Volfefe?

Back on August 23, I postulated that this is an “historic” time of market volatility prompted by a most diverse set of factors, including the phenomenon of the “Trump Tweet”.  Sure enough, Wall Street came through with an attempt to measure it!

JPMorgan, Citigroup, and Bank of America Merrill Lynch all have taken a stab at measuring the impact of the tweets.  Turns out, according to Merrill Lynch, when Trump tweets relatively frequently we see negative stock returns of 9 basis points on average as opposed to days with relatively fewer tweets with positive returns of 5 basis points on average.

The JPMorgan “Volfefe Index” is more focused on the impact on Treasury yields.  “They found that the Volfefe Index can amount for a measurable fraction of moves in implied volatility…”

See this article on WSJ for more info:  https://www.bloomberg.com/news/articles/2019-09-09/jpmorgan-creates-volfefe-index-to-track-trump-tweet-impact