CME activity post June release of CS #’s

CME markets have been mostly quiet this morning as Case Shiller numbers came out generally in line toward CME quotes for the Aug ’15 contract.  The two exceptions seem to have been in the BOS and SDG contracts where Nov ’15 contract prices have dropped sharply (as shown in the table below).  There was one trade in SDGQ15 -the only one at the time of this report.

On the other hand, LAX and DEN prices moved higher as upward price momentum (at least in the non-seasonally adjusted numbers) continued.

Bid/ask spreads have recovered to yesterday’s levels after wider quotes before and after the 9:15 release.   While spreads are about the same across all regions and all expirations today, on the month bid/ask spreads are much tighter -particularly in the CUS and CHI contracts, as well as the Q15 and X17 expirations.  (I am traveling the next few days so I may not get the June recap out until during the July 4th weekend.  Please contact me if you’d like to see a specific table earlier.)

As today is month-end expect some filling in of prices on less-frequently quoted contracts and a sharp pencil being taken to some calendar spreads.  Any help would be appreciated as the tighter the month-end quotes, the better the contracts look when I go to market them.

If you have any questions please contact me @ johnhdolan@homepricefutures.com .  I’m hoping that my tech and email problems are behind me as I’ve transitioned to a new server.

 

June2015 post CS