Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.
All contracts are pricing in MOM gains (using mid-market values) of at least 1% (not shown), except MIA. The 196.3 CUSQ15 price is consistent with 4.9% YOY gains. Mid-market levels gains are consistent with … Read More
I get questions from time to time as to how good are the CME Case Shiller futures at forecasting eventual index levels. Let me offer two comments.
- The “forecasts” are what traders think prices might be at some point in time in the future. Therefore, as the world changes, it
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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
I posted my monthly recap of trading activity in the CME Case Shiller futures in the reports section (or you can link by clicking here).
The key observations are:
- 14 contracts traded across 6 regions, and 4 expirations.
- Open Interest (OI) rose from 64 to 71.
- YTD volume remains
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I had a question from a reader that reminded me that the schedule for rolling out of new contracts may not be intuitive to those that don’t follow the contract every day. There are 11 expirations in the CME Case Shiller housing contracts, and when one rolls off, it is … 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
Quotes on all of the Nov ’14 CME Case Shiller futures edged lower after the release of this morning’s monthly CS indices, as illustrated in the row highlighted in yellow “One Day Price Moves”. That line shows the change in mid-market values between 4 PM yesterday and earlier this morning.… Read More
As I’ve written earlier, I’m trying to get first-time readers (and the press) to focus on the CUS Nov ’16 contract as a benchmark of market sentiment for the overall home price market. A benefit of focusing on one contract is that after readers are used to following one price, … Read More
Over the last few months headlines have simultaneously touted rising AND falling home prices (or at least indices). As seen in the table below, nominal, non-seasonally adjusted (NSA) home prices have continued to grind higher (albeit at ever slower implied HPA) while seasonally-adjusted (SA) home prices index values have declined … Read More
Since there has been so little trading in the first halves of the last 3-4 months I’d thought that we might have more luck with early-in-the-month trading by suggesting that trades focus on a smaller set of contracts. As such, I’ve pulled together information on the CUS, LAX and NYM … Read More