CME Futures -post Sept release of Case Shiller #’s

Quotes on the CME  Case Shiller home price index futures are marginally higher this afternoon (relative to yesterday, and as measured by mid-market values) after this morning’s release of the Case Shiller indices.  The biggest gain took place in the LAXX18 contract (where there was one trade today).  DENX18 is the only contract that is lower.

Across all contracts, bid/ask spreads average about unchanged.  Bid/ask spreads in the front X17 contract now average 1.9 points.   The CUS (10-city contract) has the tightest spreads.  The SDG/SFR pair has the widest.

Year-on-year price gains in the indices (so ~HPA) were highest in BOS, LAX and SFR (not shown here).  HPA gains slowed slightly DEN.

The largest monthly revision was a downward revision of 0.24 to last month’s LAX index (making today’s increase in HPA more impressive).

Month-to-date volume is 27 contracts with 7 in options and 20 in futures.  There have been trades in 5 regions, and 5 expirations.

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trading ideas.

Thanks,  John

 

 

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