CME Markets post today’s Case Shiller #’s

Quotes on the CME Case Shiller home price futures contracts were generally higher after this morning’s release of the Case Shiller numbers for April.  The table below highlights prices from near the close yesterday versus early this morning.  There are three key highlights;

  1. Average mid-market prices rose by 0.4 for
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Approaching May ’18 expiration w/convergence => CS (10-city) HPA expectations (6.4%)?

Every quarterly expiration of a CME Case Shiller home price index contract is an opportunity to remind readers about the cash settlement features of these contracts, and how quotes on the expiring contracts might be used to get a sense of “market-implied” HPAs.

For example, the table below shows (in … Read More

LAV -Last contract without OI

It seems incongruous that the only CME Case Shiller home price index contract that doesn’t have any OI (open interest) is LAV (Las Vegas).  After all LAV is the mecca for placing bets on many events, yet there’s been no “action” on LAV.  One might expect future LAV prices to … Read More

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