Having addressed the technical FAQs in a recent blog, I’d like to address the most important FAQ: Why haven’t there been more volume in the CME Case Shiller futures?
In discussions with various interested parties over the past three years … Read More
I introduced a new graph in the May review that I think will help anyone looking at prices across the front three expirations. I barely commented on the graph in the review. Now, with the benefit of more quotes since … Read More
I’ve posted a month-end recap of issues related to trading in the Case Shiller (home price index) Futures to the Reports section (or you can link here). The report has many of the usual data, graphs and tables, on … Read More
Today is the last day of trading for May ’13 (K13) contracts. All trades done during the abbreviated next session (Sunday night to noon on Monday (CHI time, so 1 PM in NY)) will be booked as Tuesday trades. Looking … Read More
With less than one week to the expiration of the May ’13 contracts (I believe that the last day of trading is the abbreviated session on Monday (Memorial Day)) here’s the quotes, and some observations.
Bid/ask spreads range from 0.6 … Read More
To illustrate the potential of inter-city spread trades, I’ve posted 1.0 point bid/ask quotes for all ten CUS vs. Regional markets for the May 2013 (K13) contract that expires on May 27th.
Inter-city spreads allow a trader to express a … Read More
With the May ’13 expiration in just three weeks, and a handful of recent K13 trades (LAV, MIA, NYM), I thought that it might make sense to focus on front-contract markets.
The following table shows the recent history of each … Read More
Prices for Case Shiller futures largely tracked changes in the index numbers released Tuesday (April 30th) morning. The California markets were generally stronger, while DEN and CHI lagged on weaker index numbers. Mid-market levels for the California (and LAV, MIA) … Read More
With about one week to go until the April 30th release of the February Case Shiller indices, I thought that it might make sense to update price tables and graphs. While volume has been near zero there’s been a relentless … Read More
A 16-page report highlighting many aspects of the CME Case Shiller futures markets (e.g. volume, bid/ask spread, price changes) is available in the Reports section or by clicking here
Trading picked up (albeit to still low levels), open interest rose … Read More