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
With half a month behind us, and now with all 121 contracts having some prices, it might be appropriate to spend a few minutes reviewing recent trends in price quotes for the CME Case Shiller futures. While there have been few trades, there has been some notable price changes.
The … Read More
There were a number of trades for the NYM region earlier this week including one for the NYMX17 (Nov 2017) contract. While traders would love to see tight markets 4+ years forward (5 when the Nov ’18 contract is rolled out in 2 months) how can one expect narrow bid-ask … Read More
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
Inter-city spreads allow a trader to express a relative value view (as opposed to an outright view) between … Read More
With about one week to go until the April 30th release of the February Case Shiller indices, I thought that it might make sense to update price tables and graphs. While volume has been near zero there’s been a relentless inching in of bid/ask spreads. The BOS, LAX, MIA, SDG … Read More
The Case Shiller indices for Jan 2013 were released on Tuesday March 26th. Much of the reaction in the CME prices was concentrated in the front (May 2013) contracts. (A table of before- and after- prices for the CUS contracts is shown here, and a table of price changes across … Read More
Inter-city quote spreads may be a great way to express a view on the relative performance of two contracts for a given expiration. The outright level of home price moves may be reduced with a simulaneous buy and sell, execution risk is reduced as the buy and sell are done … Read More
The price quote changes since Dec. 31 continue trends that persisted during the 4th quarter of 2012. This table (excerpted from a much larger table in the Reports section showing all 11 contracts) shows the price changes for the HCI/CUS 10-city contract since year-end.
While it’s easier to show one … Read More