Front Contract with < 2 weeks to expiration

Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.

Aug 12 Front contract

All contracts are pricing in MOM gains (using mid-market values) of at least 1% (not shown), except MIA.  The 196.3 CUSQ15 price is consistent with 4.9% YOY gains.  Mid-market levels gains are consistent with a range of YOY gains from 2.1%(CHI) to 10.9% (SFR).

Seasonal factors (and momentum) also have Nov ’15 contracts priced higher than Aug ’15.  All Aug/Nov calendar spreads imply additional increases in the indices.

With about two weeks until expiration, front contract bid/ask spreads are tighter than historical.  So, if anyone has any trading ideas/axes, feel free to contact me (johnhdolan@homepricefutures.com).