I’ve finally been able to post a recap of activity in the CME Case Shiller (home price index) Futures here. (I’ve had challenges at the server level, on the trade-entry platform, and with juggling work that have all contributed to the delay. My apologies.)
Net, trading slowed (to ten contracts) but was dispersed across four regions and five expirations. There was one calendar spread trade, but no IC trades.
Price levels were mixed with some contracts rallying in response to stronger than expected Case Shiller #’s (at least by quotes in the expiring Nov ’14 CME contracts). MIA and SFR were slightly higher on the month, while CHI, NYM and WDC were lower.
Bid/ask spread were about flat overall with some contracts tightening (e.g. DEN, MIA) while some widened (e.g. CHI, LAX and NYM).
Open interest fell sharply as 35 options and 36 futures (as of Oct.28) expired.
The CME introduced a new Nov ’19 expiration. At month-end only the CUS and NYM contracts had quotes for 2019.
The CUSX16 has performed admirably as a benchmark security with a bid/ask spread that has been <2 points for much of the month, and <=1 point for many days.
I introduced one new graph (CUSX16 vs. SP500) that I intend to blog about next week.