I posted a recap of activity in the CME Case Shiller futures contracts through Oct. 29 here (and on the Reports page). I realize that we still have two trading days in Oct., but I want to clear my desk before traveling the first 3 weeks in November. Jonathan Reiss jr@analyticalsynthesis.com (former market maker in these contracts) has volunteered to post some quotes in my absence. Feel free to contact him and/or to volunteer any trading axes by replying to my most recent post in LinkedIn group “CME Case Shiller home price futures”.
Trading picked up in Oct to 15 contracts, and (unusually) trading took place throughout the month. Trades took place in 7 regional contracts and across 4 expirations. There were 4 calendar spread trades.
Prices were lower across all regions and forward prices, measured either by mid-to-mid or calendar spreads, were lower still. There’s a chart in the report of the CUSX16 (Nov ’16) contract where prices dropped 5-8 points after over a year of relative stability.
Bid/ask spreads were modestly tighter with much of the narrowing taking place in the Q15 and G16 contracts. Bid/ask spreads remain tightest in the CUS, LAX and NYM markets. The CUSX16 contract has performed well as a relatively longer-expiration benchmark as the bid/ask spread has averaged about 1 point for the last few weeks.
While I’m away there may be a higher than typical number of gaps in contract quotes and/or wider bid/ask spreads. I intend to be back at my desk for the November CS index release.
’til then.