With VIX collapsing 10 days straight (for the first time since October 2010), one might be forgiven for thinking "everything is awesome." However, as always, the real news is in the nuance that the mainstream often misses. As VIX has plunged (complacency about 'normal' risk), Skew (which measures extreme tail risk) has exploded to its highest ever...
Skew measures the perceived tail risk of the market via the pricing of out-of-the-money options
Generally, a rise in skew indicates that 'crash protection' is in demand among institutional investors (institutional/professional investors are the biggest traders in SPX options).
An unusual move in the skew index (which historically oscillates approximately between a value of 100 and 150) is especially interesting when it diverges strongly from the VIX, which measures at the money and close to the money front month SPX option premiums.
Basically what a 'low VIX/high skew' combination is saying is: 'the market overall is complacent, but big investors perceive far more tail risk than usually' (it is exactly the other way around when the VIX is high and SKEW is low).
In other words, a surprising increase in realized volatility may not be too far away.