Activity in the CME Case Shiller futures has been quiet after this morning’s release of the Case Shiller #’s covering the period ending in Jan. Some markets (as measured by mid-markets of the Nov 2016 contracts (X16)) were up slightly (e.g. LAV, LAX) while some markets were slightly lower (e.g. NYM, SFR). (I’d note that there were a fair number of downward revisions to the Dec. 2015 #’s in the LAX, NYM, and (of course) WDC indices, which makes month-on-month comparisons a bit trickier than normal).
Bid/ask spreads (when aggregated across all expirations) have rebounded (they often expand right after numbers are released) to slightly tighter. Much of that tightening occurred in the two front contracts. For example, bid/ask spreads in the May ’16 contract are all less than or equal to 1.2 points. I would expect further tightening once next month’s Case Shiller numbers are announced on April 26th.
As of 1 PM (EST) there have been no trades.
I have a number of option inquiries working and hope that continued low volatility in Case Shiller futures contracts attracts some option writers.
Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions. Thanks, John
