While much of the press seemed to interpret today’s Case Shiller #’s as weaker, a comparison of the actual numbers versus the mid-market quotes for the expiring Feb 2014 (G14) contract suggests that the numbers were more bullish than expected.
Note that the Case Shiller #’s were higher than the Feb 2014 mid-market price (w/BOS, SDG and SFR being the 3 exceptions) and that for two contracts (CHI and WDC) the Case Shiller #’s were above the offered level of the day before.
The table to the right shows that CME quotes (individual quotes to follow tomorrow) 
were wider but by the end of the day bids were in aggregate unchanged (lower for BOS, higher for WDC) while offers were unchanged (BOS, DEN) to higher. There were 110 contracts included in this tally (11 regions * 10 expirations) so the net change of 134.2 points works out to about 1.2 points of bid/ask widening per contract. This is tad better than the day of most Case Shiller releases. If patterns hold, bid/ask spreads should improve for month-end levels.
A large portion spread widening seemed to occur in the G15 series. Recall that one trader had posted a number of G14_G15 calendar spreads earlier in the month. With the G14 contract rolling off those calendar spreads expired.
Some element of bid/ask widening also occurred in the X17/X18 markets. What’s going on there is the accordion phenomenon where one side of the market moves (in this case bids lower on fears of decline in housing momentum) while the offered side remains unchanged.
Of most surprise was the spread widening in the Q14 and X14 contracts. Many Q14 values link (via calendar spreads) to X14 so wider X14 markets translated 1:1 into wider Q14 markets.
Finally, as the new front contract, only the May ’14 contract (K14) saw tighter bid/ask spreads.
At the regional level, only DEN tightened (probably as a result of 3 trades) but CUS, LAX and MIA were about unchanged. The “surprises” (mentioned above) in CHI and WDC caused those bid/ask spreads to widen the most, while NYM takes the most-paranoid award with both lower bids and higher offers.
I hope to walk through (blog about) these contract prices in more detail in the next few days. I also hope to focus on some changes to inter-city values.
Finally, note that with the expiration of the G14 contract, a new Q15 contract was introduced. I only populated prices in 5 regions (BOS, CHI, CUS, LAX and NYM) to get a sense of reaction to spreads. I’m happy to have others fill in the remaining 6 regions, or wait until there’s demand for Q15 prices in those regions.
I’m happy to tout any themes that traders would like to see expressed. Please contact me at johnhdolan@homepricefutures.com to start a discussion.
I should note the “be careful what you wish for” mantra in that I posted that I’d be happy to take Bitcoin contributions from anyone who sees value in these blogs. So far, one satoshi (look it up). I’ve avoided a fee-based approach for blogs (so far). Happy to relieve you of your Mt. Gox headaches.