Recap of Nov activity posted

I’ve posted a recap of activity in the CME S&P Case Shiller home price index futures for the month of Nov to the Reports section of this website (or one can click here to access.)  The report uses an end date of Monday Dec. 2 as the last business day of November (Friday Nov 29) was in the midst of a holiday weekend.

In addition I’ve updated month-end graphs, prices, price-changes on the month, and long-term volume and open interest tables (that can all be found in the Reports section).

The “headlines” for the monthly recap include:

  • Narrowing of bid/ask spreads during the month, followed by dramatic widening post CS #’s
  • Volume of 23 contracts
  • Open interest dropping from 149 to 81 with the expiration of the Nov ’13 contract (I’ve included a table showing how this is an annual phenomenon
  • Introduction of Nov 2018 contract
  • Tables on volume, open interest, price changes, bid/ask spreads, calendar spreads
  • Graphs for each of 11 contract (both linear graphs and bar graphs)

I may take some pages of the report and focus on them in separate blogs but for now I just wanted to post the report.

If you have any questions, please feel free to contact me: