The Vault Festival in Waterloo

The Old Vic Tunnels in Waterloo are opened every February for a variety of events, including opera, theatre, music, cabaret and cinema.  Almost all events are ticketed, and some are sold out already; the booking page is here

"From theatrical gigs of elemental fury to immersive operatic worlds, and from late night themed parties to a horror-exclusive cinema, VAULT will thrill everyone who comes through our Leake Street door.
Ticket prices start from just £5. As a bonus, come to any show on a Thursday or Sunday night and you’ll see our madcap cabaret, Baxter’s Basement, for free at 10pm till close. On Fridays and Saturdays, you’ll want a separate ticket to our 10pm-til-late live music parties – Vault LATES.
There’s a galaxy of other shows on at the same time. Check out our listings – hundreds of performers and nearly ten thousand tickets are on sale.
We want to thank our primary partners, IdeasTap, and our supporters The Old Vic Tunnels. We also want to thank Steve Winter at Old Vic New Voices, because their Coming Up Festival offers endless experience and connections to people who take part in it.
We’re open all afternoon till late night with a devilishly cheap bar and great music. Even if you don’t have a ticket for a show, make VAULT your destination this February."

When - 9th - 26th February, Thursday - Sunday only

Where - VAULT AT THE OLD VIC TUNNELS, LEAKE ST , LONDON SE1 8SW
(It's not particularly clear on the map, but Leake St runs between Station Approach and York Road)

Map

Link 1 - The Vault

Link 2 - Booking for specific events