Are sulfur and phosphorus also created in the nucleosynthesis of big stars? There are as far as I know two  fusion reactions by which stars convert hydrogen to helium: The CNO cycle (for carbon–nitrogen–oxygen) and the  proton–proton chain reaction. 
The elements created in the CNO cycle are C,N,O and Fluor. 
But in this video min:13:00 https://www.youtube.com/watch?v=pxrPaNDvaQE the prof. talks about Phosphorus and sulfur. Is that true and are those element also created in the CNO cycle or is he talking about something else?
It is not true to say that the CNO cycle produces these elements. It is more like a catalytic chain that aids the conversion of hydrogen to helium. Thus pre-existing CNO nuclei are required and all the reactions do is change the balance of these elements because the reaction steps in the chain have differing timescales.

Sulphur is mainly produced by alpha capture (fusion) onto. carbon and oxygen via neon, magnesium and silicon. This requires the high temperatures found near the cores of massive stars (more than 8 solar masses) and occurs fairly late in their lives, not long before the type II supernova that casts a lot of the processed material into space.

Phosphorus is not part of this "alpha chain" (https://en.m.wikipedia.org/wiki/Alpha_process) because its mass number is not divisible by 4 and it has an odd atomic number. However, it is also expected to be produced in massive stars via neutron capture onto isotopes of silicon (see https://arxiv.org/abs/1112.3824 ). This occurs in the neon and oxygen burning shells, late in the lives of massive stars.