The Russell 2000 (RUT) lost 3.78% last week while the Russell 1000 (RUI) was down 3.82%. I have a hard time recalling a big weekly drop in the stock market where small caps and large caps lost about the same amount of ground. For the year RUI maintains a nice lead based on outperformance in January.
The RVX premium to VIX took a dive on Friday based mostly on gains in VIX. The ratio finished the week at just over a 16% premium which is slightly lower than the 2017 low. You can read this two was, when the premium changes due to RVX moving more than VIX is may be thought of as a change in small cap risk perceptions. However, when driven by a panic move in VIX (like Friday) this is more of an indication of irrational market fear than a specific opinion about small cap stocks.
With a couple of hours to go in the trading day on Thursday and RUT around 1577 a trader came in to buy a one-day option based on a belief that the market would be under pressure Friday. They purchased the RUT Feb 2nd 1585 Put for 9.30 which had 8.00 points of intrinsic value and 1.30 of time value. The payout, if this option was held through expiration appears below.
I checked the trading activity on this put from Friday. Sixteen contracts traded at prices between 23.98 and 34.93. The value of the 1585 put based on settlement is 37.73 so what we do know is the buyer of this put made between 13.68 and 28.43 on their one-day option purchase.