Post April release of Case Shiller #’s

CME Case Shiller futures are slightly higher on the day after this morning’s release of the Case Shiller numbers for the period ending in February.  There were 4 trades in May ’16 contracts this morning (DEN, LAX, and SFR (2)) bringing the MTD total to 13.  (There was also the first option trade for 2016 done last week- a 10 lot in CHIQ17 -that I’ll describe in a separate blog.)

April 26 post CS

Prices (as measured by changes in the one-day move in mid-market quotes for the Nov ’16 contracts) were higher on those indices that showed stronger month-on-month changes (e.g. DEN, LAX, and SFR), while prices were flat to lower for the Northeast regions (e.g. BOS, NYM and WDC).  Once again, there were downward revisions to WDC (and NYM) which muddies price changes for the CME contracts.

I’ll confess that I had some technical difficulties April 26 changeswith data and my futures account today.  As such, bid/ask spreads have widened out, and not as many contracts have bids and offers as yesterday.

The table to the right shows aggregate changes to bids and offers by region and contract expiration.  Most of the bid/ask widening appears to have taken place in the front four contracts, and was spread across most regions.  I’ll try (and I could use some help) to tighten up markets before month-end.

Feel free to contact me if you have any questions at

Thanks,  John