Archives by Tag 'trading'

Post Feb #’s -Market Color

By blogadmin - Last updated: Tuesday, February 23, 2016

The CME home price futures were relatively quiet after this morning’s release of the December Case Shiller #’s.

The first table below shows a comparison between the Feb CME markets from yesterday and today’s #’s.  Note that there were four … Read More

Basics _Bid Ask spreads for Case Shiller futures contracts

By blogadmin - Last updated: Thursday, February 18, 2016

My last blog talked about which contract expirations get most of the (limited) trading.  This one shows (see table below) where the tightest bid/ask spreads are (today).  That’s important as the markets with the narrowest bid/ask spreads tend to be … Read More

Stocks vs. Home Prices -moved back to “normal”

By blogadmin - Last updated: Tuesday, February 16, 2016

I’ve been trying to get traders to react to volatility in the stock market by getting them to challenge whether such price moves change their expectation of forward home prices.  While past blogs have suggested that the correlation has been … Read More

Basics -Distribution of Trades (by Expiration)

By blogadmin - Last updated: Sunday, February 14, 2016

In preparing to write an upcoming blog on “trading in expiring contracts” I first wanted to check to see whether my intuition that trading volume was concentrated in the front contract, was borne out by the numbers.  While there is … Read More

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
Read More

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