Cboe to launch 3 new US equity indices that gauge dispersion

Rick Steves

“Dispersion is a critical aspect of market return, and Cboe is pleased to collaborate with Metaurus to provide the marketplace with indices that can be used as a measure of return dispersion on a real-time basis.”

Cboe and Metaurus plan to collaborate on three new US equity indices: the Cboe US Large Cap 100 Index, the Cboe US Large Cap Lead 50 Index (the Cboe Lead 50), and the Cboe US Large Cap Lag 50 Index (the Cboe Lag 50).

Targeted to launch by the end of 2024, the three new equity indices will further Cboe’s growing global index business. Cboe Labs, Cboe’s product innovation hub, plans to develop tradable futures products based on the Cboe Lead 50 and the Cboe Lag 50 indices to be listed on Cboe Futures Exchange, subject to regulatory review.

Cboe US Large Cap 100 Index, Cboe Lead 50, Cboe Lag 50

The Cboe US Large Cap 100 Index is designed to be an equal-dollar-weighted index comprised of 100 of the largest US stocks by market capitalization, rebalanced quarterly, that replicates the sector capitalization weightings of the largest companies listed on US exchanges.

The Cboe Lead 50 and Cboe Lag 50, both equal-dollar-weighted indices, are designed to measure the total returns of the top 50 and bottom 50 performing companies, respectively, within the Cboe US Large Cap 100 Index on a quarterly basis.

Cboe has the exclusive rights to use aspects of Metaurus’ patent application to construct indices based on US equity securities, including the Cboe US Large Cap 100, Cboe Lead 50, and Cboe Lag 50 indices.

The latter two indices are designed to provide real-time insight as to how returns of the top 50 and bottom 50 individual stocks that make up the Cboe US Large Cap 100 vary over a fixed quarterly timeframe and are expected to be a gauge for realized dispersion, a key component to portfolio returns.

“Dispersion is a critical aspect of market return”

Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe, commented: “These indices will utilize Cboe’s world-class index innovation capabilities, combined with the simple, yet powerful, patent-pending technology developed by Metaurus, to help traders further understand how individual stocks contribute to the overall performance of the broader market. Dispersion is a critical aspect of market return, and Cboe is pleased to collaborate with Metaurus to provide the marketplace with indices that can be used as a measure of return dispersion on a real-time basis.”

Richard Sandulli, Co-CEO of Metaurus, said: “The team at Metaurus has been in the business of financial engineering for over 35 years. Our Dynamic ReassignmentSM technology and collaboration with Cboe allow us to work with the leading derivatives exchange to develop new, cutting-edge solutions and bring them to commercial viability. The Cboe US Large Cap 100, the Cboe Lead 50, and the Cboe Lag 50 indices build on our collective expertise in bringing novel investment products to the broader market.”

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