Suggested Offering Levels for Puts

I’ve updated my table (see below) of suggested offering levels for CME Case Shiller puts.  Note that I’ve eliminated puts for Aug ’17 expiration as there’s too little time and volatility to justify prices other than intrinsic value.  Furthermore, some quotes show up as “1.0” in red, as the theoretical value I calculate is below 1.0, but I don’t care to write such tail risk.

Put levels are generally slightly lower than May 31st values as a month has passed, and the referenced futures contracts are flat to higher on the month.  As such, the DENQ18 (the contract with the largest price drop) is 0.8 points lower than last month.

Recall that the CUS, CHI, LAX and NYM can be exchange-traded, but that trading in the other contracts (at least using my broker) needs to be arranged off-market, and then brought to the CME to clear.  While more involved, there is no minimum size limit to the number of contracts that can be traded (as opposed to 20-lot minimum for such off-exchange trades done before Feb 2017).

Feel free to contact me (johnhdolan@homepricefutures.com) if you have a trade, or a trade idea, that you’d like to discuss.