I’ve updated a table of option pricing on the CME Case Shiller futures for Feb ’18 expiration. I’ve picked Feb ’18 as the index released that month (the value the options/futures will settle on) is the Case Shiller index value for Dec ’17. Thus we can get into debates not … Read More
I’ve posted a recap of activity in the CME Case Shiller futures contracts through April 27. I realize that it wasn’t quite month-end, but as there no trades on the 28th (although I’d not that there were 7 on May 1!) the April 27 quotes are a good reference point … Read More
The CME Case Shiller Futures market reacted quietly to this morning’s release of the February numbers. The MIA and WDC X17 markets are lower (as measured by mid-market values, as of 1 PM ET) from yesterday, primarily as offered levels declined, while SDG and SFR X17 quotes are higher, primarily … Read More
The Case Shiller numbers released yesterday (Feb 28) were generally in line with CME quotes on the expiring Feb ’17 (G17) contract. CME quotes from Feb 23 bracketed the actual CS # across nine of the ten regions (with NYM CS #’s coming in just slightly above the offered side … Read More
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
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
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