CME Case Shiller Futures Recap Post Oct 25 Release of CS Indices

I apologize for the delay in reporting the CME market reaction to Tuesday’s release of the Case Shiller #’s.

The table below highlights changes between Oct. 23 and today (Oct 26) to the Nov ’17 contracts.

post-oct-cs

On balance price levels (across all expirations) are ~<0.3 points lower, but certain regions (LAX, SFR) were up, while some (DEN, LAV) were much lower.  (Note that there were modest price revisions to NYM and WDC indices but no meaningful move in the futures contracts.)  My sense is that any price declines are the slightest bit more concentrated in longer expirations as offers on calendar spreads have inched lower.

There are 85 bid/ask spreads quoted (from a total population of 11 regions * 11 expirations =121) and those spreads have converged back to slightly tighter than Monday.  Most of the tightening has occurred in the front three expirations.  Of note, bid/ask spreads for the front contract (Nov ’16) now average <1.0 point.

Intercity spreads quotes are available for Nov ’18 expiration on the ten pairs of regions vs. CUS (10-city index).

There have been ten trades this month, but none since the CS #’s were released.

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