CME futures quotes inched higher during February on thin trading. (Seven contracts traded.) Bids generally increased more for the California and Miami markets, while bids were generally flat in the Northeast, and
down in Chicago. (I’m only showing the CUS prices changes here. A table with all of the price changes – and for later below, all of the graphs -is in the reports section. The table can be seen here.)
Curves tended to modestly flatten (by ~1 point over 5 years) as offers increased more in the K13-X14 (May 2013- Nov 2014) expirations than in the longer dated contracts.
I made a point of trying to make sure that every contract/expiration had a bid or offer. My sense is that the front May ’13 contract and thd November expiration series got most of the attention (and as a consequence have the relatively tightest bid/ask spreads.
With the expiration of the Feb ’13 contract, open interest dropped to 89 contracts, or about $3.1mm. There have been no trades in the Feb ’14, May ’15 and Nov ’17 contracts yet. I would expect interest in Feb ’14 to grow (the one-year forwards) but expect wider bid/ask spreads in the the other two expirations.
Bids and offer for Feb 28 represented notional values of about $10.8mm
With the expiration of the Feb ’13 contract the CME introduced the Q14 (Aug 2014) contract. Quotes on that set of contracts have tended to be between the May and Nov 2014 contracts, but closer to Nov.
I’ve attached a graph of the CUS contract as of Feb 28. Again, a set of graphs for all contracts is in the reports sectino or accessible by clicking here.
The CUS graph reflects the contract with the (usually) 
best bid/ask spreads, price appreciation of 3-4% per year, and more pronounced seasonality than one year ago.
Implied HPAs (as measured by mid- market prices) reflect recent changes. The one-year forward prices for the California markets are +~8%, while the BOS/NYM/WDC mid-markets range from +2-5%. CHI is the laggard with G14 quotes at <+2% from spot Case Shiller indices.
In later expirations both California and the Northeast markets seem to revert to more of a +3-4% range.
Bid/ask spreads (the variance around the green mid-point line) expand with time across all contracts. Bid/ask spreads are most pronounced in CHI, LAV and MIA. The tightest markets (this month) have been CUS and NYM (and the front CHI contract.
I’ve had limited success stirring interest in inter-city spread trades. There are a handful of quotes (at inside arbitrage levels) for California and Northeast markets versus the 10-city index for Nov 2015 (and others in G14 and X14). Also there are selected quotes for other inter-city relationships (e.g. BOS v NYM, and LAX v SDG) that I intend to tout at a later date. This is an area that I would encourage discussion. Please feel free to contact me (johnhdolan@homepricefutures.com) on inter-city spreads or anything else from the blog.