I’ve posted a recap for activity in the CME Case Shiller futures contracts for May. You can look in the Reports section or click here.
–Activity picked up in May with more activity early in the month (and no trades post CS #’s?!?). 16 contracts traded across 6 regions and 5 expirations. YTD volume> 2015( Slide 12)
–First trade in 2018 expiration.
–Open Interest fell to 42 (as 18 May OI expired).
–Vol/OI concentrated in first two contracts, Nov expirations.
–After slow tightening, and massive widening post CS #’s, on balance quotes are slightly tighter (and higher) (Slide 4)
–Full quotes in all 11 regions from Q16 to X17.
–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 try keep bid/ask spread to < 1 point) I’ve also been doing so with CUSX17. (Slide 14) Bid/ask wider this month after CS #’s.
–Intercity spreads concentrated in X17. (Slide 23)
–I’ve added Vol/OI for options (only two larger trades in last 2 years)
Feel free to contact me (firstname.lastname@example.org) if you have any questions or trading ideas.