The Chicago Board Options Exchange (CBOE) has announced the launch of the first in a series of benchmark indices that measure short-term market momentum based on metrics from twitter.
The ‘CBOE-SMA Large Cap Index – or SMLC Index –will employ technology from Social Market Analytics’ (SMA), a Chicago based social media analytics firm.
SMA’s algorithms will track investor sentiment about stocks, which CBOE said are believed to be ‘predicative market signals’.
The index is designed to track the performance of a hypothetical strategy that on a daily basis buys an equally weighted portfolio of 25 stocks, drawn from the CBOE Large-cap Universe, with high SMA S-Scores.
CBOE Large-Cap Universe consists of stocks whose market capitalisation is greater than or equal to $10 billion.
It will be calculated at 3.00pm (CT) on each working day, with the hypothetical value then being reinvested in the next SMLC portfolio the following day.
SMLC index is said to be the first in a series of benchmark indexes set to launch under the ‘CBOE-SMA Index Suite’.
This story was amended to show the index does not track CBOE Large-Cap Universe Stocks - see paragraph four.