Cboe Global Markets

The Week that Was: March 22 to March 26

Kevin Davitt
March 29, 2021

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

Last week (March 22 to March 26), the S&P 500 Index completed its largest 12-month advance in its 64-year history. The only comparable 1-year (rolling) bull market occurred in the 1930s. The index gained 77% between closing lows in March 2020 and highs this past Friday. Meanwhile, vaccination efforts continue to improve, with a one-day record of 3.4 million doses administered on Thursday. Additionally, the latest stimulus package has bolstered consumer spending and spirits. Further, unemployment readings continue to improve – the  weekly jobless claims number was the strongest it’s been in a year. Finally, as the first quarter comes to a close, the tug-of-war between small and large caps remains, while market participants monitor interest rates and inflationary pressures as the global economy continues to improve. 

Quick Bites


  • U.S. Equity Indices were mixed last week. Large-cap equities generally traded higher while small-caps remained under pressure after a monumental bull run over the past six months.
  • S&P 500 Index (SPX): Was up 1.6% week-over-week after trading in a 3% high-to-low range during the week. Friday marked a new weekly closing high for the index, which is slightly below all-time highs. The S&P 500 is 5.8% higher year-to-date. 
  • Nasdaq 100 Index (NDX): Gained just less than 1% last week, closing just below 13,000.
  • Russell 2000 Index (RUT℠): Declined 2.8% for the week. Overall, the index is up 1% in March.
  • Cboe Volatility Index (VIX™ Index): Ranged between 18.68 and 23.55 last week, leading to the lowest weekly VIX Index close since February 20, 2020.


  • SPX options decreased slightly week-over-week with an average daily volume (ADV) of about 1.16 million contracts, compared to 1.20 million contracts the previous week. 30-day SPX options implied volatility declined and one-month at-the-money options are trading on a 14.15% implied volatility – the lowest levels since February 20, 2020. 
  • VIX options ADV was about 420,000 contracts last week, up from the previous week’s ADV of approximately 640,000 contracts. VIX options calls and puts traded in roughly equivalent numbers. 
  • RUT options volume increased week-over-week to an ADV of 53,800 contracts, compared to an ADV of 44,000 contracts the previous week. Monday’s  session was particularly active with approximately 81,000 RUT options contracts on the tape.  

Across the Pond

  • European and emerging equity markets were mixed last week.
  • The Euro STOXX 50 Index was up slightly.
  • The MSCI EAFE Index (MXEA™) declined 0.6% and the MSCI Emerging Markets Index (MXEF™) was down 2.1%.  

Charting It Out

Observations on VIX futures term structure and Bitcoin market capitalization

  • The VIX futures curve declined across maturities as one-month SPX implied volatilities moved back to February 2020 levels.
  • The Month-1/Month-2 VIX futures spread settled at 1.95 wide, compared to 1.90 the previous week.
  • The front four contracts all fell about 2 handles on a week-over-week basis.
  • The middle and backend of the VIX futures term structure remains quite high compared to a more “typical” VIX Index sub-19 term structure.

VIX Futures Term Structure

Source: LiveVol Pro

The growth versus value and reopening versus stay-at-home trades remain in play. The Nasdaq 100 held its 100-day simple moving average last week.

Nasdaq 100 Index 50-Day and 100-Day Simple Moving Averages (SMA)

Source: LiveVol Pro

Macro Movers

  • Big Tech: The largest components of the S&P 500 Index and Nasdaq 100 remained relatively rangebound. Apple and Microsoft were slightly higher on the week, Google was unchanged week-over-week and Amazon, Facebook, and Tesla were lower.
  • The U.S. 10-year treasury yield moved between 1.70% and 1.60% last week. Rates moved back toward the high end at the end of the week, closing at 1.68% on Friday.
  • The front month WTI Crude Oil traded as low as $57.30 last week and the shutdown of the Suez Canal put a bid back into the energy markets late in the week. Roughly 12% of global trade flows through the waterway connecting the Red Sea to the Mediterranean, helping ships avoid an additional two weeks of travel.
  • The WTI and Brent Crude Oil term structures flattened after remaining inverted for the past few weeks.
  • Staples and Utilities were the strongest last week, while the Discretionary and Financials sectors lagged.


  • Over the past week there were about 58,000 new COVID-19 cases per day, up from the approximately 58,000 cases per day average seen in the previous week.
  • Daily vaccination rates in the U.S. are now averaging approximately 2.5 million, up from 2.46 million the week prior.
  • On March 25, a record 3.4 million doses were administered in the U.S.

Number of New COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • Based on the Federal Open Market Committee’s (FOMC) March 17 comments, Fed funds are likely to remain anchored around zero for an extended period of time as the economy recovers. However, the Fed Fund futures market is starting to price in hikes.
  • Special Purpose Acquisition Companies (SPAC) are all the rage, especially in the IPO market. In 2021 there have been just 56 traditional IPOs, but nearly 300 IPOs via SPAC. Throughout 2020, there were a total of 248 SPAC IPOs.

IPOs via Special Purpose Acquisition Companies in 2021

Source: Chartr

The Week Ahead

  • Data to be released: Case Shiller Home Price Index and Consumer Confidence on Tuesday, Chicago Purchasing Managers Index (PMI) on Wednesday, Weekly Jobless Claims and ISM Manufacturing Index on Thursday and Nonfarm Payroll data on Friday.
  • U.S. equities and options markets will be closed on Friday for the Good Friday holiday.

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