The Volfefe Index
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JPMorgan has a new index — called the “Volfefe Index” — that measures Trump’s tweets and their impact on bond volatility. (1/x) pic.twitter.com/D37ocdebxk
— Carl Quintanilla (@carlquintanilla) September 8, 2019
Read the whole sequence of six tweets here — featuring this wordfefe graph:
As the twitter commenters observe, it seems that "Volfefe" is a blend of "Volatility" and "covfefe" rather than "Voldemort" and "covfefe".
Jerry Friedman said,
September 9, 2019 @ 8:35 am
I sort of like "non-retweets" for "non-retweeted tweets". But "rates volatility" sounds odd to me, like the British "trades union" and "drugs squad". (The American "sports news" doesn't sound odd to me–go figure.) Also the bar graph shows only one rate, but I'm not going to read all six ads.
rosie said,
September 10, 2019 @ 4:31 am
It's not clear to me what makes a tweet a non-retweet. Is it that it mustn't have been retweeted or that it mustn't be a retweet?
Easterly said,
September 10, 2019 @ 11:56 am
Presumably because they're tracking the effects of Trump's tweets on the price movements of options on swaps of a variety of fixed-income tenors against a variety of floating rate alternatives. There are a lot of ways to slice and dice the permutations. And lots and lots of money riding on even the slightest differences in not just the absolute value of the rates involved but also on their volatility.
A bit arcane, but here you go: https://en.wikipedia.org/wiki/Interest_rate_swap . Even more obscure: https://en.wikipedia.org/wiki/Swaption#Types_of_swaptions