CME Quotes post June CS #’s


The Case Shiller index numbers for April were posted this morning.  The results were some eye-popping index increases lead by a ~7.5 point increase (or ~4.9%) in SFR.  August futures had priced in some gains but the actual index results were far in excess of implied Aug13 contract prices.

There have been no trades but (my count) 94 new contract highs (across the 121 contracts).   Offers (away from Aug13 contracts) are almost non-existent.  Bid/ask spreads (to the extent market have two-sided quotes) are very wide and likely to remain so (absent any hedging programs.)

I sense that it will be some time before markets settle down and bid/ask spreads resemble anything like they were earlier this winter.  While Aug13 bids have moved up strongly, another such month of index increases might also find these bids to have been too low.

My hope is to fill out quotes for month-end.  Any help would be appreciated.