CME Reaction to July release of Case Shiller #’s

Quotes on the CME home price index futures were generally lower this morning (relative to last Friday) after the monthly release of the Case Shiller indices.  The table below shows bids, offers and mid-market levels for the 11 Nov ’17 contracts.  The mid-market values for the BOS, NYM and SFR contracts were all lower by more than one point by the close.  (This despite the large upward revision to last month’s NYM index.)   The CHI and LAV contract were the only two mid-market values that were higher after the news.

The only trade today was two lots in the SFRX17 at 241.4.  Note that 1) that there was an offer to sell more through the close, and 2) that the offer (and trade price) was lower than the bid on Friday.

Activity has been quiet during July with only a total of four trades.  Bid/ask spreads are <= 2.0 on all Aug ’17 contracts.

Please feel free to contact me ( if you have any questions or trade ideas.

Thanks,  John