Bid/ask spreads widened across many regions and expirations after the release of the Case Shiller #’s this morning. The attached table shows the history of the CS indices over recent history, the CME markets for the front G14 (Feb 2014) contract during late Monday, the actual CS #’s that were released this morning, CME markets later this morning (after the numbers), and changes to bids, offers, and bid/ask spreads.
I’ll spend more time on the longer expirations on a later blog, but changes to the front contract seem to best catch surprises to the CS #’s versus expectations.
In general, the DEN, LAV, SFR, and WDC markets are slightly higher, while BOS, CHI and LAX are slightly lower.
Bid/ask spreads have tightened in the LAX, MIA, NYM, SDG and WDC markets. (In general the passage of one month means that you are one month closer to the convergence at expiration, so I would expect bid/ask spreads to narrow as each month passes.)
There have been no trades as of 11 AM (NY), but different traders seem to working to bring bid/ask spreads in.