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 and offers slightly higher. (This is typical of the day or two after an index release as traders who retreat to the sidelines before the indices are released, wait to digest the numbers before re-entering orders.) All 121 bid/ask spreads were <= 8 points as of this writing. I would expect/hope some spread tightening over the balance of the week.
While the average spreads were unchanged there was action is some of the regional contracts. The CHI and WDC indices came in much lower than the other eight regions with month-on-month index drops of about -2.5%. Both markets saw bids and offers lower, although most of the WDC drop was due to index revisions (yet again ?!?!). I expect that CHI will post lower closes on all 11 expirations.
On the other hand the MIA and SDG indices were up (month-on-month), and both bids and offers, for both contracts, were higher at noon. The MIA contract saw the only trade of the day (MIAX12 @ 142.8). The trade is notable in that it’s the first MIA trade in the two years that I’ve been market making, and possibly the first MIA trade above the then current spot index level since the contracts were introduced in 2006. In the absence of prior trades, the MIA bid/ask spread has typically been wider than other contracts. I hope that with this trade, spreads can be narrowed.
Feel free to review the table I referenced in the first paragraph to see where opportunities are or where you might disagree with prices. i’m going to wind down today’s activities to try and get ready for pricing calls tomorrow.