Archives by Tag 'trading'

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

Lessons from CUSX16 contract

By blogadmin - Last updated: Monday, October 13, 2014

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 … Read More

Reconciling falling SA prices with higher forward levels

By blogadmin - Last updated: Wednesday, October 1, 2014

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 … Read More