Futures markets: post Nov CS release (Edited 10 AM to include table)

The CME futures reacted to yesterday’s release of the September Case Shiller indices by performing what we used to call an accordion market.  One side (in this case primarily the offers) was unchanged, while the other pulled away (in this case with bids dropping). We’ll see over the next few … Read More

One graph to cover many aspects of trading in CME Case Shiller futures

The attached graph may be a useful tool for illustrating both absolute and relative value differences in the prices quoted in the 11 different regional Case Shiller (home price index) contracts traded on the CME.  I’ve (somewhat arbitrarily) divided the regions into five cold areas (BOS, CHI, DEN, NYM and … Read More

Inter City Spreads for Longer Expirations -4 Nov ’17 IC spreads

Friday I teed up ten intercity day orders for the May ’13 contracts.  While I’m open to continuing that discussion, today I want to focus on the other end of the expirations -the Nov ’17 contracts.

Unlike the May ’13 contracts where near-term outright price forecasts might cover a narrow … Read More