I’ve mentioned before that I think inter-city spread trading might be the key to growing volume, liquidity and interest in the CME Case Shiller futures for 2013. Here’s some quotes for the Nov 2015 contracts:
Recall that the bid side of an inter-city spread is the front contract minus the back contract. I’ve colored the intercity bid in green (and the offers in blue) so that one can compare the intercity quotes with what I refer to as the “arbitrage quotes”. (An example of an “arbitrage quote” would be the bid between HCI (now the label for the electronic trading in the 10-city CUS contract) and the NYM contract. The 177.4 outright bid on HCI (shown here, not necessarily live) minus the 185 offer on NYM, would be -7.6 points. The “arbitrage” offered side would be 9.6. The intercity quote (-3.0/2.0) is much tighter.
The pairs shown represent either the two largest markets (NYM and LAX) against the CUS/HCI 10-city index, or intra-region (LAX/SDG and BOS/NYM) that have shown high correlations. (More next week).
Quotes can be found on the CME website http://datasuite.cmegroup.com/dataSuite.html?template=hsng&leadMonth=CUSG3&strategyType=IS&category=Housing&exchange=XCME&selectedProduct=CUS&selected_tab=real-estate Scroll down on the “Spreads” pull-down menu to move from calendar to inter-city spreads. While many inter-city spreads will be posted, the vast majority are “arbitrage” quotes that are automatically populated by the CME. According to my filters, these four quotes are the only non-arbitrage quotes posted as of 9:30 Friday morning (Feb 1.)
I’d appreciate any reaction to these quotes, or inquiry on other combinations (or expirations). Contact me at firstname.lastname@example.org if you’d care to discuss or like to see other quotes.