Archives by Tag 'trading'

CME Case Shiller future post today’s #’s

By blogadmin - Last updated: Tuesday, January 26, 2016

CME prices were mixed following this morning’s release of the Nov ’15 Case Shiller indices. The table below shows prices (as of earlier this morning) on the Nov ’16 contracts for all ten regions (plus the HCI/CUS 10-city index).  Note … Read More

Nov ’15: One week to go

By blogadmin - Last updated: Tuesday, November 17, 2015

With only one week to go before the (Tuesday, Nov 24th) release of the Case Shiller index results for September, I’ve taken a sharp pencil to tighten up bid/ask spreads in Nov ’15 (X15) contracts.  Here’s a table of historical … Read More

CME markets -post Aug release of CS #

By blogadmin - Last updated: Tuesday, August 25, 2015

Today’s Case Shiller numbers produced a number of surprises (as defined by falling outside the bid/ask range of the expiring Aug ’15 contract).  Recall that since the CME futures cash-settle, in theory, market prices on the expiring contract should reflect … Read More

Front Contract with < 2 weeks to expiration

By blogadmin - Last updated: Wednesday, August 12, 2015

Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.

Aug 12 Front contract

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 … Read More

Year-on-Year “Forecasts” vs. Reality: Two observations

By blogadmin - Last updated: Thursday, August 6, 2015

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.

  1. The “forecasts” are what traders think prices might be at some point in
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June recap posted

By blogadmin - Last updated: Wednesday, July 1, 2015

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 … Read More

April recap posted

By blogadmin - Last updated: Monday, May 4, 2015

I posted my monthly recap of trading activity in the CME Case Shiller futures Arpil Summaryin the reports section (or you can link by clicking here).

The key observations are:

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Basics – New contracts upon expiration

By blogadmin - Last updated: Friday, March 20, 2015

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 … Read More

Nov recap (finally) posted

By blogadmin - Last updated: Sunday, December 7, 2014

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 … Read More

CME Case Shiller Futures post #’s

By blogadmin - Last updated: Tuesday, October 28, 2014

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 … Read More