Case Shiller futures prices are mixed after this morning’s release of November numbers.
As of noon, there have been 3 trades (DENG15, DENK15, and SFRX15).
Bid/ask spreads in the Feb ’15 series are all <=2.0 points (as there is now only one month to expiration). Spreads in longer-dated contracts have also been inching in. (For example, the bid/ask spreads across the 11 Nov ’16 contracts averages 4.4 points, vs. 5.5 points on Dec. 31).
While the CUS Nov ’16 has been my “benchmark” contract, and has been quoted with <1.0 bid/ask spread all month, the CUS Nov ’17 contract bid/ask spread continues to narrow (today 1.8 points). I’ve been using the CUSX16 to feed other prices (via InterCity spreads). Look for IC spreads to start appearing in Nov ’17 later this week.
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