It would be an understatement to say Trump moves markets with his Tweets. After initially announcing the $300 billion worth of tariffs on China, the S&P fell by 0.9% and subsequently 3% the next week.

What followed after was a barrage of tweets that were statistically significant enough for JP Morgan to create a "Volfefe" Index to track how the bond markets react to Trump's brief comments every now and then.

The term "volfefe" has its genesis rooted in the infamous "covfefe" tweet of 2017, where Trump accidentally wrote "negative press covfefe" instead of tweeting about "constant negative press coverage." "Volfefe" is thus a mixture of "volatility" or "vol," stemming from indices like the VIX, and "covfefe."

The index was created by Munier Salem, VP of the US rates strategy team at JP Morgan. There have been 10,000 tweets from Trump since he came into office and these have had a significant impact implied volatility for US Treasury notes, particularly the 2 and the 5-year shorter-dated tails. That is, 10 year rates are impacted to a lesser extent.

"Trade and monetary policy have become an increasing focus for the executive branch, and everything from casual sentiments to seemingly formal policy intentions have been disseminated, globally and instantaneously, via this carefully scrutinized social media platform," said JP analysts in a note. "In response, a broad swath of assets from single-name stocks to macro products have found their price dynamics increasingly beholden to a handful of tweets from the commander in chief."

The way the index works is by identifying a set of trigger words that usually cause the most volatility in the markets. For instance, "China," "billion" and "products" have been identified as some key words that can send markets tumbling or shooting up.

Analysts maintain that the index is "hardly a tweet savant," but employs a model that runs on results that are "firmly statistically significant."

The model concluded that only 146 out of Trump's 4000 original tweets actually moved the market. It also "strongly outperforms the sheer tweet count in periods headed into substantially elevated implied volatility," which means it doesn't matter how often Trump tweets, what matters is the content of his messages.