Using the 10-city CUS contract as an example I’ve put together an illustration (some are not real prices) of a series of calendar spreads. The graph at the top show bids … Read More
I was recently reminded that for all of the discussions here on pricing, that I hadn’t shown a basic “how to hedge” example using the CME Home Price futures. Let me rectify that with the following illustration.
The graph to the right illustrates the P&L impact of a change in … Read More
The graphs are of 1) the Nov 2007 CUS contract, 2) the Nov 2008 contract, and 3) the … Read More
It might be useful to walk through the calculation of the CUS (The 10-city Nationwide) index once, as the index presents an opportunity for possible trading strategies. To start, the table (below) lists the weights of the index and shows the weighted average price of the 10-cities for the May … Read More