CBOE-SMA Large-Cap Index (SMLCSM 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.