Trump’s Election Tweets to Spark Rates Volatility, JPMorgan Says

Donald Trump’s election-related tweets are likely to drive a jump in volatility in the world’s biggest funding market, according to the JPMorgan Chase & Co. analysts who created the Volfefe Index.

Named after Trump’s inscrutable “covfefe” tweet from May 2017, the index attempts to gauge the impact of Trump’s tweeting on the U.S. Treasury market through interest rate derivatives known as swaptions. JPMorgan’s revised analysis shows that while the sensitivity of the market to the president’s tweets peaked in May, in the midst of the Covid-19 pandemic, the Trump’s Twitter activity still significantly influences expectations of volatility in this key market.