-- The ratio between the index tracking volatility in the pan-European and the corresponding average following the benchmark is "flirting" with heights last seen during Europe's sovereign debt crisis, according to analysts at Goldman Sachs.

In a note to clients on Monday, the analysts also noted the implied volatility of French stocks in particular is approaching some of its highest-ever levels compared to U.S. equities.

As a result, they argued "there could be selective opportunities to be long U.S. [versus] Europe equity [volatility]."

The analysts added that European shares seem to have "decoupled" from their U.S. peers.

European assets sold off last week after French President Emmanuel Macron decided to call for snap elections in the country. The move was itself triggered by a large victory for far-right parties in recent European elections.

However, stocks on Wall Street touched new record highs as signs of easing inflation in the U.S. helped to offset some investor disappointment over a hawkish interest rate outlook from the Federal Reserve.