May recap posted

I’ve posted a recap for activity in the CME Case Shiller futures contracts for May.  You can look in the Reports section or click here.

Highlights include:

–Activity picked up in May with more activity early in the month (and no trades post CS #’s?!?).  16 contracts traded across 6 regions and 5 expirations.  YTD volume> 2015( Slide 12)

–First trade in 2018 expiration.

–Open Interest fell to 42 (as 18 May OI expired).

–Vol/OI concentrated in first two contracts, Nov expirations.

–After slow tightening, and massive widening post CS #’s, on balance quotes are slightly tighter (and higher) (Slide 4)

–Full quotes in all 11 regions from Q16 to X17.

–Implied  forward HPA continues to edge lower (Slide 18)

–Volatility (vs. S&P 500 and outright) remains VERY low (Slide 15)

–While I continue to use CUSX16 as the benchmark contract (and try  keep bid/ask spread to < 1 point) I’ve also been doing so with CUSX17.  (Slide 14)  Bid/ask wider this month after CS #’s.

–Intercity spreads concentrated in X17.  (Slide 23)

–I’ve added Vol/OI for options (only two larger trades in last 2 years)

Feel free to contact me ( if you have any questions or trading ideas.