Bid/ask spreads for the front contract (Feb ’16/G16) are tighter this morning. Hopefully this will prompt some discussion of (and trading in?!?) in front contracts. Note how seasonal effects are expected to kick in, resulting in some month-month NSA declines in index values.
Since Feb ’16 prices are linked to … 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
With tighter bid/ask spread, other traders weighing in with quotes, and a clear slowdown HPA growth, differences in forward price gains across the ten CUS-10 components are starting be more evident.
The bar graph below shows CME Case Shiller futures prices translated into percent gains versus today’s spot indices. The … Read More
I have a side interest in public pension plans so the news from Chicago over the last few days (that Illinois is struggling to deal with one of this country’s most underfunded (as a %) pension plans NY Times article and that Chicago debt was downgraded to junk Chicago Sun … Read More
The two trends of a) tightening bid/ask spreads and b) nearly no trading early in the month, continued to play out in the first half of March. As highlighted in the table to the right, bid/ask spreads have inched in across most regions and contract expirations. Bids (aggregated across a … Read More
In yesterday’s blog I touched on the notion that one might be able to use InterCity (IC) Spreads to express a view on the relative HPA performance of one region to another. While some regional pairs might make sense to debate (e.g. BOS v NYM, or LAX v SDG) a … Read More
With yesterday’s release of the Case Shiller index numbers for Dec. 2014, several research firms have posted their projections for home price appreciation (HPA) for 2015. What can you do with these forecasts whether you believe them or think that they are too bullish/bearish?
I’d submit that the CME Case … Read More
Case Shiller futures prices are mixed after this morning’s release of November numbers.
The California markets (LAX, SDG and SFR) are all higher, while the “winter” regions (CHI, NYM and WDC) are the softest markets.
As of noon, there have been 3 trades (DENG15, DENK15, and SFRX15).
Bid/ask spreads in … 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 continue to believe that while traders may approach outright markets with some caution that they can be more aggressive when expressing views of relative performance. That is, they may not have a precise view about how much the LAX indices might rise over the next year or two but … Read More