At the 33rd Annual CBOE Risk Management Conference in California last week, several speakers discussed ways to use sentiment analysis and the volatility risk premium in their quest to add alpha and enhance the risk-adjusted returns of their portfolios.

I am pleased to report that two upcoming events will provide more details and analysis of the topics of developing investable and actionable intelligence from analysis of sentiment trends on social media, and generating attractive risk-adjusted returns with certain sentiment-based and options-based benchmark indices:

  • New York City - Tuesday, March 28th at 5:45 p.m. at 346 W 46th Street. Presentations by Matt Moran and Herb Blank (who will cover other topics). Visit for more details and to register.


  • Chicago - Wednesday, April 5th at 5:00 p.m. at CBOE. Presentations by Ed Szado and Joe Gits. Visit for more details and to register.

Have indexes that have harnessed sentiment analysis and the volatility risk premium been able to generate alpha and strong returns? The charts below provide a brief preview of some of the indexes that will be discussed at the upcoming events.


The CBOE-SMA Large-Cap Index (SMLC) measures the return of a hypothetical portfolio of 25 stocks with high SMA S-Scores (based on analysis of sentiment shown by Twitter tweets) that is rebalanced on a daily basis. Note in the chart below that since year-end 2014 (through March 15th), the SMLC Index is up 47%. While the S&P 500 (SPX) and Russell 2000 (RUT) Indexes are up 16% and 15%, respectively. At the events the question of why the SMLC Index has had such strong performance over the past 14 months will be addressed. 

Matt 1



The next chart shows that since mid-1986 a hypothetical benchmark index that sells index options - the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) - has generated higher returns that the S&P 500, the S&P GSCI, and the CBOE S&P 500 5% Put Protection Index (PPUT) – an index that buys index put options. At the events more information will be presented to show that the volatility risk premium often has rewarded options sellers.

Matt 2



For more information on CBOE indexes and benchmarks, please visit and