By now everybody knows global equity volatilities have imploded. The move lower in VIX has been huge, falling from 35 to currently trading around the 14 level.

Most people seem to argue there is nothing to fear in this market.

It is interesting to see that the CSFB fear index has been gaining recently. The CS Fear Barometer

measures investor sentiment for 3-month investment horizons by pricing a zero-cost collar.  The

collar is implemented by the selling of a 10% OTM SPX call option and using the proceeds to buy an

OTM put.  The CSFB level represents how far out-of-the-money that SPX put is.  You could argue,

although a bit simplified that, the higher the level, the greater the fear.                                          

It is therefore noteworthy to see the VIX take new recent lows, while the CSFB fear index continues climbing. It seems that the fearless VIX has some fear underneath the surface.

Source, charts by Bloomberg