, LLC as described in the methodologies, rules and other information available here using information believed to be reliable, including market data from exchanges owned and operated by other Cboe Companies.
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