As SPX has managed reaching ATH levels, VIX has continued trading lower. The Fear index is now (once again) approaching levels which have been the “natural floor”.

The short end of the curve (shorter maturities) has totally imploded. Overall volatility is down, but note that short term volatility is down even more. Orange is the SPX term structure today compared to how it looked 6 months ago (green).

Short term options are getting rather cheap. Replacing longs with calls, hedging downside etc are all strategies worth taking a look at given volatility levels.

European equity vol, V2X, has also come down rather sharply over past weeks and is approaching the “natural floor” as well.

Euro Stoxx 50 term structure has come in a lot over past sessions. Current curve (orange) is offering relatively cheap options with short maturities. Green is how the market priced volatility 2 weeks ago.

Source: charts by Bloomberg