Rethinking LAV

One of the (few) benefits of contracts with (very) limited open interest and volume, is that you can have a whole-sale rethink of value without impacting open positions.  With this mindset, and having reviewed this month’s Core Logic forecasts, (http://www.corelogic.com/about-us/researchtrends/corelogic-home-price-insights.aspx)  I took another look at the LAV contracts.  While I’ve … 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

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

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