The Week that Was: February 21 to February 25

Kevin Davitt
February 28, 2022

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

Last week (February 21 – February 25),  U.S. equity markets vacillated between risk-off and risk-on during a wild week. Russia’s invasion of Ukraine early Thursday was met with sanctions and efforts to avoid further escalation. While there’s currently no resolution in sight, U.S. equities snapped higher after moving to nine-month lows. Overseas markets did not exhibit the same resilience.

Realized volatility measures (close-over-close) remain stable and implied volatility measures fell on a weekly basis. However, the 9-day average true range for S&P 500 Index futures climbed to nearly 100. In other words, over the past two weeks, SPX futures have averaged a 2.2% range relative to spot on a daily basis.

Russia does not have a massive economy outside of natural resources. According to The World Bank, Russia accounts for about 2% of global Gross Domestic Product (GDP). However, the country is a large natural gas and crude oil supplier for European markets. Together, Russia and Ukraine account for about a quarter of the world’s wheat supply. These commodity markets continue to move higher and may exacerbate inflation measures. According to AAII Sentiment data, investors have moved into bearish mode over the past few months. Some view that degree of pessimism as a contrarian indicator.

Health Care and Utilities led weekly sector performance, gaining 1.8% and 1.6% respectively. Consumer Discretionary declined 3.0%, while Financials, Industrials and Consumer Staples were fractionally lower. In aggregate, the S&P 500 Index gained 0.82% during a very active, holiday-shortened week.

By contrast, the Russian stock market declined by a third. The MOEX Russia Index lost 33% of its value after Russian troops moved into Ukraine. Thursday’s decline was the largest ever and the MOEX ended the week down 27% and 43% off its October 2021 highs.

Quick Bites


  • U.S. Equity Indices moved to nine-month lows early Thursday, following headlines about the Russia-Ukraine conflict. Markets found support and rallied hard into week’s end with gains for every major index, except the Dow Jones Industrial Average. 
  • S&P 500 Index (SPX®): Moved in a 6.2% range relative to the February 18 close and ended the week on highs, adding 0.82%
  • Nasdaq 100 Index (NDX): Increased 1.28% week-over-week, ending a streak of two losing weeks.   
  • Russell 2000 Index (RUT℠): Increased 1.5% week-over-week.
  • Cboe Volatility Index (VIX™ Index): Decreased fractionally week-over-week. The VIX Index moved between 37.79 and 26.93 before closing at 27.59.


  • SPX options average daily volume (ADV) was 2 million contracts per day. The one-week at-the-money (ATM) SPX options straddle (4,385 strike with a 3/4 expiration) implies a +/- range of about 2.6%.
  • VIX options ADV was about 475,000 contracts last week, which was lower than the previous week’s ADV of 700,000 contracts. The VIX options call-put ratio was 1.12:1.
  • RUT options ADV was 50,500 contracts, down from the previous week’s ADV of 34,000.

Across the Pond

  • The Euro STOXX 50 Index decreased 2.60%.
  • The MSCI EAFE Index (MXEA℠) decreased 5.70% and the MSCI Emerging Markets Index (MXEF℠) decreased 4.80% week-over-week.

Charting It Out

Observations on VIX futures term structure

  • The VIX Index declined fractionally last week and closed at 27.59. The VIX Index measured as high as 37.79, following news of Russia’s invasion into Ukraine. However, last week’s volatility measured below the late January VIX Index highs.
  • The VIX futures term structure remains inverted, despite the huge late week declines for the VIX Index and VIX futures. The March/April spread closed at 0.45 over.
  • The March VIX futures contract fell 0.80 and the April VIX futures contract declined by 0.30 week-over-week.

VIX Futures Term Structure

Source: LiveVol Pro

Macro Movers

  • The 30-year U.S. Treasury yield closed at 2.28%, higher by four basis points week-over-week. The 10-year U.S. Treasury yield ranged from 2.01% to 1.86% and closed at 1.99%, up six basis points week-over-week. The 2-year U.S. Treasury yield climbed 10 basis points to 1.57%.
  • The S&P GSCI gained 1.40% on the week. WTI and Brent Crude Oil prices swung wildly before ending the week up about $2 per barrel. Natural Gas prices in the U.S. added 1.1%. European energy markets have more direct exposure to Russia.
  • Gold traded up to $1,975 but closed the week slightly lower, relative to the previous Friday, just below $1,900 per ounce.
  • Soft red winter wheat traded as high as $9.51 per bushel last week for the first time since summer 2012. May wheat futures closed at $8.43, well off highs. Ukraine and Russia account for about 23% of the global wheat trade. They are also significant players in the vegetable oil markets.
  • Big Tech leaders also experienced meaningful intraday volatility, but most ended the week higher.
  • Microsoft and Google led the pack, gaining 3.3% and 3.1%. 
  • Tesla underperformed, declining 5.5%

Major Cryptos


  • Bitcoin (BTC) traded between $40,200 and $34,600. BTC was trading around $39,200 on February 25. BTC ended the week down 1.9%, relative to the previous Friday.
  • BTC fell below $35,000 briefly following news of Russia’s invasion of Ukraine. Bitcoin, as well as other cryptocurrencies and a number of risk assets, then reversed course and ended the week well off lows.
  • Bitcoin currently accounts for approximately 41% of the entire cryptocurrency market (capitalization).


  • Ethereum (ETH) ranged between $2,800 and $2,300 last week. ETH ended the week at $2,720. For the week, ETH fell 2.0%
  • ETH accounts for approximately 18% of the total cryptocurrency market cap.


  • The global and domestic COVID-19 outlook keeps improving. The 7-day average COVID-19 infection rate in the U.S. continues to decline. The average moved from approximately 108,000 per day last week to approximately 76,700 on February 25.
  • 65% of the U.S. population is fully vaccinated against COVID-19 and 76% have received at least one dose of a COVID-19 vaccine. For those 5 years and older, the numbers are 69% and 81% respectively.
  • Daily case reports are down more than 90% from the peak in mid-January. Many states and municipalities are lifting pandemic-related mandates.

COVID-19 Cases in the U.S.

Source: The New York Times

Tidbits from the News

  • The “American Dream” of home ownership has been dashed for many due to a combination of higher mortgage rates and home prices. 30-year mortgage rates made historic lows just over a year ago at 2.65%. The average 30-year mortgage is now approximately 3.9%. The average (weekly) 30-year rate for the past decade is 3.78%. Additionally, average home values are up 19.1% over the past year. On the bright side, 1.5 million new housing units are under construction in the U.S., which is the highest level since the 1970s.

30-Year Average Mortgage Rate in the U.S.

Source: St. Louis Federal Reserve Bank (FRED)

  • Two weeks ago, the Fed Funds futures market indicated a 93.8% probability of a 50-basis point hike at the March Federal Open Market Committee (FOMC) meeting. As of Friday, February 25, the same market implied just a 17.2% chance of a 50-basis point move at the next meeting. The escalation of tensions between Russia and Ukraine played a role, but the trend in favor of a 25-basis point move instead has been consistent since early February. The meeting will conclude on March 16 with a decision and press conference.

Futures-Implied U.S. Rate Hike Probabilities

Source: S&P Global Research and CME FedWatch

The Week Ahead

Data to be released this week: Chicago Purchasing Managers Index (PMI) on Monday; ISM Manufacturing Index and Construction Spending on Tuesday; ADP Employment Report and Beige Book on Wednesday; Initial Jobless Claims and ISM Services on Thursday; Nonfarm Payrolls, Unemployment Rate and Labor Force Participation  on Friday.

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