Post March CS #’s

The CME housing futures moved slightly higher, and bid/offered spreads widened after this morning’s Case Shiller numbers were released.   Four contracts traded (bringing the MTD total to 12).  All trades were on calendar spread orders in the CHI and SDG regions.

The table to the right shows the historical indices for each post MArchof the 11 contracts (the ten regional contracts plus a comparison of the 10-city index) and (stale) prices for the Nov ’15 contracts for both yesterday and today.

The change in mid-market CME prices is highlighted in yellow.  The two biggest CME price increases from yesterday are in green (i.e. BOS and SDG), and the two biggest price declines (SFR and WDC) are in red.  Note that the biggest changes in CME mid-market levels (both up and downward) are associated with moves by the Case Shiller indices in the same direction.

As I noted in the first sentence sentence, bid/ask spreads were wider.  A comparison between the last two lines in the table shows the bid/ask spread from yesterday versus today.   While some contracts tightened (e.g. SDG) on balance bid/ask spreads were generally wider across regions, and most expirations out to Aug ‘2016.  (Longer dated contract bid/ask spreads actually held in fairly well.)

Please feel free to contact me ( about this table (or blog) or any other aspect of home price derivatives.