Cboe Global Markets

The Week that Was: Jan. 18 to Jan. 22

Kevin Davitt
January 25, 2021

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

Last week (January 18 to January 22), U.S. equities markets balanced news of more potential stimulus with COVID-19 issues and the vaccine rollout, while talk of using the Defense Act to accelerate vaccine distribution has fueled hopes of a return to “normal” in the near future. Wednesday was Inauguration Day in the U.S., solidifying this run as the strongest Election Day to Inauguration Day performance since the Great Depression, as markets jumped 14%. Housing numbers remained a bright spot in the economy, with median sales figures climbing as we head into Spring Selling Season. Fun fact: housing and related spending accounts for about 17% of U.S. gross domestic product (GDP).

Quick Bites


  • S&P 500 Index (SPX): Up 1.9% to 3,841
  • Nasdaq 100 (NDX): Gained 4.4% to reach a new high of 13, 366
  • Cboe Volatility Index (VIX Index):  Lower by about 2.5, now sitting below 22
  • Cboe VIX Volatility Index (VVIX): Ranged between 111 and 121, ended the week closer to the low end of the range at 111.8
  • The Russell 2000 Index (RUT): Increased 1.9% to 2,163


  • SPX options volume averaged about 1.13 million contracts per day, slightly below the previous week. Wednesday  (Inauguration Day) was the most active session with 1.5 million SPX options on the tape.
  • VIX options averaged approximately 459,000 per day, compared to roughly 533,000 per day the previous week and VIX calls volume far outpaced puts. January VIX futures expired Wednesday at 22.59.

Charting It Out

Observations on VIX Futures Term Structure and Expirations

  • The shape of the VIX futures term structure remains fairly consistent, with contango in the front, becoming very flat in the mid/back month.
  • February VIX futures, now Month-1, declined 1.5 week-over-week, while March VIX futures, now Month-2, fell just 0.5. The Month-1/Month-2 spread is 1.60 wide.
  • 30-day SPX historical volatility is slightly higher and 1-Month SPX implied volatility is down 2.6. There is potential for the implied volatility risk premium to narrow.

VIX Futures Term Structure

Source: LiveVol Pro

  • The chart below depicts VIX futures expiration values from January 2020 through 2021. Expirations for the last three months have all been in the low 20s.

Monthly VIX Futures Expiry

Source: Cboe Futures Exchange (CFE)

Italian Yields Move Sharply Higher

  • The Italian government avoided collapse after former prime minister Matteo Renzi resigned. Now, the MSCI MXEA Index continues to climb, rising 23.6% in the past six months. The EM Index has also climbed 26% since November.

MXEA Index Performance

Source: LiveVol Pro

Macro Movers

  • U.S. 10-year yields traded in a tight range last week, staying between 1.12% and 1.08% and settling just off the lows at 1.086%.
  • Bitcoin ranged between $29,000 and $38,000. Treasury Secretary Yellen expressed concerns about cryptocurrencies funding illicit activity, signaling potential for increased scrutiny under the new administration.
  • Big Tech: Apple, Facebook, Amazon, Microsoft and Tesla were all higher on the week. Apple, the largest S&P 500 constituent, reached new all-time highs, bringing the company’s worth up to $2.3 trillion.
  • GameStop (GME) ran all the short stops.

Tidbits from the News

  • The Cyclically Adjusted PE Ratio (CAPE Ratio), which is based on the average inflation-adjusted earnings from the previous 10 years, is currently at 35.

Cyclically Adjusted PE Ratio

Source: Multipl.com

  • Buy the dip? The chart below shows a 54% hit rate for stock market returns the day after a -2% (or worse) S&P 500 return. The last -2% day was  just before the U.S. presidential election in November.  

Source: Chartr.co (1969 – Present)

  • The New York Times reported that the IRS has pushed back the start of 2020 tax filing season and will start accepting returns on February 12, which is about two weeks later than usual. Taxes are still due by April 15.

The Week Ahead

  • Personal Income and Consumption data, as well as Inflation numbers, will be reported
  • Nearly 115 of the S&P 500 constituents will report earnings for fourth quarter 2020

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The information in this article is provided for general education and information purposes only. No statements within this article should be construed as a recommendation to buy or sell a security or futures contract or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this article is available by contacting Cboe Global Markets at www.cboe.com/Contact. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com. Cboe Volatility Index and VIX are registered trademarks and of Cboe Exchange, Inc. All other trademarks and service marks are property of their respective owners. © 2021 Cboe Exchange, Inc. All Rights Reserved.