Chicago Board Options Exchange (CBOE) 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 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 am CT from CBOE’s Large-Cap Universe on the basis of SMA S-Scores at 8:10 am CT. Stocks in CBOE’s Large-Cap Universe are in the top 15 per cent capitalisation tranche of underlying shares for options listed on CBOE (approximately 3,000 stocks) and have market capitalisations that are greater than or equal to USD10 billion.
The SMLC Index is calculated by CBOE each business day at 3:00 pm CT. The hypothetical value of the index is held in cash until 8:30 am CT the following business day, when it is reinvested in the next SMLC portfolio.
