CME Activity post Sept release of July CS #’s

After this morning’s release of July Case Shiller numbers  (~1 PM) CME quotes on the Case Shiller futures are slightly higher and bid/ask spreads are slightly wider.  There have been no trades yet today, but there were five yesterday including one long-dated contract (SFRX18).  As typically happens in the day before or after CS #s are released, there was activity in the front contract.

The table below highlights in price changes from yesterday to today. Note that for the first time I’m using the Nov ’17 contract as the benchmark (as price movements on the front contract (Nov ’16) should be limited).

post-sept-cs

Offers are generally higher (with the exception of BOS and NYM).  Mid-market levels are mostly higher (with the exception of NYM and SFR) with DEN and LAX showing the strongest gains.  Bid/Ask spreads had averaged 2.0 points across the 11 contracts on Monday.  Today the average spread is 2.6 points.

All quotes were wider earlier this morning but bid/ask spreads on the front contract (Nov’16) are all <= 2.0 points.

The bid/ask on the Nov ’18 HCI (CUS 10-city index) is 1.6 points.  Further narrowing in this spread might have spillover benefits to other regions as there are two-sided inter-city spreads for all ten regions in the Nov ’18 expiration.

Two nits in making comparions:  WDC has a slight downward revision from last month, and SDG last month was revised slighly higher.

Feel free to contact me (johnhdolan@homepricefutures) if you have any questions or trade ideas.