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Trump's election tweets to drive jump in volatility, says JPMorgan

Bloomberg9/24/2020 01:36 PM GMT+08  • 2 min read
Trump's election tweets to drive jump in volatility, says JPMorgan
Tweets mentioning “ventilators” had the most impact on the market this year.
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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 US 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.

The overall volume of Trump’s Twitter activity continues to grow, with the president’s favored topics shifting as the year has unfolded. Tweets related to the pandemic and the Nov. 3 presidential election have surpassed those related to the trade war with China and other geopolitical themes, according to JPMorgan’s data. Tweets mentioning “ventilators” had the most impact on the market, a change from last year when words such as “China,” “billion” and “products” produced the biggest effects.

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