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
In preparing to write an upcoming blog on “trading in expiring contracts” I first wanted to check to see whether my intuition that trading volume was concentrated in the front contract, was borne out by the numbers. While there is probably a more comprehensive database at the CME of all … Read More
Here’s my long overdue template for option quotes. I wanted to get this done for the month-end report AND to inquiries I’ve had for HCI (CUS 10-city index), LAX and NYM contracts. (I figured that I’d toss in numbers for CHI to show all four regions where one can post … Read More
With only one week to go before the (Tuesday, Nov 24th) release of the Case Shiller index results for September, I’ve taken a sharp pencil to tighten up bid/ask spreads in Nov ’15 (X15) contracts. Here’s a table of historical Case Shiller values and this morning’s contract quotes for the … Read More
Today’s Case Shiller numbers produced a number of surprises (as defined by falling outside the bid/ask range of the expiring Aug ’15 contract). Recall that since the CME futures cash-settle, in theory, market prices on the expiring contract should reflect consensus views on the numbers released the next day. In … Read More
Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.
All contracts are pricing in MOM gains (using mid-market values) of at least 1% (not shown), except MIA. The 196.3 CUSQ15 price is consistent with 4.9% YOY gains. Mid-market levels gains are consistent with … Read More
CME markets have been mostly quiet this morning as Case Shiller numbers came out generally in line toward CME quotes for the Aug ’15 contract. The two exceptions seem to have been in the BOS and SDG contracts where Nov ’15 contract prices have dropped sharply (as shown in the … Read More
While trading in longer dated contracts is more at the heart of hedging home price risks, my sense is that confidence in longer-dated markets is a function of believing that shorter-dated contracts are priced tight and correctly (that is to expectations of pending Case Shiller releases). Tight spot contract prices … Read More
With yesterday’s release of the Case Shiller index numbers for Dec. 2014, several research firms have posted their projections for home price appreciation (HPA) for 2015. What can you do with these forecasts whether you believe them or think that they are too bullish/bearish?
I’d submit that the CME Case … Read More