The spread V2X (European VIX) and VIX is something vanilla traders look at often.
VIX is the well know “fear gauge”, it is a weighted-average of the 30-day implied volatility of S&P500 options.
V2X is the equivalent for Eurostoxx 50.
When VIX = V2X, it implies a perfect expected correlation between the two indices. Historically it is the case that those two indices are close to each other as the two economies are obviously very much interlinked. Nevertheless one cannot expect an index made of 500 stocks to be more volatile than an index made of 50 stocks (even if the recent concentration of the S&P500 into a handful of very large caps may weaken that argument), which means VIX should be a bit lower than V2X. In practice indeed the long term average of the spread is around -3 points.
The spread diverges when an event affects a region specifically (in general Europe) and not the other, and tends to come back once the situation normalized.
Due to the war in Ukraine, VIX is now almost 9 points below V2X, which is far away from long term average. Traders are now pricing much more uncertainty on the European markets than on the US markets.
Nevertheless the June 2022 futures are trading at “only” -2.90, meaning that so far the market is pricing a relative normalisation of the situation by June 2022.