I’ve updated a table of option pricing on the CME Case Shiller futures for Feb ’18 expiration. I’ve picked Feb ’18 as the index released that month (the value the options/futures will settle on) is the Case Shiller index value for Dec ’17. Thus we can get into debates not … Read More
Related to accessing a new broker……
I’m in an awkward situation where the CME has rolled out option trading on the Case Shiller home price index futures for certain regions, but I’m not able to post quotes on those new put contracts (i.e. the ones for BOS, DEN, LAV, MIA, … Read More
As I noted in previous blogs, the CME has recently made it slightly easier to trade options in the “new 7” regions (BOS, DEN, LAV, MIA, SDG, SFR and WDC). While it was possible in the past to trade a minimum of 20 lots ex-pit, one can now electronically trade … Read More
In my Sept 2 blog I noted that I’ve started to populate quotes for puts. Recall that there are only four regions with electronic quotes (CUS-10 city, CHI, LAX and NYM) and that most of the inquiries that I’ve received has been for short-dated (e.g. <2 year) protection. Here, I’d … Read More
In my recap for August CME activity () I posted a table of put option prices for the four regions (CHI, CUS, LAX, and NYM) where electronic trading of puts is allowed by the CME. That table in updated here.
Over the last few months I’ve probably had more inquiries … Read More
I’ve had a handful of inquiries related to options so I figured that I’d use some down time to dust off my option pricing model and give the topic some attention.
The table below shows my quotes on the four electronically traded regions. Recall that options on other regions can … Read More
The CME just released an announcement that is intended to make clear that Case Shiller options have European-style (at expiration) and not American-style (continuous) rules. http://www.cmegroup.com/notices/ser/2016/07/SER-7688/SER-7713.pdf
Since the futures don’t have coupon payments or dividends, and since options always have some time value, I’ve long analyzed these options as European. … Read More
I believe that the CME markets saw their first option trade for 2016 over the last few days. Eighteen puts on the CHIQ17 120 strike traded (FYI CHIQ17 = 134.6/139.4 today) at 2.0 points.
This trade played out in a manner consistent with other inquiries. A buyer of slightly out-of-the … Read More