I’ve posted a recap of activity in the CME Case Shiller contracts during February, in the Reports section (or you can link here).
–8 contracts traded in at least 3 regions, and 2 expirations. (Slide 12)
–With the expiration of Feb ’16, OI fell from 44 to 37 (Slide 13).
–Markets were quoted slightly higher during the month (i.e. aggregate bids across expirations were higher in 9 of 11 regions).
–Two-sided markets are quoted out to May ’17 for all 11 “regions”, w/ some focus on longer Nov expirations and CUS index futures.
–Implied HPA drifting lower. (Slide 18)
–Volatility (vs. S&P 500 and outright) remains VERY low but at least correlation of CUS to S&P has reverted to positive (Slide 15)
–Bid/ask spreads were slightly tighter with the bulk of that taking place in the front (May 2016) contract (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. (Slide 14)
–Intercity spreads remain concentrated in X17. (Slide 23)
–Activity during Feb (bids, counters, trades, inquiries) was unusually front-loaded in the first two weeks. 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. (Slide 22)
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