I’ve finally gotten around to posting a recap of activity in the CME Case Shiller futures contracts for the month of April. (Busy in other work-related areas.) You can link to the recap here or look in the Reports section.
The key headlines from the recap include:
–Activity picked up in April with more quote activity from other traders. 14 contracts traded, primarily in the front K16) contracts across 7 regions. (Slide 12)
–Open Interest increased to 51.
–(In aggregate) quotes on futures were about unchanged with bids flat and offers only slightly higher. (Slide 4)
–Bid/ask spreads were slightly wider.
–The number of expirations with full quotes dropped as K17 contracts are missing some bids and offers.
–Implied forward HPA continues to edge lower (Slide 18)
–Volatility (vs. S&P 500 and outright) remains VERY low (Slide 15)
–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 concentrated in X17. (Slide 23)
–There were trades for 18 CHIQ17/ 120 strike put options during the month. I continue to get as many option inquiries as futures.
Please feel free to contact me (email@example.com) if you have any questions.