Market Color – Day before Jan Case Shiller release

I’ve posted delayed prices for the CME Case Shiller futures from earlier in the day in the Reports section (here)  to give traders a reference point of where markets where before tomorrow morning’s release of the November Case Shiller indices.

Bid/ask spreads compressed during the month for every one of the 11 regions -except for the CUS contract.  (CUS trades in X14 and X16 resulted in higher offers in those contracts, which then translated into higher offers on nearby contracts via calendar spreads).  Thus the “lack of depth” on the X14 and X16 contracts translated into “lack of depth” on other expirations.  Prices on many expirations seem to reference (via calendar spreads) the G14, X14, X15 and X16 outright prices.  Any contributions to those series will then have a multiple impact on other expirations.

CHI and MIA contracts tightened the most (albeit still at wide levels for MIA), while DEN and SDG moved the least.

Bid/ask spread in January tightened across all maturities (averaging across the 11 contracts) with the Nov ’17 contract showing the best improvement.  My sense is that those bidding and offering calendar spreads for the X17 and X18 series have entered spreads that are consistent with 2.5-5% HPA from 2015-2016.

The CHI, NYM, and LAX regions remain the tightest markets (along with CUS).  My recollection is that most of the trades this month have been in the CUS and LAX contracts.  Only LAX, NYM and the SFR regional contracts have double digit open interest.  (CUS remains the highest).  The MIA, SDG and WDC markets seem to have the widest bid/ask spreads.