Oct Recap posted

I missed doing a September recap so I wanted to make sure that I pulled together and posted information on October activity in a timely fashion.  The October recap is posted in the Reports section or you can access here.   (I’ve also posted: tables of price changes, graphs for all 11 contracts, updated historical volume, and open interest).

The Oct highlights include:

  • Nine trades, across four regions and four expirations
  • Trading concentrated post Sept #’s and +/-  2 days of October Case Shiller release
  • Prices marginally lower (< 1/2 point on average)
  • Bid/ask spreads modestly tighter
  • Benchmark CUSX16, X17 bid/ask < 1 point
  • Forward implied HPA continuing to decline
  • Continued very low volatility in futures prices (e.g. CUSX16 has not broken out of 202-212 range in > 2 years)
    • Near no correlation to stocks
  • Use of Intercity spreads to tighten X17 regional contract quotes
  • Increased interest in puts (and I found a broker who will post quotes) so expect blogs on LAX puts.
  • Concentration of Open Interest (52) in Nov ’15 contract (25) creates incentive for trading longer-dated contracts.

As always, feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions with this recap, or if you have any trade ideas.