Oct month-end recap (published)

I’ve updated several links on the Reports page that will take readers to:

  1. A 16-page recap of activity in the CME S&P Case Shiller futures for October (here)
  2. A set of graphs for the 11 contracts (here), and
  3. A set of tables with prices a/o Oct 31 and Sept 30 so that one can see changes (here)

Here are some key highlights from October and the report:

  1. 2-sided prices on all 121 contracts (11 regions * 11 expirations) have been the norm since early Oct.  This is the first time I’ve been able to report that in over a year.  Bid/ask spreads are wide in certain contracts but a “full picture” of all contracts is now available.  Thanks to those who contributed to this effort.
  2. Trading volume (68) was the highest since May 2012.  It seems that turns in the market, or more precisely, differences of opinions in whether the market is about to turn, are what today and May 2012 have in common.
  3. Open interest rose to ~150 but much of that is concentrated in Nov 2013 expiration.
  4. The largest single trade (24 lots of CHIX13) in my 3-year memory of the contracts, occurred the day before Case Shiller numbers for August were released.  While I’d love to eventually see the contracts more used for longer-term hedging, having a venue to express difference in how recent housing data might be interpreted is also worthwhile.
  5. Once 2-sided markets began to appear, traders started to bring down offered side on longer-dated California markets.  This brought implied HPA’s from near 10% to mid-market quoted levels closer to other contracts.  There’s much more work to be done on longer California contracts.  Any help would be appreciated.
  6. CUS and NYM series remained tight for much of the month and saw isolated longer-expiration trades.
  7. A smattering of inter-city quotes popped up based on the relatively tight bid/ask spreads in CUS and NYM.  This should be a fruitful area to accommodate further spread tightening.
  8. CME moved from Data Suite to E-Quotes in their distribution of quotes on housing contracts.  Live prices are currently available via EQuotes (check out free trial) and other data vendors (e.g. Bloomberg).  The CME has made some noises that delayed prices might be posted on their site some time in the next few months.  In the meantime I will report on delayed/stale prices either periodically or after significant market moves.

I’d be happy to discuss these observations, or any aspect of trading in the CME S&P Case Shiller futures, in more detail.  Please feel free to contact me at johnhdolan@homepricefutures.com