Since there has been so little trading in the first halves of the last 3-4 months I’d thought that we might have more luck with early-in-the-month trading by suggesting that trades focus on a smaller set of contracts. As such, I’ve pulled together information on the CUS, LAX and NYM contracts,for the November expirations into this handy table. I’m happy to respond to inquiries on other regions. This is just an experiment to see what happens if trading is focused on a narrower set of contracts during an otherwise slow period.
Note: LAX and NYM constitute ~50 of CUS 10-city index. Both contracts have electronic options traded (if anyone wants to go there). Also both contracts might act as good anchors for possible regional inter-city spreads (e.g. BOS/NYM or LAX/SDG) so in tightening spread in these two contracts, there may be spillover benefits to others.
The table pulls together:
- Outright markets
- Percent gains (bids/offers) vs. spot index
- YOY calendar spreads
- Annualized YOY % increases (for bid-side, ask-side, and midmarket
- (I hope to add IC spreads later)
Note: Prices are hours old and may have changed.
One interest in setting up this table is for others to make these prices even more dated by posting levels inside these quotes and spreads. I’ll try to highlight improvements or any trading axes that people might want to share.
Two of the these three regions (CUS, LAX, NYM) already have the tightest bid/ask spreads for the 9 expirations starting in Feb 2015 across all 11 regions. (DENQ14 and LAVX14 sneak into the top two on earlier expirations).
I’ve only shown the Nov cycle expirations as that’s where open interest is concentrated and those expirations already tend to have tighter bid/ask spreads.
Contract prices and spreads are consistent with the notion that NYM will match or slightly outperform the CUS 10-city index, while LAX looks like it will lag. (Strength in other areas -e.g. CHI and SFR, bring the CUS contract back in to fair value versus the ten components).
I’m open to other ideas to stir up trading activity in the next few weeks. Please feel free to contact me (firstname.lastname@example.org) if you have any ideas or questions.