JPMorgan Chase creates 'Volfefe Index' to measure how Trump's tweets impact market
JPMorgan Chase announced on Sunday its creation of the so-called "Volfefe Index" to measure how President Donald Trump's tweets impact rates volatility.
"The president has produced more than 10,000 tweets since taking office, at a pace that has accelerated in recent months ... The subject of these tweets has increasingly turned toward market-moving topics, most prominently trade and monetary policy," JPMorgan Chase said in a statement.
"And we find strong evidence that tweets have increasingly moved U.S. rates markets immediately after publication," the company continued.
The name is a mashup of the words volatility and "covfefe," an apparent typo the president tweeted in 2017 that caused a stir.
Trump's recent tweets have covered everything from criticism of the Federal Reserve to American auto manufacturing. JPMorgan Chase said they have learned how to spot the president's "market-moving tweets" for the index.
"[W]e fold this index into our volatility fair value model, to demonstrate the president's remarks on this social media platform has played a statistically significant role in elevating implied volatility," the company said.
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