Oct recap of activity in CME Case Shiller home price index futures

I just posted my recap of activity in the CME Case Shiller home price index futures for Oct in the Reports section.  You can also access it here

Monthly trading volume inched higher to 14, and now equals the total for 2015.

There were trades this month in five regions across four expirations.

Open interest remains low (46) and is concentrated both in the front contract (58%) and Nov-cycle expirations (91%).

Price levels are lower on the month, with tighter bid/ask spreads -particularly in longer expirations.  Front contract (Nov ’16) bid/ask spreads average 0.7 points, a tad tighter than normal with < one month to expiration, but Nov ’18 spreads have collapsed from 5.9 points in July to 1.9.  Tighter intercity spreads in the X18 contract, as well as much lower offers (hedgers?) both have contributed to the narrowing of Nov ’18 bid/ask spreads.  DEN sold off the most, but bids were unchanged to higher in LAX, SFR.

The biggest change in the month is the flattening of forward curves.  Calendar spread levels have contracted 2-3 points for X16-X20 spreads.

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