Here’s a mid-afternoon update on quotes on the CME housing futures post this morning’s release of the October Case Shiller indices.
CME quotes (at least as measured by the Nov ’16 contracts) are slightly higher in 9 of the 11 regions. SDG prices are lower as the index level declined, and LAV is unchanged.
In aggregate bid/ask spreads are about unchanged. On balance bid/ask spreads are slightly tighter in the shorter maturity contracts (e.g. Feb 16 bid/ask average is 1.6 points) and slightly wider on longer contracts (e.g. Nov ’17 is 4.0 points). There are no meaningful changes to bid/ask spread changes across the regions (w/SDG showing the best -but modest – improvement).
There have been 3 trades (so far) in the Feb ’16 expiration in the CHI, MIA and SFR contracts.
Feel free to contact me (firstname.lastname@example.org) if you have any questions, or have any trade ideas that you’d like to discuss.