Oct recap of activity in CME Case Shiller futures – busiest month in the last year.

I’ve posted a recap of activity in the CME Case Shiller home price index contracts for October.  The recap is in the Reports tab or you can access here.

Highlights of recap include:

–There were 22 futures contracts traded in October, across 6 expirations, and 3 regions.  Trading, and … Read More

CME Markets post this morning’s Case Shiller #’s

Quotes on the CME Case Shiller home price index futures are generally lower by about 1/2 point per contract, after this morning’s release of the monthly Case Shiller numbers.  The table below shows prices for the 11 Nov. 2019 contracts (X19) comparing yesterday versus today.  The LAV and WDC contracts … Read More

CME Markets post today’s Case Shiller #’s

Quotes on the CME Case Shiller home price futures contracts were generally higher after this morning’s release of the Case Shiller numbers for April.  The table below highlights prices from near the close yesterday versus early this morning.  There are three key highlights;

  1. Average mid-market prices rose by 0.4 for
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Approaching May ’18 expiration w/convergence => CS (10-city) HPA expectations (6.4%)?

Every quarterly expiration of a CME Case Shiller home price index contract is an opportunity to remind readers about the cash settlement features of these contracts, and how quotes on the expiring contracts might be used to get a sense of “market-implied” HPAs.

For example, the table below shows (in … Read More

LAV -Last contract without OI

It seems incongruous that the only CME Case Shiller home price index contract that doesn’t have any OI (open interest) is LAV (Las Vegas).  After all LAV is the mecca for placing bets on many events, yet there’s been no “action” on LAV.  One might expect future LAV prices to … Read More