CME Futures: Post Case Shiller release

The futures markets are generally unchanged after this morning’s release of the Case Shiller indices, although there is a mix of up and down markets.

I’ve posted prices that I’ve observed over the last 24 hours.  (That is these are neither fed by the CME, nor are they live.)  I’m showing prices for Jan 28 and Jan 29 for the CUS contracts to the right.  (See the reports section for a table with the changes on each contract.)  Typical of many contracts the bid/ask spread has widened as (in this case) some bids are lower, while some offers are higher.

In aggregate bids are about 1/2 point lower, while offers have averaged 3/4 point higher.

Futures price reflect changes in the indices with two notable exceptions that I highlighted yesterday.   The CHI index came in 113.35 or 1.53 points lower, but the Feb contracts, which had traded as low as 110.2, have rallied to 111.0/113.6.

Conversely, the LAV index came in at 100.56 or +0.42, but much weaker than “expected” by the 103.4/106.0 Feb market on Monday.

The CHI/LAV trade discussed yesterday would have been the biggest 1-day mover.

The only trade, in fact has been a pair of trades in front LAV as LAVG13 traded at 103.0 and LAVK13 traded at 106.0.  (Both are now offered at those levels.)

California markets continue to perform well.  LAX, SDG and SFR should all have higher closes by the end of the day, while Northeast markets suffer.  BOS, NYM and WDC are all lower, although index revisions in NYM and WDC account for some of the price change.

The Feb front contract now has one month to run.  All bid/ask spreads are between 2 and 3 points.  I expect those contracts that traded tighter yesterday (e.g. SDG and CHI) to tighten over time.

There are occasional 2 lot bids, but 90+% of the quotes seem to be for one lot.

There are bids for 115 of the 121 contracts (11 regions * 11 expirations) and 100 contracts have offers.   The CUS contract is the only one with bids and offers for all expirations, although BOS, DEN, LAX, NYM, SDG, SFR and WDC are all missing no more than 3 (of 22 possible quotes).

I will try to update observations on calendar and inter-cty spreads tomorrow.