Recap of Jan activity posted

I just posted the recap for January in the Reports section, or you can link here.

I’ve highlighted the key themes from the recap below.  Net, I’d share that with the exception of a couple of other traders who post aggressive quotes in the 1-2 contracts that they have an interest, many of the other contracts are quiet.  That said, I’ve been getting as many inquiries for options as futures and hope that we will see an option trade this month.  I would note that what has frustrated some of those with option inquiries is finding a broker who will let clients take a position in a sector (options) with no volume/open interest.  Hopefully first trade with break that ice.

–9 contracts traded across 3 regions, and 4 expirations.

–Open Interest increased from 40 to 44.

–Markets were quoted slightly higher during the month (i.e. aggregate offers across expirations were lower on 10 of 11 regions).

–Two-sided market out to Feb ‘17, then focus on Nov expiration and CUS index futures.

–Implied  HPA drifting lower.

–Volatility (vs. S&P 500 and outright) remains VERY low.

–Bid/ask spreads were slightly tighter with the bulk of that taking place in the front three contracts (Slide 4).

–While I continue to use CUSX16 as the benchmark contract (and keep bid/ask spread to < 1 point) I’ve also been doing so with CUSX17.  Also using CUSX17 as basis for IC spreads.

–Activity during Jan (bids, counters, trades, inquiries) was concentrated around Case Shiller release.  Few other parties posting bids/offers away from month-end.

–I continue to get as many option inquiries as futures. Posted put prices on four contracts.

Feel free to contact me (johnhdolan@homepricefutures.com) if you care to discuss the recap, or any trading ideas.