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
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 regions (CHI, LAV, LAX and SDG) where the index results … Read More
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 the ones with the greatest likelihood of a trade. After … Read More
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 weak, price moves (albeit mostly mine) since year-end, have shown … Read More
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 probably a more comprehensive database at the CME of all … Read More
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 that prices are modestly lower for BOS and LAV, but … Read More
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 Case Shiller values and this morning’s contract quotes for the … Read More
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 consensus views on the numbers released the next day. In … Read More
Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.
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 with 4.9% YOY gains. Mid-market levels gains are consistent with … Read More
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.
- The “forecasts” are what traders think prices might be at some point in time in the future. Therefore, as the world changes, it
… Read More