Mid-October CME Case Shiller futures update

There have been 6 CME trades this month (5 in CHI) in the CME Case Shiller home price index futures.  Prices have drifted slightly lower (along with the S&P 500) with most of the changes coming from lower offers.

The table below highlights recent bids, offers and spreads in the Nov ’17 (X17) expirations.  I’ve also highlighted the three regions with mid-market values that show the highest percent difference versus spot levels (DEN, LAV, and MIA) in green, and the three regions that show the smallest differences (CHI, NYM and WDC) in red.  Note that seasonality may play a small role as I’m comparing the index released in September versus the index to be released in Nov (2017).

mid-oct-2016

Bid/ask spreads seem to be tightest in CUS (which I try to maintain), CHI (where there have been a few trades) and NYM and SFR (where other traders have weighed in with bids and offers).

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trading ideas that you’d like to have touted.