Archive for June 2012
Yesterday, the home price futures markets received an enormous jolt when a 10-lot trade in the RPX contract was followed with a bid for 26,490 contracts. The 188 bid in the Sept 2014 contract represents a notional amount of ~$50mm. … Read More
Case Shiller futures prices are quoted higher after this morning’s positive numbers. Bids were up 2-4 points in the most in those contracts where the indices were relatively stronger (e.g. WDC, SFR). Similarly, some NYM bids were lower on the … Read More
On Monday I teed up a discussion on one way to frame the volatility/ option premium/ discussion using the CUSX14 contract. Today I want to expand that discussion to include the other three regions with posted options, and to introduce … Read More
I encouraged the re-launch of option trading to stimulate discussions on how to price/size/ volatility on the Case Shiller indices. So far it’s been a chicken-and-egg issue of no trades leading to limited volume, leading to wide bid/ask spreads, leading … Read More
When you’ve been wrong, there’s no sense hiding as sooner rather than later the world will know. I have been working with (and have previously touted) an incorrect understanding of inter-city spread trading that I now need to reverse.
Inter-city … Read More
I mentioned in my month-end report (click here) that the longer-dated CUS contracts were trading 1-2 points rich to fair value. That prompted a question of “what’s fair value”.
The following table show that the CUS (10-city) index … Read More
There seems to have been a slight change in sentiment in the level of forward home prices over the last few days. Between the unemployment news on Friday (See Housing Wire article), a bearish call by Radar Logic … Read More
I just posted the May monthly trading recap for the Case Shiller futures to the Reports section here. You can also click here http://homepricefutures.com/blog/wp-content/uploads/2010/04/CS-Futures-May-31-Final.pdf to download a copy of the report.
My intent in preparing this report is to try … Read More
