With the May ’13 expiration in just three weeks, and a handful of recent K13 trades (LAV, MIA, NYM), I thought that it might make sense to focus on front-contract markets.
The following table shows the recent history of each of the 11 traded CME reference indices as well as recent bids, offers and mid-market levels. These mid-market levels are then compared to Feb ’13 and Mar ’12 index levels to show what index increases might be.
(Recall that the May 2013 futures settle on the March 2013 Case Shiller index which measures the period Jan-Mar 2013. This makes trading in the expiring contract different from other expirations as trading becomes an act/art(?)/ of anticipating how the already-known repeat-sales price data points will be assembled into the March 2013 index. Since the futures settlement price converges to the next CS index release, it can be strongly argued that the expiring contract prices should reflect expectations.)
Posted bid/ask spreads for the May ’13 contracts were all between 1.0 and 2.0 points, but as these have to be kept live throughout the day, it’s likely that larger amounts might be traded at inside posted levels.
Mid-market prices for the May contracts are slightly higher than the Feb indices indicating that negative seasonal factors are likely to be offset by growing buying interest.
The headlines for Wed. May 29th will highlight the year-on-year gains in SFR and LAV (each ~>19%) and contrast those against the lagging NYM and CHI markets.
Feel free to contact me (firstname.lastname@example.org) if you have any questions on this table or any aspect of trading home price derivatives.