I posted my monthly recap of trading activity in the CME Case Shiller futures in 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 (email@example.com) on these themes or any aspect of hedging home prices.