I’ve mentioned before that I think inter-city spread trading might be the key to growing volume, liquidity and interest in the CME Case Shiller futures for 2013. Here’s some quotes for the Nov 2015 contracts:
Recall that the bid side of an inter-city spread is the front contract minus the … Read More
Anyone tallying the number of bids and offers for all 121 CME Case Shiller futures (11 regions * 11 expirations) should notice that over the last few weeks there’s been more bids than offers. (Today we’re at 93 bids x 73 offers. That number of quotes is down from all … Read More
I mentioned in an earlier blog that Inter-City spread markets might be a good opportunity to express relative value views, and to promote trading. While the CME website has a pull-down menu that shows inter-city quotes (click here), they sometimes include what I describe as automatically generated “Arb markets” … Read More
I mentioned in my month-end report (click here) that the longer-dated CUS contracts were trading 1-2 points rich to fair value. That prompted a question of “what’s fair value”.
The following table show that the CUS (10-city) index is the weighted average of the ten component regional indices. … Read More
Two weeks ago, when the Case Shiller index numbers for December were released, I mentioned that the WDC index came in dramatically lower than expected by the Feb ’12 contract prices. I noted then that the WDC index had been revised. (See table to the right.) As this revision impacted … Read More
One way to trade Home Price contracts is on spread trades. This allows one to trade on the eventual price difference between two contracts. While trading spreads results in no net position (a spread trade results in a long in one contract and a short in another) that is not … Read More
“They” say that you can’t tell the players without a scorecard. I’ve had the question asked -where do I get a “scorecard”? That is, how do I follow the prices on these contracts.
While this should probably fall under the FAQs category, I’ve tended to use the Basics category for … Read More
Here’s a table of year-end bids and offers for the CUS Home Price futures.
Trades on Dec 31st helped tighten up Boston quotes.
Four contracts (BOS, CUS, NYM and SFR) now have quotes for all expirations.
The average bid/asked spread for all Nov ’11 contracts is 5.4 points. There are … Read More
Many housing economists and traders prefer to quote home price changes in terms of HPA (annualized Home Price Appreciation). For a one-year holding period this is simply the (End Price/Begin Price)-1 expressed in percentage terms.
For longer periods one must discount the End Price/Begin Price fraction by time, so a … Read More
A number of first time visitors to trading in home price futures may be curious as to why quotes reference the “Mid” rather than the “Close” price. After all if they are MBS traders they are used to seeing the “Close” on all the other contracts they follow: T-Notes, Euro$, … Read More