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… by the Chicago Board Options Exchange Volatility Index (``VIX'')) than in the 2002 to 2010 period. In particular, the VIX, which measures market expectations of near term … be sufficient for almost all days since 2010. See, e.g., VIX data available from the Federal Reserve Bank of Saint …
… \220\ The CFTC staff notes that the VIX, which measures market expectations of near term … due to increased market volatility in March 2020 (the VIX measurement on March 16, 2020, was close to 83). … and November 2008 during the financial crisis (when the VIX measurement reached the 80s). See, e.g., VIX data …
… increases in market-wide volatility (measured by the VIX index), bond yield drops, and credit rating downgrades … and Hotchkiss (2019) finds that on days with large VIX increases, dealers tend to offset trades more quickly …