Equities have moved to new highs and yet investors have stayed calm. The VIX, which is a measure of the market's expectation of stock market volatility, is trading at a low level below 12.

According to Saxo Bank's head of equity strategy Peter Garnry, the collapse in volatility means lower prices on put options, and he thinks that they offer cheap protection against event risks.

In particular, Garnry says that the S&P 500 put option looks attractive.