April recap posted

I posted my monthly recap of trading activity in the CME Case Shiller futures Arpil Summaryin the reports section (or you can link by clicking here).

The key observations are:

  • 14 contracts traded across 6 regions, and 4 expirations.
  • Open Interest (OI) rose  from 64 to 71.
  • YTD volume remains at lowest levels since 2010 .
  • Markets up strongly during the month with higher bids and offers across all 11 regions (aggregated across all expirations in all 11 regions).  See table to the right.
  • Bid/ask spreads widened across all 8 of 11 expirations breaking multi-month trend to narrower bid/ask spreads.
  • Much of the spread widening occurred in X16/X17 as CUS X16 broke 4-month pattern of <1.0 bid/ask spread.
  • Front contract bid/ask spread unusually wide with ~ 4 weeks to expiration.
  • Calendar spreads steepened particularly across first 5 expirations.
  • April activity (bids, counters, trades, inquiries) slightly quieter than March.
  • IC quotes now in ~8 contracts  across  X16, X17.  One IC spread trade this month (CUS/LAXX16).

The biggest help is needed in CUSX16 contract as tight bid/ask there increase possibility of outright trades, as well as feeds into multiple other contracts via calendar and intercity spreads.

Away from that I’d reiterate that front contract bid/ask spreads are wide, given < 1 month to expiration.

Please feel free to contact me (johnhdolan@homepricefutures.com) on these themes or any aspect of hedging home prices.