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 spreads of <= 7 points. The average bid/ask spread is under 4 points and there are 26 contracts with <= 2 point spreads. The DEN market seems to have changed the most since last week (both better bids and tighter spreads) while the MIA quotes seemed to have shifted upward 1-2 points on news of higher prices on condo sales.
Second, last week saw the first 10 x 10 bid/ ask spread (contract size) in many months (on a 2-point NYM market). Bigger size on both sides of the market should facilitate trading and hopefully lead to confidence in deeper markets.
Third, the Case Shiller index numbers for February will be announced tomorrow (Tues. Apr. 24th at 9 AM on the East Coast). Typically bid/offer spreads widen (or quotes disappear) in the hours before an announcment as traders try to avoid surprises. Spreads tend to contract once traders have digested the CS announcement. Look for tweets at @HomePriceFuture for updates during Tuesday morning. I would expect May ’12 bid/ask spreads to tighten up by mid-Tuesday morning.
Fourth, the issue of “Last” price on option seems to have been resolved over the weekend. Note in the table (below) that the last price is within the bid/ask spread for most contracts. I would caution traders that last prices for some expiration/strike combination without quotes “may” not have been updated. A higher quality resolution table is avaialble in the Reports section click here.
Fifth, it is my intention to roll out prices for calls later in the week on some of the same contracts that I have shown put prices. Again, anyone can post prices on any strike/expiration combination for the four listed regions (CHI, CUS, LAX and NYM) but I am going to focus my efforts on the Nov ’12, ’14 and ’16 expirations. I am open to responding to any inquiries in puts or calls for other expirations, but would prefer to see “trading” concentrated in fewer strikes and expirations until liquity improves.
Finally, I have had a handful of inquires for option quotes for other regions. Trading in the other 7 Case Shiller indices is possible (and I would encourage inquiries). It’s just a tad more involved.
As always, you can contact me (firstname.lastname@example.org) if you have any questions on these or other topics.