Jan 28-Post CS #’s

Bid/ask spreads widened across many regions and expirations after the release of the Case Shiller #’s this morning.  The attached table shows the history of the CS indices over recent Jan 28_post CSbhistory, the CME markets for the front G14 (Feb 2014) contract during late Monday, the actual CS #’s that were … Read More

Jan 9 update

As I mentioned in the month-end summary, bid/ask spreads have compressed slightly since Dec. 31.  I posted a set of tables in the Reports section (click here) that shows the changes between Dec 31 and Jan 9.   The BOS, CHI, DEN, and WDC contracts all have (on balance) higher … Read More

Futures markets: post Nov CS release (Edited 10 AM to include table)

The CME futures reacted to yesterday’s release of the September Case Shiller indices by performing what we used to call an accordion market.  One side (in this case primarily the offers) was unchanged, while the other pulled away (in this case with bids dropping). We’ll see over the next few … Read More