Updated marketing book for CME S&P Case Shiller futures

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):

  • More tables on Calendar spreads
  • Candle bars showing bi/ask spreads of all 121 contracts in “% vs. spot” format
  • Example of E-Quotes feature: graphing historical contract
  • Graph retracing CUS contracts back to near index highs (in 2006)

In addition to these features information is also posted on

  • Volume
  • Open Interest
  • Price changes Oct vs Sept
  • Bid/Ask Spreads
  • Graphs on 11 contracts

Hopefully there’s enough material here to answer many data-related questions about activity in these contracts.

Please feel free to provide feedback including suggestions for other information that you’d like to see as this version gets updated in the future.