The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic. The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.
As noted volatility was lower across the board. Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]