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 (firstname.lastname@example.org) if you have any questions with this recap, or if you have any trade ideas.