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The Week that Was: October 4 to October 8

The Week that Was: October 4 to October 8

Posted October 13, 2021
Kevin Davitt
Cboe Global Markets

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

Last week (October 4 – October 8), monthly jobs data was released with 194,000 new jobs reported falling well below expectations of 500,000 or more. The unemployment rate fell to 4.8%, which was better than expected, however, the labor participation number declined. The Bureau of Labor Statistics revised the July and August job gains and released higher numbers. The weakest portion of the September report was driven by fewer government jobs. The domestic economy is still about 5 million jobs shy of pre-pandemic highs.

Interest rates continued to climb with the 10-year U.S. Treasury yield reaching 1.62% late in the week. The Energy sector led the S&P 500 Index as Crude Oil moved beyond $80 per barrel for the first time since late 2014. Financials and Industrials performed well, while Information Technology, Communication Services and Real Estate lagged, given escalating borrowing rates.

Earnings season will kick off this week with reports from Wall Street’s big banks. The Delta-variant issues have been easing in recent weeks, which could bolster consumer spending activity. However, global supply chain disruptions persist, with an estimated 150+ cargo and container ships outside of the ports of Los Angeles and Long Beach. A significant percentage of imported goods funnel through those two ports and many retailers are concerned that goods will not be on shelves or in warehouses by the start of the holiday season in November.

Quick Bites


  • U.S. Equity Indices ended the week mixed.
  • S&P 500 Index (SPX®): Increased 0.8% week-over-week.
  • Nasdaq 100 Index (NDX): Increased 0.2% week-over-week. 
  • Russell 2000 Index (RUT℠): Decreased 0.43% last week.
  • Cboe Volatility Index™ (VIX™ Index): Measured between 24.58 and 18.20 last week and closed at 18.77, lower by 2.4 vols week-over-week.


  • SPX options average daily volume (ADV) was about 1.62 million contracts per day. The 3-month running (daily) ADV is 1.4 million, meaning SPX options have been running above average since mid-August. The one-week at-the-money (ATM) SPX options straddle (4390 strike with a 10/15 expiration) implies a +/- range of about 1.6%. The weekly ATM straddle settled on a 14.5% implied volatility.
  • VIX options ADV was about 420,000 contracts last week, which was above the previous week’s ADV of 320,000 contracts. The VIX options call-put ratio was 1.1:1.
  • RUT options ADV was 57,400 contracts, compared to an ADV of 62,100 contracts the previous week.

Across the Pond

  • The Euro STOXX 50 Index increased fractionally on the week.
  • The MSCI EAFE Index (MXEA℠) increased 0.2% week-over-week and the MSCI Emerging Markets Index (MXEF℠) increased 0.65% week-over-week.   

Charting It Out

Observations on VIX futures term structure

  • The VIX Index closed down 2.4 vols week-over-week and the front end of the VIX futures term structure steepened.
  • The spread between the October and November VIX futures settled at 1.85 wide. A week prior that spread was 1.45 wide.
  • October VIX futures fell 1.70 and the November VIX futures contract lost 1.30.
  • The standard October VIX futures and options will expire on Wednesday, October 20. 

VIX Futures Term Structure

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The U.S. 10-year Treasury Yield moved up to four-month highs last week and bonds sold off throughout the week. The 10-year yield moved from around 1.47% on October 1 to approximately 1.60% on October 8 – higher by 13 basis points.
  • The S&P GSCI increased yet again, gaining 2.7% on the week and is now at the highest levels since late 2014. Energy markets continue to trend higher. Crude Oil (WTI) gained 4.8% and Henry Hub Natural Gas was unchanged after another frenzied week. Gasoline gained 5.3%. 
  • Corn and Wheat declined last week. Hogs and Orange Juice were the laggards.
  • The U.S. Dollar Index was rangebound most of the week. It fell slightly following Friday’s disappointing September jobs data. The revisions for July and August data, which were higher than the previously released data, acted as a countervailing force.
  • The technology-heavy Nasdaq 100 Index suffered its worst weekly performance since February. Growth stocks have underperformed as interest rates climb.
  • Big Tech leaders were nearly higher across the board, with Facebook as the exception following a barrage of issues. To compound matters, the Facebook suite of applications (including Instagram and WhatsApp) were offline for a handful of hours on Monday, October 4. Shares fell 3.7% on the week.
  • Alphabet was higher by 2.3% and Microsoft gained 1.9%. Tesla shares were up 1.4% as the company delivered a record number of automobiles in Q3. Apple and Amazon were both fractionally higher last week.

Major Cryptos


  • Bitcoin (BTC) prices were approximately $43,000 on Friday, October 1, then moved higher for most of the week, trading up to $55,700 on Wednesday, October 6. 
  • Bitcoin was trading at approximately $54,500 as of Friday afternoon, higher by 15% week-over-week.
  • Bitcoin’s market cap once again exceeded $1 trillion and it constitutes 31% of the overall crypto market. 


  • Ethereum (ETH) was trading around $3.,300 on October 1, trending higher throughout the week and moving up to $3,650 on Thursday. At the end of the work week ETH was near $3,620, up 11.4% on the week. ETH is about 18% below all-time highs.
  • ETH market cap is $423 billion, which makes up 13% of the overall crypto market.

Crypto Industry

  • The U.S. Department of Justice pulled from members of its intellectual property and computer crime divisions to create a crypto enforcement group.
  • The Securities Exchange Commission (SEC) approved an actively managed ETF that tracks companies that hold a majority of their assets in Bitcoin or generate most of their revenues from cryptocurrency mining or lending or producing mining equipment.
  • Roughly 25 crypto-related ETFs have been stuck in limbo with the SEC. Chairman Gary Gensler has expressed support for Bitcoin futures in the past.


The 7-day average COVID-19 infection rate in the U.S. decreased from approximately 110,000 a week ago to approximately 99,700 on October 8. Hospitalization rates and new cases have fallen consistently since mid-September.  

57% of the U.S. population is fully vaccinated against COVID-19 and 65% have received at least one dose of a COVID-19 vaccine. For just those 12 years and older, the numbers are 66% and 76% respectively. Daily vaccination rates are ticking higher since the Pfizer booster shots were rolled out. 

Globally, the 7-day average infection rate again moved lower, from 447,000 to 420,000 week-over-week. Eastern Europe is the latest hotspot.

COVID-19 Infection Rate in the U.S.

COVID-19 Infection Rate in the U.S.

Source: The New York Times

Tidbits from the News

  • Cboe’s SKEW Index declined from slightly above 160 to nearly 130 between early September and early October. The SKEW Index tends to fall when the S&P 500 Index declines. According to data from Susquehanna International Group, 1-month S&P 500 Index returns tend to be positive following a 10%+ fall in SKEW. The average 1-month S&P 500 Index return is 2% and the median is 1.68%. Expectancy is also high, with 83% of occurrences being positive a month later.

SPDR S&P 500 ETF Trust Returns

SPDR S&P 500 ETF Trust Returns

Source: Susquehanna International Group

  • Small-caps outperformed large-caps between November 2020 and mid-March 2021, then reversed course until August 19, 2021. Since August, small caps have again had an edge and the Russell 2000 Index has outperformed by about 400 basis points over the past seven weeks.

iShares Russell 2000 ETF Total Return Price/SPDR S&P 500 ETF Trust Total Return Price

iShares Russell 2000 ETF Total Return Price/SPDR S&P 500 ETF Trust Total Return Price

Source: Compound Advisors/Cboe Options Institute

The Week Ahead

  • Data to be released this week: NFIB Small-Business Index on Tuesday; Consumer Price Index (CPI) and Federal Open Market Committee (FOMC) meeting minutes on Wednesday; Weekly Jobless Claims and Producer Price Index (PPI) on Thursday; Retail Sales and Consumer Sentiment on Friday.

Originally Posted on October 11, 2021 – The Week that Was: October 4 to October 8


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Disclosure: Bitcoin Futures

TRADING IN BITCOIN FUTURES IS ESPECIALLY RISKY AND IS ONLY FOR CLIENTS WITH A HIGH RISK TOLERANCE AND THE FINANCIAL ABILITY TO SUSTAIN LOSSES. More information about the risk of trading Bitcoin products can be found on the IBKR website. If you're new to bitcoin, or futures in general, see Introduction to Bitcoin Futures.

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