I apologize for the delay in reporting the CME market reaction to Tuesday’s release of the Case Shiller #’s.
The table below highlights changes between Oct. 23 and today (Oct 26) to the Nov ’17 contracts.
On balance price levels (across all expirations) are ~<0.3 points lower, but certain regions … Read More
With the Fed meeting today and Case Shiller #’s next week, I thought it might be useful to update market participants on 1) where recent market quotes are, and 2) how they’ve changed during the month, as stocks have sold off. All of the qualifiers I outlined in the original … Read More
The combination of three events (the end of summer, my decision to switch benchmark to Nov ’18 expirations, and the recent sell-off in the stock market) prompted me to re-think how to show summary information to anyone potentially interested in the CME Case Shiller home price index futures. This is … Read More
Case Shiller quotes on Case Shiller futures are generally lower after this morning’s #’s (with the exception of CHI and WDC).
The table below shows quotes from sometime yesterday and this morning (~11 AM NY). As shown in the line “one day price moves” (which measures the change in mid-to-mid) … Read More
Bid/ask spreads for the front contract (Feb ’16/G16) are tighter this morning. Hopefully this will prompt some discussion of (and trading in?!?) in front contracts. Note how seasonal effects are expected to kick in, resulting in some month-month NSA declines in index values.
Since Feb ’16 prices are linked to … Read More
Prices on the Case Shiller futures were mixed, but on balance, slightly higher today, post today’s release of the September Case Shiller indices. The table below highlights changes in the Nov ’16 contract between Monday and today’s close. Six regions showed higher prices while four were lower.
Bid/ask spreads widened … Read More
I’ve posted the June recap report, as well as updating graphs for month-end prices, price changes between May and June, and tables showing volume and open interest over the last five years. All reports, graphs and tables are in the REPORTS section of this website.
As to the recap, there … Read More
The CME housing futures moved slightly higher, and bid/offered spreads widened after this morning’s Case Shiller numbers were released. Four contracts traded (bringing the MTD total to 12). All trades were on calendar spread orders in the CHI and SDG regions.
The table to the right shows the historical indices … Read More
In academics, it’s often taught that home prices should in the long run move in line with rents. After all (it is argued) home purchase may be viewed as akin to prepaid rent. Multiple websites (including this CNN Money page) highlight current and historical price/rent ratios. The popular “rules” … Read More
I’ve finally been able to post a recap of activity in the CME Case Shiller (home price index) Futures here. (I’ve had challenges at the server level, on the trade-entry platform, and with juggling work that have all contributed to the delay. My apologies.)
Net, trading slowed (to ten … Read More