Recap of Jan activity in CME Case Shiller Futures has been posted

I posted my recap of activity in the CME Case Shiller home price index futures for Jan.  You can find the recap in the Reports section, or link here.

The comments from the summary page include:

–Activity picked up with 25 trades in January.

–There were trades in 5 regions and 7 expirations across 5 dates.  Beyond the HCI contract, trading was concentrated in CHI (8) and SFR (7) contracts and in the G17 (6), K17 (7) and X18 (6) contracts.

–There was both buying and selling in SFR (beyond my role) while CHI saw interest from buyers.  G17/K17 curves have flattened as a result.

–Open interest rose to 53 from 41.

–Bids and offers were flat during the month, but then rose after CS#’s.

–Forward curves stopped flattening.

–Bid/ask spreads ended up unchanged, after tightening all month, and then widening after CS #’s.

–InterCity  and calendar spread orders were both executed.

–See new section on individual graphs for each region. (End of report).

–The CME announced that they would open electronic trading for all 10 regions starting Mon Feb 5th. (See options page for details.)

Please feel free to contact me ( if you have any questions, or trading ideas.