SOCIAL MEDIA INDEXES

INTRODUCTION TO SOCIAL MEDIA INDEXES

The Chicago Board Options Exchange (CBOE) and Social Market Analytics (SMA) are partnering in the development of a suite of innovative indexes based on SMA data, the CBOE-SMA Index Suite. SMA applies its patented account certification algorithm to extract predictive signals from Twitter traffic by passing tweets through their proprietary NLP architecture to generate different S-Factors that reflect investors' sentiment about stocks. CBOE SMA Indexes are designed to provide unique measures of the premia generated by a new "social media momentum" factor. 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. Each portfolio will be rebalanced frequently, e.g. on a daily or weekly basis, to maximize the value of SMA signals.

CBOE-SMA Large-Cap Index (SMLC^SM Index)

The CBOE-SMA Index measures the return of a hypothetical portfolio of 25 stocks with high SMA S-Scores that is rebalanced on a daily basis. The stocks are selected from the CBOE Large-Cap Universe. The CBOE Large-Cap Universe is comprised of stocks that (a) are in the top 15% capitalization tranche of stocks that are the underlying for options listed on the CBOE (approximately 3000) and (b) whose market capitalization is greater than or equal to $10 billion. The CBOE Large-Cap Universe is reconstituted quarterly on the third Friday of the month. At 8:10 am CT, CBOE determines which 25 stocks in the CBOE Large-Cap Universe have the highest SMA S-Scores. At 8:30 am CT, CBOE constitutes an equally-weighted portfolio of the 25 stocks. The portfolio is held until 3:00 pm CT, and when it is liquidated. The proceeds of the hypothetical sale of the options are held in cash until the next business day, when a new portfolio is assembled.

Links to More Information and Reports

• Press Release - CBOE Launches First in Series of Social Media-Based Strategy Benchmark Indexes (Aug. 15, 2016)
• Fact Sheet
• Time Series
• Methodology

CBOE-SMA Large-Cap Weekly Index (SMLCW^SM Index)

The CBOE SMA Large-Cap Weekly Index (SMLCW^SM Index) is a weekly version of the CBOE SMA Large-Cap Index (SMLC^SM Index). Similar to the SMLC Index, the SMLCW Index follows the return of a hypothetical portfolio strategy designed to monetize the information in Social Market Analytics (SMA) S-Scores. SMA derives actionable signals, which quantify market sentiment for stocks, from social media data streams. S-Scores express rising or declining sentiment for different stocks. The SMLCW portfolio is an equally-weighted portfolio of 25 stocks drawn from the CBOE Large-Cap Universe with the highest average 5-period S-Scores. Stocks in this universe (a) are in the top 15% capitalization tranche of stocks that are the underlying for options listed on the CBOE (approximately 3000 stocks) and (b) have a market capitalization greater than or equal to $10 billion.

Links to More Information and Reports

• Fact Sheet
• Time Series
• Methodology