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Today is the last day of trading for May ’13 contracts

blogadmin — Fri, 24 May 2013 13:57:22 +0000

Today is the last day of trading for May ’13 (K13) contracts. All trades done during the abbreviated next session (Sunday night to noon on Monday (CHI time, so 1 PM in NY)) will be booked as Tuesday trades. Looking … Read More

May ’13 contracts (K13)

blogadmin — Wed, 22 May 2013 14:55:21 +0000

With less than one week to the expiration of the May ’13 contracts (I believe that the last day of trading is the abbreviated session on Monday (Memorial Day)) here’s the quotes, and some observations.

Bid/ask spreads range from 0.6 … Read More

Inter City Spreads for Longer Expirations -4 Nov ’17 IC spreads

blogadmin — Mon, 13 May 2013 13:53:39 +0000

Friday I teed up ten intercity day orders for the May ’13 contracts. While I’m open to continuing that discussion, today I want to focus on the other end of the expirations -the Nov ’17 contracts.

Unlike the May ’13 … Read More

May 2013 CUS Intercity Quotes – All 1 point Bid/Ask

blogadmin — Fri, 10 May 2013 11:49:02 +0000

To illustrate the potential of inter-city spread trades, I’ve posted 1.0 point bid/ask quotes for all ten CUS vs. Regional markets for the May 2013 (K13) contract that expires on May 27th.

Inter-city spreads allow a trader to express a … Read More

May ’13 contracts – 3 weeks to go

blogadmin — Mon, 06 May 2013 12:07:17 +0000

With the May ’13 expiration in just three weeks, and a handful of recent K13 trades (LAV, MIA, NYM), I thought that it might make sense to focus on front-contract markets.

The following table shows the recent history of each … Read More

Recap post CS #’s, April Month-end report

blogadmin — Wed, 01 May 2013 20:38:08 +0000

Prices for Case Shiller futures largely tracked changes in the index numbers released Tuesday (April 30th) morning. The California markets were generally stronger, while DEN and CHI lagged on weaker index numbers. Mid-market levels for the California (and LAV, MIA) … Read More

April 22 price updates, front contract table

blogadmin — Mon, 22 Apr 2013 12:34:57 +0000

With about one week to go until the April 30th release of the February Case Shiller indices, I thought that it might make sense to update price tables and graphs. While volume has been near zero there’s been a relentless … Read More

InterCIty Spread CUS v CHI 50.0/51.0

blogadmin — Wed, 03 Apr 2013 13:24:57 +0000

To illustrate the potential use and impact of inter-city spread quotes I’ve posted a 50.0/51.0 bid/ask set of quotes for the CUS/CHIX13 inter-city spread. (Click here to jump to the CME DataSuite page showing the quote or look for links … Read More

Report recapping March CME Case Shiller futures markets

blogadmin — Mon, 01 Apr 2013 16:12:22 +0000

A 16-page report highlighting many aspects of the CME Case Shiller futures markets (e.g. volume, bid/ask spread, price changes) is available in the Reports section or by clicking here

Trading picked up (albeit to still low levels), open interest rose … Read More

Recap of price changes post March release of CS #’s

blogadmin — Wed, 27 Mar 2013 14:16:24 +0000

The Case Shiller indices for Jan 2013 were released on Tuesday March 26th. Much of the reaction in the CME prices was concentrated in the front (May 2013) contracts. (A table of before- and after- prices for the CUS contracts … Read More