I just got around to posting my recap of activity in the CME Case Shiller futures contracts for February. Anyone living in the Northeast knows that shoveling snow and chipping ice is taking WAY TOO MUCH of my time. The recap is in the Reports section or you can access it here.
February was another slow month with limited trading (4 contracts), but tighter bid/ask spreads and higher prices (in 9 of 11 regions). The Feb release of the Case Shiller #’s was probably the one with the most surprises (i.e. index values outside bid/ask range of expiring contract) over the last four years. You can find my blog on the surprises and market reaction here.
With the expiration of the G15 contract, the CME opened trading in the Aug ’16 (Q16) contract on Tuesday Feb 24 . Other than some quotes the first trading day (designed primarily to bring closes in line), there has been little activity in Q16. I’ve tended to focus on fewer expirations, and so the Q16, K17, X18, and X19 contracts have few quotes across the regions (except for the HCI (10-city index) contract.) While I’m happy to get help from anyone looking to support such “orphaned” contracts, I think that interest needs to be concentrated in a smaller number of expirations until volume picks up.
The primary change in the monthly recap is the introduction of a page with intercity spread (IC) orders. IC spreads have already been useful in tightening quotes in the X16 and X17 contracts. I’d encourage readers to review that page and to read my Feb 26 blog (click here) that describes how IC spreads can be useful for discussions of implied HPA differences across regions.
Finally, I continue to marvel at the success of the S&P 500 index versus forward home price expectations. I’ve posted an update of the graph that shows the strong increase in stock prices versus continued unchanged expectations in forward home prices. There are issues here that I hope to explore in a future blog, or class.
Feel free to contact me (firstname.lastname@example.org) if you have any questions on this recap.