Jan 9 update

As I mentioned in the month-end summary, bid/ask spreads have compressed slightly since Dec. 31.  I posted a set of tables in the Reports section (click here) that shows the changes between Dec 31 and Jan 9.   The BOS, CHI, DEN, and WDC contracts all have (on balance) higher … 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