Yesterday's 'spike' in VIX - to its highest since Dec 1st - is continuing this morning...

(note: this is highly unusual relative to the recent regime of instant reversion lower in vol)

But what is most unnerving for many is relative to European volatility, this is the highest since August 2015...

As U.S. stocks failed to hold a fresh record, VIX jumped 15% on Tuesday, while the VStoxx Index remained near a record low.

The last time US VIX was this high relative to European equity VIX was in August 2015 - when the S&P crashed 11% in 4 days after China's surprise devaluation...

As Bloomberg notes, the balance of global fund managers indicating they are taking out protection against a near-term equity correction has dropped to the lowest level since 2013, according to a Bank of America Merrill Lynch survey released this week.