The Week that Was: Feb. 22–26

Quick Bites


  • U.S. Equity Indices were on a roller coaster last week with significant intraday volatility.
  • S&P 500 Index (SPX): Declined 2.45% week-over-week.
  • Nasdaq 100 Index (NDX): Fell 4.95% week-over-week. In February the index saw a big swing in favor of value and away from growth.
  • Russell 2000 Index (RUT℠): Down 3.22% on the week, but small-caps remain well above their 50-day simple moving average (SMA).
  • Cboe Volatility Index (VIX™ Index): Measured significantly higher on the week, moving above 30 on Thursday and Friday.
  • SPX options volume averaged about 1.30 million contracts per day, in line with the previous week as strong index options interest continues in 2021.
  • VIX options average daily volume (ADV) was about 595,000 contracts in the final week of February, down from approximately 700,000 contracts the week before.
  • RUT options volume increased week-over-week to an ADV of 36,900 contracts.
  • Euro Stoxx 50 Index: Down by 1.9%.
  • MSCI EAFE Index (MXEA) is lower by 3.1% and the MSCI Emerging Markets Index (MXEF) is down by 7.1% as global markets were under pressure all week.

Charting It Out

Observations on VIX futures term structure and small- vs. large-cap performance

  • The VIX futures curve flattened demonstrably last week as the front three months traded higher while the back of the curve came in slightly with somewhat of a pivot at the month-4 (June) contract.
  • The VIX futures term structure remains in contango with a 1.45 carry between March and April.
  • The month-1/month-2 spread narrowed by 1.60 week-over-week, from 3.05 the previous week. The March futures increased by 2.30, compared to April futures increasing by 0.70.

VIX Futures Term Structure

Source: LiveVol Pro
  • February marked the sixth consecutive month of the small-cap Russell 2000 Index outperforming the large-cap S&P 500 Index.

S&P 500 Index vs. Russell 2000 Index Performance Since September 2020

Source: LiveVol Pro

Macro Movers

  • Industrial Metals (copper and steel) were higher again early in the week but came off hard on Thursday and Friday.
  • Copper ranged between $4.06 and $4.38, closing near $4.10, compared to $4.08 the previous week.
  • April WTI Crude Oil traded near $64, marking 20-month highs before closing the week at $61.59, which is higher week-over-week.
  • The University of Michigan Consumer Confidence measure increased slightly month-over-month but remains about 25% below highs from early last year. Meanwhile, the 6-month forward expectation is grinding lower.
  • Big Tech: The transition from growth to value weighed on Big Tech last week as all the major players were lower. However, Google outperformed the others in the past two weeks, only declining 3.4%. Tesla (TSLA) dropped 13.5% in the last two weeks and has declined 25% from late January highs. Tesla shares are now below the level they traded at when the company was added to the S&P 500 Index.


  • Over the past week there were, on average, about 70,000 new COVID-19 cases per day in the U.S., in-line with the previous week. New cases are down approximately 75% from the highs seen in early January.
  • Additionally, hospitalizations have declined for 40 straight days.
  • 13.9% of Americans have received at least one dose of a COVID-19 vaccine and 6.5% have received two doses.

New COVID-19 in the U.S.

Source: The New York Times

Tidbits from the News

  • Sector dispersion was massive in February as Energy (best) outperformed Utilities (worst) by 30.3%. In March 2020 the “Best vs. Worst” sector spread was 31%, with Energy

S&P 500 Index Sector Performance in February 2021

Source: Yardeni Research, S&P Dow Jones Indices
  • The S&P 500 Index’s 2.5% decline on February 25 marked the broad market’s 23rd worst session since the start of 2020. In that 290-day timeframe, the S&P 500 Index advanced on 57.25% of the days and declined on 42.75% of the days.

S&P 500 Index Daily Returns from 2020 through February 2021

Source: Chartr

The Week Ahead

  • Data to be released: ISM Manufacturing Index on Monday, ISM Services and ADP Employment data on Wednesday; Weekly Jobless Claims on Thursday; Monthly Non-Farm Payroll Data on Friday.



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