Recap posted of CME activity during September

I’ve posted the monthly recap of activity in the CME Case Shiller home price futures contracts for the month of September.  You can find the recap in the Reports tab or you can link here.

The recap has multiple graphs and tables of quotes across the ten regions and 11 expirations.

The summary observations include:

–Activity remained quiet with only 11 trades in September.  Per usual, the majority (8) took place the days before/after CS #’s were released.  All trades were in three expirations (X16, G17, X17)  across six regions.

–There seemed to be both outright, calendar spread and inter-city spread orders executed.

–Open Interest rose to 42  from 37 for futures and remained unchanged at 18 for options.   Futures OI remains concentrated in the Nov expiration cycle with all but 2 contracts.  OI is also very front-loaded with ~2/3rds in Nov ‘16 expiration.

–Offers were generally lower on the month across regions  except DEN, MIA and SDG.  Bids were mixed w/ NYM and SFR off the most.

–Bid/ask spreads were (in aggregate) tighter across all expirations

–I posted a full set of bids/offers for Nov ‘19 and ‘20 on Sept 30 but mostly there were two-sided quotes out to Nov ’18 (except May 18)

–Volatility (vs. S&P 500 and outright) remains VERY low (Slide 15)

–There are tight Intercity spreads across all X18 CUS/regional pairs.

–Shorter-dated put quotes, and longer-dated call quotes have been  posted for selected contracts

As always, feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trading axes.