Market color- post October release of August Case Shiller indices

Quotes on the CME Case Shiller futures generally (with the exception of LAX and SDG) moved lower today after this morning’s release of the August Case Shiller indices.  Bids tended to drop more than offers leading to wider bid/ask spreads.  The spread widening more was more pronounced in longer-dated contracts.  By 1 PM (NY) there had not been any trades.

The table to the right shows the prices, and price changes for the CUS contract.  There is a table for all 11 contracts in the Reports section or readers can link to it here.

(The CME is no longer posting free, real-time prices to their website.  Prices are available on E-Quotes  (click here for link to trial subscription), Bloomberg and other data vendors.   My CME contacts are hopeful that 15-minute delayed prices will be available on a CME website sometime in the next few months.  In the meantime, I’ll try to provide (delayed) color on significant price moves, at month-end, and as trades happen.)

Some notes:

  • The expected battle in CHIX13 (after 26 lots traded yesterday) didn’t happen today.  The CHI index for August was 127.68, just a hair below the range that I predicted might prompt a price reaction.  Yesterday’s 129.8/130.0 close turned into today’s 127.4/129.6 market.
  • There was a revision to the NYM index series that makes today’s 172.46 value slightly stronger than it initially appeared.
  • In another trade yesterday, CUSG14 traded at 179.2.  As this contract references the Dec ’13 CS index, the price represents almost a 13% premium over the Dec ’12 index.  The bid for that contract has slipped today but the contracts are still pricing in a strong 2013 performance.

While bid/ask spreads are wider I remain optimistic that trading opportunities will exist.  Differences of opinions, when market sentiment changes, tend to result in tighter bid/ask spreads and more trades.  This occurred in May 2012 when the CS indices turned up.  We have a similar situation today with prices in all 121 contracts, and different traders participating and offering quotes on both sides of the market.   Typically the day of Case Shiller releases seems to be a “wait and see” day where traders see how prices shake out on the news.  That’s often followed by traders contributing their thoughts (bids and offers) the following day and/or at month-end.  Stay tuned.

If you have any questions please feel free to contact me (johnhdolan@homepricefutures.com)