Archive for the ‘Basics’ Category.
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
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
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
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
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
Having addressed the technical FAQs in a recent blog, I’d like to address the most important FAQ: Why haven’t there been more volume in the CME Case Shiller futures?
In discussions with various interested parties over the past three years … Read More
One of my conclusions from how the markets reacted over the last week is that I need to spend more time marketing, and less energy market-making (in some of the contracts with less interest). It is important that more people … Read More
If inter-city spread trades are going to be a focus for 2013 then it might help to explain what they mean. That was the “constructive criticism” from one reader. Point noted.
Let me use a rivalry that New York traders … Read More
I’ve mentioned before that I think inter-city spread trading might be the key to growing volume, liquidity and interest in the CME Case Shiller futures for 2013. Here’s some quotes for the Nov 2015 contracts:
Recall that the bid side … Read More
Anyone tallying the number of bids and offers for all 121 CME Case Shiller futures (11 regions * 11 expirations) should notice that over the last few weeks there’s been more bids than offers. (Today we’re at 93 bids x … Read More