Trading in the CME S&P/Case Shiller futures contracts has been noticeably quiet this month after the pop in prices during the last week of June. Quote updates have been less frequent. My sense is that less than ten contracts have traded. I have teed up proposals in inter-city spreads, option trades, and calendar spreads, but it looks like home price traders are content to wait for the next Case Shiller index release on Tues. July 31st. So…if the news is that there has been no news, then that’s what should be reported.
The table below is an indication of how quotes have changed since month-end. (I’ll post a cleaner version in the reports section.)
Some bid/ask spreads have narrowed since last month (e.g. all of Denver courtesy of 2-3 trades), and some have drifted slightly higher (e.g. most of Chicago, and the back-end of the Miami curve) but on balance prices and spreads are about where they were on June 29th.
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