CME Futures react to Case Shiller #’s (Nov release)

The Case Shiller index numbers released this morning were about in line with quotes on expiring CME futures.   Index values on 8 of the 11 contracts were within the bid/ask spread of the last day of trading on Monday.  However, index values were lower for three regions than Monday’s bids, and as a result, CME prices drifted lower (and slightly wider) on the day.  After a busy month (w/ 41 trades) there were no trades today.

The table below shows the prices of the expiring Nov ’16 contracts at some point on Monday afternoon (the last day of trading) and the index levels that were released this morning.    In 8 of the 11 contracts the CS index released today was within the bid/ask spread of the Nov ’16 contract.  The outliers, what I refer to as  “surprises” (in red, MIA, SDG and SFR) were all lower than the bid side of the Nov ’16 contract on Monday.  (BTW -the CHI and WDC indices for prior months were revised lower, but the numbers released for November were still within the bid/ask spread.)



Prices for longer-dated contracts (using the Nov ’17 contract as a template -see table below) were slightly lower, and bid/ask spreads widened.   The three regions that had the “surprises” (see above) saw the biggest drop in mid-market levels.


Of note, unlike past trading days when there were other traders looking to sell longer-dated California contracts, or on Monday when several May ’17 contracts traded, today was quiet with almost no other traders weighing in with better bids or offers.

With the expiration of the Nov ’16 contract open interest will drop sharply (to 38) as 27 positions expired (vs. a total open interest of 65).  That is still above last year’s post- Nov ’15 expiration levels, and the recent activity in longer-dated contracts gives me comfort that OI can grow.  (e.g. there are only 4 contracts expiring in Feb ’17 so we have 6 months to “grow the business”).

Finally, with the expiration of the Nov ’16 contract, the CME opened up trading in the Nov ’21 expiration cycle.  Closes for Nov ’21 today will be the ones for Nov ’20 contract.  That said, I will look to post calendar spreads that are the equivalent of +1% HPA/ +2.5% HPA in Nov ’20/ Nov ’21 to get things started.

As always, feel free to contact me ( if you have any questions or trading axes.