Archives by Tag 'trading'
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
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
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
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 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
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
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
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 … 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
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