I’ve been puzzled by both the lack of trading in longer-expiration contracts and the evolving level of forward prices. The longer expiration futures allow hedges to be put in place for years -more typical of the holding period of a home – yet most trading is in the front contract. … Read More
The combination of three events (the end of summer, my decision to switch benchmark to Nov ’18 expirations, and the recent sell-off in the stock market) prompted me to re-think how to show summary information to anyone potentially interested in the CME Case Shiller home price index futures. This is … 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
My last blog talked about which contract expirations get most of the (limited) trading. This one shows (see table below) where the tightest bid/ask spreads are (today). That’s important as the markets with the narrowest bid/ask spreads tend to be the ones with the greatest likelihood of a trade. After … Read More
In preparing to write an upcoming blog on “trading in expiring contracts” I first wanted to check to see whether my intuition that trading volume was concentrated in the front contract, was borne out by the numbers. While there is probably a more comprehensive database at the CME of all … Read More
Here’s my long overdue template for option quotes. I wanted to get this done for the month-end report AND to inquiries I’ve had for HCI (CUS 10-city index), LAX and NYM contracts. (I figured that I’d toss in numbers for CHI to show all four regions where one can post … Read More
With only one week to go before the (Tuesday, Nov 24th) release of the Case Shiller index results for September, I’ve taken a sharp pencil to tighten up bid/ask spreads in Nov ’15 (X15) contracts. Here’s a table of historical Case Shiller values and this morning’s contract quotes for the … Read More
Today’s Case Shiller numbers produced a number of surprises (as defined by falling outside the bid/ask range of the expiring Aug ’15 contract). Recall that since the CME futures cash-settle, in theory, market prices on the expiring contract should reflect consensus views on the numbers released the next day. In … Read More
Bid/Ask spreads on the front contracts (Aug ’15/Q15) have contracted to average just over 1 point.
All contracts are pricing in MOM gains (using mid-market values) of at least 1% (not shown), except MIA. The 196.3 CUSQ15 price is consistent with 4.9% YOY gains. Mid-market levels gains are consistent with … Read More