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Social Media Indexes

Introduction to Social Media Indexes

The Cboe 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 Weekly Index (SMLCWSM Index)

The Cboe SMA Large-Cap Weekly Index (SMLCWSM 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.

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