I’ve posted a recap of activity in the CME Case Shiller futures contracts through April 27. I realize that it wasn’t quite month-end, but as there no trades on the 28th (although I’d not that there were 7 on May 1!) the April 27 quotes are a good reference point (that I will use for any May recap). The recap is in the Reports section or you can link to it here.
I had a busy work/travel schedule in April and tended to leave bid/ask spreads wider than normal. Possibly as a result, activity was quieter than normal.
Here’s the summary observations from the April recap:
- There were 4 futures contracts traded in April.
- Futures trades took place across in 3 regions, but only in 2 expirations, and only on 2 dates. As such, I would describe trading as extended periods of quiet with few other traders bidding and offering, with the exception of a few days.
- OI (Futures) rose to 69 from 66, but volume and OI is becoming more concentrated in the front contract (K17).
- There were no options trades.
- Bids were up strongly during the month across most regions.
- Bid/ask spreads tightened after two months of widening.
- Longer-dated forward curves remain very flat as I get many more inquiries from hedgers than potential longs (in X19/X20/X21 contracts).
Feel free to contact me (firstname.lastname@example.org) about this recap or any aspect of CME home price index futures and options.