CBOE Launches First in Series of Social Media-Based Strategy Benchmark Indexes08.17.2016
CBOE – CHICAGO, IL – Chicago Board Options Exchange® (CBOE®) announced today that it has launched the CBOE-SMA Large Cap Index (SMLC Index), the first of a series of sentiment-based strategy benchmark indexes that measure short-term market momentum based on Social Market Analytics’ (SMA) social media metrics.
CBOE announced in June that it entered into an exclusive licensing agreement with SMA to develop a series of sentiment-based strategy benchmark indexes. Each index in the CBOE-SMA Index suite will track the performance of a portfolio of stocks or options referenced to a defined universe of stocks. Chicago-based SMA is a leading provider of actionable intelligence from social media sources.
The SMLC Index is designed to track the performance of a hypothetical strategy that on a daily basis buys an equally weighted portfolio of 25 stocks with high SMA S-Scores.
S-Scores, extracted from Twitter traffic by SMA algorithms, reflect investors’ sentiment about stocks and are believed to be predictive market signals.
The SMLC Index stock portfolio is constituted daily at 8:30 a.m. CT from CBOE’s Large-Cap Universe on the basis of SMA S-Scores at 8:10 a.m. CT. Stocks in CBOE’s Large-Cap Universe are in the top 15 percent capitalization tranche of underlying shares for options listed on CBOE (approximately 3,000 stocks) and have market capitalizations that are greater than or equal to $10 billion.
The SMLC Index is calculated by CBOE each business day at 3:00 p.m. CT. The hypothetical value of the index is held in cash until 8:30 a.m. CT the following business day, when it is reinvested in the next SMLC portfolio.
For additional information, please see http://www.cboe.com/smlc
About Social Market Analytics
Social Market Analytics is a Chicago-based firm that provides institutional investors (banks, hedge funds, brokerages) with streaming up-to-the-minute social media quantification and analysis that can help them outperform the market (see: www.socialmarketanalytics.com). Its patented technology has consistently proved that the Tweets of professional traders can help both institutional and individual traders outperform the market.
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