Quotes on CME Case Shiller home price index futures are higher across the board after this morning’s release of the November Case Shiller #’s.
Using the Nov ’17 contract (X17) as a proxy, mid market prices are up from 0.4 (in LAV and MIA) to 1.2 (BOS) and 1.7 (NYM). … Read More
In anticipation of the roll-out of electronic option quotes on all 11 regional CME Case Shiller home price index contracts in early February, I updated my “Introduction to CME Case Shiller Futures” piece. You can find it in the Reports section or link here.
Readers who have followed my … Read More
The CME Case Shiller home price index futures expire four times per year (Feb, May, Aug and Nov) settling on the index values released on the last Tuesday in month of expiration (so Nov. 28 this month). While longer-dated futures prices can be influenced by many things (e.g. order imbalance, … Read More
I’ve posted the monthly recap of activity in the CME Case Shiller home price futures contracts for the month of September. You can find the recap in the Reports tab or you can link here.
The recap has multiple graphs and tables of quotes across the ten regions and … 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
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
Yesterday’s Case Shiller #’s were both 1) outside bid/ask ranges on the expiring May16 contracts and 2) a reminder that there may be trading opportunities right up to the last days of trading.
The table above shows that 9 (!!!) of the Case Shiller indices were above the offered side … Read More
CME Case Shiller futures are slightly higher on the day after this morning’s release of the Case Shiller numbers for the period ending in February. There were 4 trades in May ’16 contracts this morning (DEN, LAX, and SFR (2)) bringing the MTD total to 13. (There was also the … Read More
I just posted the March recap in the Reports tab (or you can access it here).
In sum, March was a quiet month with only 2 trades. As stock prices rebounded, CME quotes moved higher (with the exception of SFR) and bid/ask spreads tightened slightly. Bid/ask spreads have contracted … Read More
Activity in the CME Case Shiller futures has been quiet after this morning’s release of the Case Shiller #’s covering the period ending in Jan. Some markets (as measured by mid-markets of the Nov 2016 contracts (X16)) were up slightly (e.g. LAV, LAX) while some markets were slightly lower (e.g. … Read More