Archive for May 2012
Robert Shiller commented on CNBC yesterday morning that there are futures for the Case Shiller index (thank you, Bob) and that the futures imply a 2-3% rise in prices over 2013-2016.
Here’s a table showing what he meant. (There are … Read More
The Case Shiller numbers released this morning showed more dispersion than “normal” relative to maturing futures contracts.
In prior cycles for maturing contracts the actual CS numbers have been within the bid/ask spread of the maturing contract 8, 9 and … Read More
The run-up to the the May ’12 contract expiration has seen increased trading in selected front-month contracts. Bid/Ask spreads have narrowed to less than one point on average (with May CUS pretty consistently quoted at the minimum 0.2 increment) and … Read More
Many home price traders think in terms of implied HPAs (Home Price Appreciation). HPA -as I define it here -is the percentage price difference between one contract and the expiration one year forward. So if the CUS Nov 2012 (X12) … Read More
I’m still trying to use the CUS May ’12 140 calls as a way to both launch the first option trade in many years, and also to trade the CUS May’ 12 on “inside” prices. The CUSK12 contracts are quoted … Read More
One way to clearly see the upcoming (seasonal?!?) turn in the Case Shiller index is in the calendar spread markets.
Each of the 11 calendar spreads for May/Aug 2012 (the K12/Q12 spread) shows spread orders where the front side (May) … Read More
The headline gives away my punch line but I have an idea to address two trading challenges:
