The Case Shiller numbers released yesterday (Feb 28) were generally in line with CME quotes on the expiring Feb ’17 (G17) contract. CME quotes from Feb 23 bracketed the actual CS # across nine of the ten regions (with NYM CS #’s coming in just slightly above the offered side … Read More
Quotes on CME Case Shiller home price index futures are higher across the board after this morning’s release of the November Case Shiller #’s.
Using the Nov ’17 contract (X17) as a proxy, mid market prices are up from 0.4 (in LAV and MIA) to 1.2 (BOS) and 1.7 (NYM). … Read More
The CME Case Shiller home price index futures expire four times per year (Feb, May, Aug and Nov) settling on the index values released on the last Tuesday in month of expiration (so Nov. 28 this month). While longer-dated futures prices can be influenced by many things (e.g. order imbalance, … Read More
With the Fed meeting today and Case Shiller #’s next week, I thought it might be useful to update market participants on 1) where recent market quotes are, and 2) how they’ve changed during the month, as stocks have sold off. All of the qualifiers I outlined in the original … Read More
Case Shiller quotes on Case Shiller futures are generally lower after this morning’s #’s (with the exception of CHI and WDC).
The table below shows quotes from sometime yesterday and this morning (~11 AM NY). As shown in the line “one day price moves” (which measures the change in mid-to-mid) … Read More
Yesterday’s Case Shiller #’s were both 1) outside bid/ask ranges on the expiring May16 contracts and 2) a reminder that there may be trading opportunities right up to the last days of trading.
The table above shows that 9 (!!!) of the Case Shiller indices were above the offered side … Read More
CME Case Shiller futures are slightly higher on the day after this morning’s release of the Case Shiller numbers for the period ending in February. There were 4 trades in May ’16 contracts this morning (DEN, LAX, and SFR (2)) bringing the MTD total to 13. (There was also the … Read More