Archive for April 2012
The combination of seasonal factors and increasing bullish sentiment has lead to the possibility of a pronounced “turn” in Case Shiller indices over the next few months. (I use “pronounced” to describe a sharp change in direction, and am not … Read More
I started populating some quotes on call options this morning. Again, most of this work has been to test systems, make sure that call prices have some relevance to put and futures prices and to organize a template of the … Read More
Prices (on average) are little changed since the release of the Case Shiller index this morning. (see April 24 file in the Reports section or click here.) Bid/ask spreads have widened by about 1.5 points with bids slightly lower … Read More
There are a number of issues to update/prepare traders for trading this week in the CME Case-Shiller futures.
First, bid/ask spreads continue to compress across the 121 listed futures contracts (11 regions * 11 expirations). All contracts now have bid/ask … Read More
No trades today but some notable progress.
There was a 155.0/157.0 10×10 market in CUSX3 for most of the morning. 
(At 155 the notional value of the bid side was $387,500.) In addition there was a 170.2/172.2, 5×10 market in … Read More
After some (ongoing) logistical set-backs, we’ve reached the point where I can now say that option prices on CME Case Shiller futures are available for trading on Globex. There are still a number of practical issues to resolve (that I … Read More
I’ve tried to get traders on Tuesday mornings to spend some time focusing on Case Shiller futures. Earlier this morning there were 14 one-point bid/ask spread markets across the CHI, CUS, LAX and NYM contracts. (See table).
Several quotes are … Read More
Last week I highlighted the markets with the narrowest bid/ask spreads with the idea that traders might want to focus their energies in those markets as the probability of a trade seemed higher. This week, I want to start with … Read More
The 11 contracts for the CME Case Shiller futures are quoted with different bid/ask spreads. The reasons for the differences range from time to expiration, time elapsed since last trade, whether a trader has an “axe” (often measured by open … Read More
It was a good month for CME Case Shiller futures. Trading volume and frequency expanded (both in outright and calendar trades). YTD volume for 2012 is 122 (versus 48 in 2011), or about $4.5mm (based on a 150 contract price). … Read More
