Here’s an update of quotes across the CME Case Shiller home price futures contracts from early April 16th. I’ve posted as there’s been quite a bit of bid/ask spread compression since March 29th both by regions and across the expirations. For example CHI bids are 6.4 points higher, while offers … Read More
Prices on the CME home price index futures were slightly higher after this morning’s release of the Case Shiller indices. The table below shows the market quotes on the expiring Nov ’17 contract from yesterday, versus the actual CS #’s released this morning. I would highlight three surprises: DEN and … Read More
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