Observations on Bid/Ask spreads -1 Year to run

I’ve compiled an interesting set of data that I’ll use to illustrate how the CME S&P Case Shiller home price index futures have traded over the last 7+ years. It may help traders understand how to better trade the contracts, as well as quirks within the contracts. I will be blogging about over the next few weeks, to include an analysis the robustness of contract prices in forecasting, contract biases, and volatility. I’m open to ideas on what readers might want to see, and would be open to slicing and dicing the information to address any longer-term questions.

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Texas: Home Price Index Agreements

Levels for home price index agreements via HPHF for five Texas cities

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Suggested levels for OTC trades on "Second 10" Case Shiller regions

Suggested levels for OTC agreements on "Second 10" Case Shiller indices, for Feb 2020 expiration.

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