CME Market reaction to CS #’s (Jan 2018 release)

Quotes on CME Case Shiller home price index futures were generally higher on Tuesday, albeit with wider bid/asked spreads, following the January release of the Case Shiller #’s for November.  As highlighted in table below, the big movers were the California contracts (w/ SFR much higher, and SDG lower) and … Read More

Basics _Bid Ask spreads for Case Shiller futures contracts

My last blog talked about which contract expirations get most of the (limited) trading.  This one shows (see table below) where the tightest bid/ask spreads are (today).  That’s important as the markets with the narrowest bid/ask spreads tend to be the ones with the greatest likelihood of a trade.  After … Read More

Reconciling falling SA prices with higher forward levels

Over the last few months headlines have simultaneously touted rising AND falling home prices (or at least indices).  As seen in the table below, nominal, non-seasonally adjusted (NSA) home prices have continued to grind higher (albeit at ever slower implied HPA) while seasonally-adjusted (SA) home prices index values have declined … Read More