Volatility is being vaporised.

The expected but welcome victory of Emmanuel Macron is battering volatility indices to new lows, with the Vix gauge – which measures the expected short-term turbulence of the S&P 500 and doubles as a fear index – heading for its lowest closing level in over two decades.

Vix has fallen to just 9.84 today, which if maintained would be the lowest closing level since December 1993. Earlier on Monday it touched a low of 9.72, which is the most subdued intraday low since early 2006. The European Vix equivalent has also tumbled today, to its lowest since March.

While global stock markets are largely trading sideways – with Mr Macron’s triumph over the populist Marine Le Pen widely predicted – the lack of movement is hammering both actual and implied volatility measures. The realized 90-day volatility of the S&P 500 index has fallen to just 6.7 per cent, which makes this the most tranquil market since 1995.

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