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Bernard Lebelle

Very similar to the NYTimes "The Pulse of Uncertainty" charts back in January.
I like the retreatment performed to show the gaps size and the "twice as much" effect.
One of the things that I would consider to put things in perspective is the volume of trade done during that days. We have seen before that on certain occasions, where less actors are at work (ie. bank holidays in Europe, summer periods...) less volume can bring higher volatility..
Seems to me this should be embeded somehow to fine-tune the analysis.

Simi

Do you know where, I can find the data for this original chart. So I can try to produce some different graphs

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