IC spreads are important as they allow viewers another way to see which regions are priced at levels that are consistent with a region out-, or under-performing the … Read More
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
Bid/ask spreads for the front contract (Feb ’16/G16) are tighter this morning. Hopefully this will prompt some discussion of (and trading in?!?) in front contracts. Note how seasonal effects are expected to kick in, resulting in some month-month NSA declines in index values.
Since Feb ’16 prices are linked to … 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
With tighter bid/ask spread, other traders weighing in with quotes, and a clear slowdown HPA growth, differences in forward price gains across the ten CUS-10 components are starting be more evident.
The bar graph below shows CME Case Shiller futures prices translated into percent gains versus today’s spot indices. The … Read More
The two trends of a) tightening bid/ask spreads and b) nearly no trading early in the month, continued to play out in the first half of March. As highlighted in the table to the right, bid/ask spreads have inched in across most regions and contract expirations. Bids (aggregated across a … Read More
In yesterday’s blog I touched on the notion that one might be able to use InterCity (IC) Spreads to express a view on the relative HPA performance of one region to another. While some regional pairs might make sense to debate (e.g. BOS v NYM, or LAX v SDG) a … 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