After multiple inquiries, I thought that I’d pull together my responses of FAQs related to “how do I trade CME housing futures” into one blog (that I will update over time). If anyone has ideas that would improve this list, please feel free to contact me (email@example.com).
Understanding Reference Obligations: … Read More
With the August 2016 contract expiring next week (trading stops 3 PM New York on Monday, valuation as of Tues Case Shiller #’s 9:15) it may be useful to recap the (quarterly) expiration process.
The table below has the Case Shiller index history for 3 months (June, July, and August … Read More
I had a question from a reader that reminded me that the schedule for rolling out of new contracts may not be intuitive to those that don’t follow the contract every day. There are 11 expirations in the CME Case Shiller housing contracts, and when one rolls off, it is … Read More
Intercity spreads (IC) are a way to express a view on the relative price moves between two regions for the same expiration. They can be handy trading tools if one has conviction on the future performance of one region versus another, but where the trader doesn’t want to take as … Read More
I just got the answers that I was looking for in response to a reader’s question on how to tie out the CUS 10 index valuation using the recently announced new weights. The net impact of this corrected approach- this month- was a lower CUS index than a simple weighted … Read More
It seems that a growing numbers of commentators are becoming ever-louder in their bearish views. Yet few give their readers any practical advice as to how to put this “knowledge” to work. Are they suggesting that people sell their houses and rent? I’m not suggesting that the pundits are wrong … Read More
In working to update the marketing book, I compiled historical open interest and volume data from the CME covering the period 2006-2013 into two tables in the Reports section (or that one can access here volume, open interest) and shown here.
The volume table shows that 10 times … Read More
I have taken some of the graphs from month-end recaps and used them to update my marketing book for the CME S&P Case Shiller home price index futures. The presentation is in the Reports section or can be accessed here.
Key new features of the report (vs. prior versions):
… Read More
The weighting for Case Shiller composite indices (e.g. CUS 10-city, referenced in the CME contracts) may be adjusted 2- 3 years after the 2010 census, per the Case Shiller index methodology. I raise this notion to: 1) increase awareness, 2) minimize concern, and 3) invite those who better understand index … Read More
The CME announced yesterday (Aug 27th) that they will be changing the trading hours for the Case Shiller futures starting Tuesday Sept 3rd. Contracts will be open to trade from 8:15 AM -3 PM (Chicago hours, or 9:15 AM to 4 PM for those of us in the New York … Read More