GS: Short-dated equity puts have started to be attractive again

Following a year when equity options were too expensive, short-dated equity puts have started to be attractive again with the VIX close to 20. Current implied vols look low compared with average performance during S&P 500 sell-offs in particular for European indices, where risk premia have reset the most. While FX vol has not reset as much as risky assets we think puts on selective non-USD 'risk off' crosses screen attractive, such as CAD/CHF and GBP/CHF