J.P. Morgan is tracking how Trump's tweets move the bond market in the ‘Volfefe’ index.
A single tweet by U.S. President Donald Trump helped bring home the bacon for bond investors in August.
So what are his tweets really doing for U.S rates markets? That’s what J.P. Morgan’s Volfefe Index, a play on that Trump “covfefe” typo from two years ago, aims to find out. Munier Salem, vice president of the bank’s U.S. interest rate derivatives strategy and his team created the index to gauge how Trump tweets — 10,000 since taking office — have influenced moves in implied rate volatility for two-year TMUBMUSD02Y, +2.38% and five-year TMUBMUSD05Y, +3.23% Treasury notes.
Their model finds that out of around 4,000 non-retweets occurring during market hours from 2018-present, only 146 moved the market. And quality is not quantity as they note that the Volfefe index ”strongly outperforms the sheer tweet count in periods headed into substantially elevated implied volatility.”
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