Global volatility indices trade lower today (again), as the complex implosion of volatility post-Christmas continues.

European VIX, V2X, is down to the 15 handle and is trading at early October levels.

VIX is trading at the lowest levels since the Christmas spike, currently at 17.7.

SPX term structure has imploded as well, where especially the short-term maturities have imploded dramatically. The green line is how we traded at the Christmas panic levels and orange is where we trade today. Just as we warned, buying protection in panic is often an expensive experience.

The VIX futures curve has retraced the entire “panic” move. Note the spread between the first and sixth month VIX futures now trades in negative territory, but is still elevated compared to real “calm” market.

Volatility as an asset is one of the most misunderstood assets, simply because investors lack the theoretical and the practical knowledge of trading volatility. Don´t forget that volatility has mean reverting features, and given the extreme move lower since the panic, we are once again starting to actively look at trades with a long volatility kink, especially gamma itself is becoming interesting in our view.

Source; charts by Bloomberg