Recap of Nov activity in CME Case Shiller futures

I posted a recap of activity in the CME Case Shiller futures contracts during November in the Reports section (or you can link here).  Month-end graphs and Price Changes for November vs. October are also posted.

The highlights include:

  • 15 trades across 5 regions and 5 expirations
    • I had originally posted 13 trades, but the CME has 17.  Differences may be due to treatment of calendar spreads.  My YTD #’s (83) are in sync w/CME.
  • OI dropping from 52 to 35 as 25 Nov ’15 contracts “went off” but 7 new positions were added)
  • OI going to zero in 5 regions (although a trade today in BOS, one of those five)
  • Prices higher in 8 of 11 regions
  • Bid/ask spreads marginally wider (mostly due to May 16)
  • Introduction of Nov ’20 expiration
  • Year/year calendar spreads for G16/G17 contracts to foster discussion about HPA for 2016.
  • A table of put quotes for LAXX17 contract (bids/offers on 220, 230 and 240 strikes) in reaction to inquiries

Please take a look at the recaps and other posts in the Reports section.  Feel free to contact me ( if you any questions or trade ideas.