Archive for 'Basics' Category

Basics – New contracts upon expiration

By blogadmin - Last updated: Friday, March 20, 2015

I had a question from a reader that reminded me that the schedule for rolling out of new contracts may not be intuitive to those that don’t follow the contract every day.  There are 11 expirations in the CME Case … Read More

Basics – Restarting Intercity (IC) spreads

By blogadmin - Last updated: Tuesday, January 6, 2015

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 … Read More

Basics – Understanding CUS10 values using new weights

By blogadmin - Last updated: Wednesday, May 28, 2014

I just got the answers that I was looking for in response to a reader’s question on how to tie out the CUS 10 index valuation using the recently announced new weights.  The net impact of this corrected approach- this … Read More

Basics: OK, so you’re bearish. What to do besides selling your house?

By blogadmin - Last updated: Saturday, March 29, 2014

It seems that a growing numbers of commentators are becoming ever-louder in their bearish views.  Yet few give their readers any practical advice as to how to put this “knowledge” to work.  Are they suggesting that people sell their houses … Read More

Basics: InterCity Spreads -converted to relative % gains

By blogadmin - Last updated: Tuesday, March 11, 2014

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 … Read More

Baiscs: CUS (10-city) Calendar Spreads

By blogadmin - Last updated: Friday, March 7, 2014

I had promised in the monthly recap for February to update a table of the HCI/CUS (10-city index) calendar spreads for the November expiration series.  Here you go.

Understanding calendar spreads is critical to trading housing futures, as the spreads … Read More

Basics: Historical Volume, Open Interest 2006-2013

By blogadmin - Last updated: Saturday, November 9, 2013

In working to update the marketing book, I compiled historical open interest and volume data from the CME covering the period 2006-2013 into two tables in the Reports section (or that one can access here volume, open interest) … Read More

Updated marketing book for CME S&P Case Shiller futures

By blogadmin - Last updated: Tuesday, November 5, 2013

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.Read More

Basics: What If CUS Index composition weights change?

By blogadmin - Last updated: Sunday, November 3, 2013

The weighting for Case Shiller composite indices (e.g. CUS 10-city, referenced in the CME contracts) may be adjusted 2- 3 years after the 2010 census, per the Case Shiller index methodology.  I raise this notion to: 1) increase awareness, 2) … Read More

Trading hours for CME Case Shiller futures to change after Labor Day

By blogadmin - Last updated: Wednesday, August 28, 2013

The CME announced yesterday (Aug 27th) that they will be changing the trading hours for the Case Shiller futures starting Tuesday Sept 3rd.  Contracts will be open to trade from 8:15 AM -3 PM (Chicago hours, or 9:15 AM to … Read More