2014_11_29 CME CS recap

CME S&P Case Shiller Futures
Nov 28, 2014 Review
John H Dolan
www.homepricefutures.com
[email protected]
Overview
Objective
• The purpose of this monthly report is to compile information from a
variety of sources into one place, at a point in time, to facilitate the
understanding, analysis, awareness, and hopefully trading of the CME
Case Shiller Home Price futures (and options) and other housing
derivative products. Feel free to contact me if you have an ideas for an
outright trade, calendar spread, option or inter-city theme.
Market Color/Discussion
• Resources: www.homepricefutures.com
• Market Updates: Twitter @HomePrice Future, look for #CaseShiller for
market color
• Group Discussions: LinkedIn group: “CME Home Price Futures”
• Prices: In Jan, the CME put public (free) prices for the CUS contract on
their site (that put housing contract info on parity with other contracts):
http://www.cmegroup.com/trading/real-estate/residential/SandPcase-shiller-home-price-index.html
• Note: many of the bid/ask quotes that are used here are my record of
end-of-trading day prices (or this month another time), and thus will
differ from CME closes and quotes, which are tallied an hour earlier.
• I may report (to include delayed prices) on this market in blogs, tweets
and LinkedIn discussions, from time to time.
www.homepricefutures.com
Trading observations
•
•
•
Trading/Quotes:
– Ten contracts traded (a/o Nov 28) between Nov 6-25th, across 4
regions, and 5 expirations
– OI dropped to 54 as 35 options and 36 Nov ‘14 futures expired.
BOS OI= zero.
– Nov ’19 contract launched with quotes in CUS, NYM
– Bid/Ask spreads were generally steady, widening in K15, tightening
in X15. DEN, MIA spreads tightened while CHI, LAX and NYM
widened.
– The CUS Nov ‘16 contract remains a good benchmark with bid/ask
spread <2 points most of the month. (see graph)
– Forward prices (or implied HPA) flattened slightly dramatically
both in mid/mid and calendar spreads.
Calendar Spreads:
– Calendar spread data broken out into two pages to highlight curve
flattening across all regions.
Inter-city spreads:
– I’m not aware of any IC quotes or spread trades this month. I can’t
post IC quotes to InterActive Brokers. Anyone know of another
platform for housing futures?
www.homepricefutures.com
Price Changes/ Nov 28 v Oct 28
Bid ∆ Ask ∆
•
•
•
Prices generally unchanged across regions
Bid/Ask spread tightening in X15, G16
All longer contract prices (>X16) are a
function of calendar spread orders.
2
HCIY
HCIG15
HCIK15
HCIQ15
HCIX15
HCIG16
HCIK16
HCIX16
HCIK17
HCIX17
HCIX18
HCIX19
Bid
Ask
173.20
185.0 187.8
181.4 186.8
188.6 194.4
195.2 197.4
190.0 195.8
187.2 194.8
203.4 204.4
194.6 202.4
209.0 214.2
213.4 223.4
216.4 231.4
Bid
∆
Ask
∆
3
BOSY
0.8 0.2
-1.8 -0.6
-2.0 0.0
0.0 0.6
-1.2 0.0
-1.0 0.2
0.8 0.2
0.0 0.2
2.4 1.8
1.8 0.8
www.homepricefutures.com
BOSG15
BOSK15
BOSQ15
BOSX15
BOSG16
BOSK16
BOSX16
BOSK17
BOSX17
BOSX18
BOSX19
Bid
Ask
176.59
171.0 176.0
167.0 175.0
174.6 181.2
180.6 183.6
174.6 182.6
153.2
184.8 190.8
CUS
BOS
CHI
DEN
LAV
LAX
MIA
NYM
SDG
SFR
WDC
Bid Ask
∆
∆
-0.2
-3.8
-13.4
6.0
4.8
-1.4
9.8
-17.4
-1.0
7.8
-13.0
-21.8
4
CHIY
∆
3.4
-3.6 G15
-4.4
0.6 K15
-4.6 -8.8 Q15
-6.4 12.4 X15
-3.6
8.4 G16
11.8 -13.2 K16
-9.2 19.0 X16
-7.8 -9.6 K17
-1.6
0.6 X17
12.0 -4.2 X18
-8.8 -4.2 X19
-19.2 -2.6
Bid
Ask
131.32
126.0 131.0
120.6 129.6
127.0 135.8
134.0 139.0
128.2 137.2
0.4 0.6 CHIG15
-1.6 1.0 CHIK15
-3.0 -2.0 CHIQ15
0.6 -1.8 CHIX15
-2.0 -1.0 CHIG16
CHIK16
1.8 -1.2 CHIX16 137.2 146.0
CHIK17
CHIX17 140.0 154.2
CHIX18
CHIX19
Change
-7.0
13.6
9.0
-12.4
-2.0
2.6
-5.0
0.2
3.6
0.0
2.6
Bid Ask
∆
∆
0.2
-3.8
-4.2
-1.2
-1.0
0.0
-0.6
-0.6
-1.4
-1.6
-3.4 -0.4
Price Changes/ Nov 28 v. Oct 28
5
DENY
DENG15
DENK15
DENQ15
DENX15
DENG16
DENK16
DENX16
DENK17
DENX17
DENX18
DENX19
9
NYMY
Bid
Ask
156.50
153.0 156.0
150.6 155.0
158.0 163.4
161.0 165.4
156.8 164.0
154.8
164.6 173.6
Bid
Ask
178.14
174.2 177.6
170.8 176.6
177.2 184.0
183.6 187.0
178.6 185.8
177.8 185.0
188.2 194.0
Bid
∆
Ask
∆
6
LAVY
2.2
0.6
1.4
0.8
0.4
-0.2
-2.6
-0.6
-0.6
-1.0
0.6 -1.4
Bid
∆
LAVG15
LAVK15
LAVQ15
LAVX15
LAVG16
LAVK16
LAVX16
LAVK17
LAVX17
LAVX18
LAVX19
Ask
∆
10
SDGY
Bid
Ask
Bid Ask
∆
∆
7
LAXY
137.24
136.0 140.0
135.8 141.4
139.4 145.0
142.4 146.0
139.4 147.0
Bid
Ask
224.90
221.6 225.4
217.6 224.4
226.6 231.0
231.8 233.6
226.8 232.6
232.0
236.6 240.0
0.2 -0.6 LAXG15
1.4 1.0 LAXK15
1.4 0.0 LAXQ15
1.4 -1.0 LAXX15
-1.0 -3.0 LAXG16
LAXK16
145.6 154.0 1.4 0.0 LAXX16
LAXK17
148.4
LAXX17 239.6 251.0
LAXX18
LAXX19
Bid
Ask
203.31
198.4 202.6
195.8 204.2
203.0 210.8
208.6 213.0
203.6 211.8
Bid Ask
∆
∆
11
SFRY
Bid
Ask
194.21
191.6 195.6
187.4 194.6
195.6 201.0
201.0 205.0
195.6 203.6
(to be posted on website)
Bid Ask
∆
∆
MIAY
0.0
-1.6
-0.6
0.8
0.0
0.0
0.4
-0.4
0.4
0.6
2.0
1.6
1.6
1.4
1.2
MIAG15
MIAK15
MIAQ15
MIAX15
MIAG16
MIAK16
MIAX16
MIAK17
3.0 MIAX17
MIAX18
MIAX19
Bid Ask
∆
∆
NYMG15
0.2 -0.6 SDGG15
0.0 -0.2 SFRG15
2.6 2.8
NYMK15
-1.4 0.0 SDGK15
-1.6 0.8 SFRK15
0.4 2.8
NYMQ15
-2.4 -0.6 SDGQ15
-2.4 -1.2 SFRQ15
0.2 1.2
NYMX15
-1.4 -0.2 SDGX15
1.2 -0.4 SFRX15
3.0 1.2
NYMG16
-2.0 -1.4 SDGG16
-0.8 -2.2 SFRG16
0.2 1.8
NYMK16
SDGK16
SFRK16
NYMX16
-4.0 -0.4 SDGX16 213.6 222.6 2.6 1.6 SFRX16 206.0 214.0 1.4 2.2
NYMK17
SDGK17
SFRK17
NYMX17 193.6 204.0 -2.6 -1.8 SDGX17
SFRX17
NYMX18 196.4 212.2 -3.8 -2.8 SDGX18
SFRX18
NYMX19
SDGX19
SFRX19
*- These prices are my best effort to collect end-of-day data and are not actual closing CME bids and offers.
www.homepricefutures.com
8
12
Bid
Bid
∆
Ask
∆
189.40
192.0 0.4 -1.8
192.2 -1.0 -0.6
196.8 1.4 -1.2
199.0 3.4 -1.0
202.0 1.6 -3.0
208.8
202.0 206.4 4.0 -1.6
188.6
185.6
192.0
197.0
195.6
Bid
W DCY
WDCG15
WDCK15
WDCQ15
WDCX15
WDCG16
WDCK16
WDCX16
WDCK17
WDCX17
WDCX18
WDCX19
Ask
204.0
200.2
208.0
213.6
208.0
Ask
209.65
208.4
207.4
215.2
218.4
216.6
Bid
∆
Ask
∆
-0.8
-3.2
-4.0
-0.8
-3.4
-1.4
-1.8
-2.2
-1.6
-1.4
218.2 227.6 -0.8 -0.4
Front Contract vs. Spot
•
CME price gains post CS#’s that were outside the Nov ‘14
quotes at expiration (positive surprises).
s/b Sept ‘15
www.homepricefutures.com
Front Contract vs. Spot
•
•
•
Feb ‘15 (G15) contract prices consistent with modest declines
in all contracts as seasonal factors begin to dominate
otherwise low HPA market
LAX, CUS tightest markets
YOY HPA still positive across all regions (see slides 11-13).
www.homepricefutures.com
CUSX16- Benchmark for overall mkt
•
•
Nov ‘16 (X16) contract price stabilized while stocks soared.
Net, CUSX16 is off ~3.relative stability.
Consistently tight bid/ask, some trades, longer expiration =
good sentiment benchmark.
www.homepricefutures.com
CUSX16 vs. S&P 500
•
•
•
While both the CUS and S&P futures sold off through mid-Oct
(Ebola scares impacting both?) since then the S&P has rallied
~200 points, while CUSX16 continued to fall.
Low, or negative correlation seems to be at odds with wealth
effect. NYM, SFR (highest valued real estate regions) had some
of worst performance Oct 1- Nov 28.
Dec 5–Strong employment #’s had little impact on CME futures
www.homepricefutures.com
Bid/Ask Spreads
•
•
•
•
•
Best two markets in green/ widest two in red
Bid/ask spreads grinding tighter. Improvement most notable in Q15, G16
CUS, LAX and NYM remain tightest markets
Limited support for most May 16 /17 and Nov 17/ 18 contracts.
While I’d like to roll benchmark CUS focus out to X17 (look for X16/x17
spread), my sense is that until OI builds and there is outright hedging
interest in longer contracts, regional trading will be focused in <= X16
BID-Ask $
28-Nov
Contract
Feb-15
May-15
Aug-15
Nov-15
Feb-16
May-16
Nov-16
May-17
Nov-17
Nov-18
Nov-19
G15
K15
Q15
X15
G16
K16
X16
K17
X17
X18
X19
BOS
CHI
5.0
5.0
2.8
3.0
8.0
9.0
5.4
6.6
8.8
5.8
3.0
5.0
8.0
9.0
#### #####
6.0
8.8
CUS DEN LAV
4.0
3.8
3.4
3.4
4.2
4.0
4.4
3.9
4.4
5.6
6.8
6.6
5.8
8.4
7.2
7.2
6.8
5.4
5.6
4.4
4.8
6.8
7.8
5.4
7.2
6.2
2.2
4.4
3.6
1.8
2.0
3.4
4.4
4.0
4.8
3.5
5.8
7.2
7.6
5.8
6.4
7.2
8.2
8.0
8.6
7.4
7.6
#### ##### ##### ####
1.0
9.0
8.4
Oct Sept
29 '14 '14
LAX MIA NYM SDG SFR WDC AVG
3.4
4.4
7.2
5.8
#### #### ####
9.0
8.0
9.4
G15
Aug
'14
Dec
'13
4.5
4.8
4.6
9.7
K15
5.4
5.7
5.4
11.9
Q15
5.3
6.6
6.4
X15
4.5
5.0
5.0
G16
7.6
9.4
9.0
7.0
7.0
8.2
K16
6.7
X16
9.0
15.3
10.9
#### #####
7.8
#### ##### ##### #### #### #### #### ####
K17
####
5.2
#### #####
X17
16.9
#### ##### 10.0 #### ##### ##### #### 15.8 #### #### ####
X18
26.3
#### ##### 10.0 #### ##### ##### #### #### #### #### ####
X19
14.2
www.homepricefutures.com
11.4
#### 10.4 #### #### ####
CUS (10-city index) Graph – Nov 28
•
The graphs of CUS historical index and CME quotes show:
– Futures curve for Nov 28 remains below quotes as of year-end ‘13
– Futures mid-market prices consistent w/ another ~20% increase in
CUS 10-city index by Nov 2018
– Historical graphs are interpolated and thus may not reflect
seasonality from a full set of contracts.
www.homepricefutures.com
Graphs: California
•
•
•
I’ve removed mid-line from
graphs G16, K16, K17, X17, X18
as prices missing for many
regions.
Implied forward HPA dropping
for most regions.
LAX has highest OI/best
bid/ask of regional contracts.
SDG CS Index/ CME Futues
Price
26000
25000
24000
23000
22000
21000
20000
19000
18000
17000
Bids
Mid
Offers
Yr-End
CS
% v Spot
30%
24%
18%
12%
6%
0%
-6%
-12%
www.homepricefutures.com
SFR CS Index/ CME Futures
Price
26000
Bids
CS
Offers
Mid
24000
22000
20000
18000
16000
www.homepricefutures.com
www.homepricefutures.com
LAX CS Index/CME Futures
% v Spot
42%
36%
30%
24%
18%
12%
6%
0%
-6%
-12%
Price
28000
Bids
CS
Offers
Mid
% v Spot
24%
26000
16%
24000
8%
22000
0%
20000
-8%
18000
-16%
www.homepricefutures.com
Graphs: Northeast Regions
•
•
Northeast contracts have seen
the smallest appreciation
across 10 CUS regions over
last 2 years.
Quotes in longer expirations
for NYM (only regional
contract).
BOS CS Index/CME Futures
Price
Bids
CS
Offers
Mid
22000
% v Spot
32%
24%
16%
8%
0%
-8%
-16%
20000
18000
16000
14000
www.homepricefutures.co
NYM CS Index/CME Futures
WDC CS Index /CME Futures
Price
Bids
Mid
Offers
CS
27000
% v Spot
32%
24%
16%
8%
0%
-8%
-16%
25000
23000
21000
19000
17000
www.homepricefutures.com
www.homepricefutures.com
Price
Bids
CS
Offers
Mid
22500
21500
20500
19500
18500
17500
16500
15500
% v Spot
30%
25%
20%
15%
10%
5%
0%
-5%
-10%
www.homepricefutures.com
Graphs: Central US
•
Tight bid/ask in CHI. Thin interest in other regions.
CHI CS Index / CME Futures
Price
18000
17000
16000
15000
14000
13000
12000
11000
10000
Bids
CS
Offers
Mid
MIA CS Index/CME Futures
% v Spot
42%
36%
30%
24%
18%
12%
6%
0%
-6%
-12%
-18%
Price
Price
20000
19000
18000
17000
16000
15000
14000
13000
12000
www.homepricefutures.com
www.homepricefutures.com
% v Spot
40%
30%
22000
20%
20000
10%
18000
0%
16000
-10%
www.homepricefutures.com
DEN CS Index/ CME Futures
Offers
Mid
Offers
Mid
24000
www.homepricefutures.com
Bids
CS
Bids
CS
LAV CS Index/ CME Futures
% v Spot
Price
30%
24%
18%
12%
6%
0%
-6%
-12%
-18%
18000
17000
16000
15000
14000
13000
12000
11000
10000
Bids
CS
Offers
mid
% v Spot
36%
26%
16%
6%
-4%
-14%
-24%
www.homepricefutures.com
Volume
•
•
•
•
•
Ten contracts traded between Nov 5-28
Trades spread across LAV, LAX, MIA and NYM regions
One Calendar spread trade
No Inter-City spread trades
YTD volume at risk of falling to lowest since 2010
Volume -CME S&P Case Shiller: 2010-2014
Contracts Traded (Future & Options)
Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec
2010
3
6
6
7
13
33
36
40
55
64
75
88
2011
22
34
48
93
101
118
138
148
157
166
168
195
YTD
2012
22
68
128
151
234
273
283
308
323
343
345
363
2013
8
15
41
52
69
73
91
103
132
200
223
230
By Month
2014 2010 2011 2012 2013 2014
15
3
22
16
8
15
36
3
12
46
7
21
46
0
14
60
26
10
60
1
45
23
11
14
112
6
8
83
17
52
114 20
17
39
4
2
116
3
20
10
18
2
135
4
10
25
12
19
136 15
9
15
29
1
151
9
9
20
68
15
161 11
2
2
23
10
13
27
18
7
http://www.cmegroup.com/wrappedpages/web_monthly_report/W e
www.homepricefutures.com
www.homepricefutures.com
Open Interest (OI):
•
•
•
•
•
Futures OI fell as 36 Nov ‘14 contracts
expired (a/o Oct 28)
Only 2 OI post X16 contracts (most quotes
are a function of calendar spreads
BOS no OI, MIA, WDC 1, DEN, SDG 2
Yellow region shows impact of Nov
expirations (typically largest OI).
Trading likely to focus on <= X16 until OI
picks up.
Futures Open Interest: 2010-2014
Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec
2010 2011
123 99
108 104
108 104
109 137
97 144
117 143
116 155
115 142
101 142
105 144
113 79
84 96
2012
104
75
115
124
128
143
148
136
140
139
86
103
Futures Open Interest -a/o 28-Nov
Contract BOS CHI DEN HCI LAV LAX MIA NYM SDG SFR W DC Total
1
1
Feb 15
2
1
1
1
2
May 15
5
1
Aug 15
1
2
1
3
2
5
1
3
1
3
1
22
Nov 15
1
Feb 16
1
1
May 16
1
5
7
1
4
1
2
Nov 16
20
0
May 17
1
1
Nov 17
2
Nov 18
0
Nov 19
0
SUM
0
7
2
11
3
10
1
9
2
8
1
54
www.homepricefutures.com
2013
109
89
102
109
85
85
96
83
105
149
81
85
2014
89
86
95
107
88
88
89
77
78
85
54
Year-end (2014) Markets
•
•
•
•
•
G15 markets consistent with expectations of YOY gains for 2014
ranging from 1.6% (WDC) to 7.6% (LAV).
Last year’s strongest markets (LAV, MIA, SFR) still leaders for 2014.
Northeast contracts (BOS, NYM and WDC) pulling down CUS index.
Good illustration for InterCity spread discussions.
Graphs available upon request for other expirations
Feb '15 CME Quotes/ % of Dec '13 index
bid/ask/mid- a/o Nov 28, 2014
110%
108%
106%
104%
102%
100%
BOS
CHI
HCI DEN LAV
LAX MIA NYM SDG SFR WDC
www.homepricefutures.com
A ctual:2013
To Mid Feb '15*
13.6%
2.9%
9.6% 11.3%
9.0% 25.5% 20.3% 16.5%
6.3% 18.0% 22.6%
8.1%
2.6%
5.6%
2.3%
1.0%
3.5%
7.4%
4.0%
7.2%
3.4%
7.2%
* Feb '15 contract ref erences Dec '14 index
Slow dow n in HPA gr ow th: 2014 vs . 2013
21.2% 26.6% 31.2% 62.4% 28.9% 19.9% 43.3% 36.3% 19.0% 31.9% 12.9%
www.homepricefutures.com
Nov 2015-2019 Contracts
•
•
•
Height of bars reflects bid/ask spread.
Many bars missing for X17, X18 contracts due to absence of 2-sided quotes
Forward implied HPA 2.5-4.5%, varying by region.
CME Case Shiller futures as % of CS Spot index
Nov'15,'16,'17,'18, '19 contracts showing bid/ask/mid
a/o Nov 28, 2014
125%
120%
115%
110%
105%
100%
BOS
NYM
WDC
CHI
DEN
HCI
LAX
SDG
SFR
LAV
MIA
www.homepricefutures.com
BOS
NYM
WDC
CHI
DEN
Spot/ N14* 3.12%
4.02%
3.03%
3.94%
4.28%
Nov '15/'16 3.13%
3.13%
3.19%
3.74%
3.62%
Nov '16/'17 #VALUE! 4.03%
#VALUE! 3.88%
#VALUE!
Nov '17/'18 #VALUE! 2.77%
#VALUE! #VALUE! #VALUE!
Nov '18/'19 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
*- bar graphs only ref lect 2-sided markets
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HCI
4.04%
3.87%
3.78%
3.21%
2.52%
LAX
3.47%
2.41%
2.94%
#VALUE!
#VALUE!
SDG
3.68%
3.46%
#####
#####
#####
SFR
4.53%
3.45%
#####
#####
#####
LAV
MIA
5.07% 4.54%
3.88% 3.13%
##### ######
##### ######
##### ######
Calendar Spread Markets: YOY/HPA
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•
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YOY mid-market levels (e.g. Nov ‘14 vs. Nov ‘15) converted into %
changes.
% change/year “may” be consistent with implied HPA
Implied HPA declined between Sept and Oct for every year 2014 to 2017.
Same analysis for 10 regional contracts (not shown)
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Calendar Spread Markets: YOY/HPA
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•
•
•
•
Calendar spread quotes (orange/green) converted into % YOY change (right),
which tend to bracket mid/mid YOY HPA.
(Calendar Spreads from Tues Dec. 2 –technical issues retrieving spreads.)
Negative spreads show front contract vs. back, so higher forward prices
Calendar spreads continue to flatten from Sept to Nov
Same analysis available for 10 regional contracts (not shown)
Outright Markets
Calendar Spreads
G16
Bid
HCI
HCIG15
HCIX15
HCIG16
HCIX16
HCIX17
HCIX18
185.0
195.2
190.0
203.4
209.0
213.4
Ask Mid Bid
188.68
187.8 186.4 -8.0
197.4 196.3
195.8 192.9
204.4 203.9
214.2 211.6
223.4 218.4
X16
Ask
X17
Bid
X18
Bid
Ask
Ask
Bid
Ask
-8.2
-6.4 -17.6
-11.6 -28.2
-16.0
-9.8
-5.0 -19.0
-10.2
-9.0
-4.4
-7.4
Annualiz ed % Change
4.3% 3.5% 4.0%
4.2% 3.9% 3.3% 4.4% 3.8% 2.9% 4.6% 3.6% 2.6%
4.8% 3.8% 2.5% 4.6% 3.5% 2.2%
4.8% 3.2% 2.1%
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One-year forward HPA using G15/G16
Outright Markets/ spot
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•
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•
Outright quotes and
bids & offers on
calendar spreads may
be useful for debate of
market-implied oneyear HPA.
Annual changes
minimizes seasonality
issues.
Price differences
converted into %
differences ~ implied
HPA.
LAX weakest/MIA
strongest one-year
forward markets.
All HPA slowing vs. last
12 months
As k
Mi d
188.68
185.0 187.8 186.4
Bid
G16
Mid
-8.0
-6.5
-5.0 4.3% 3.5% 2.7%
4.8%
HCIG16 190.0 195.8 192.9
BOS
176.59
BOSG15 171.0 176.0 173.5
-6.6
-5.1
-3.6 3.8% 2.9% 2.1%
4.5%
BOSG16 174.6 182.6 178.6
CHI
131.32
CHIG15 126.0 131.0 128.5
-6.2
-4.2
-2.2 4.8% 3.3% 1.7%
2.6%
CHIG16 128.2 137.2 132.7
DEN
156.50
DENG15 153.0 156.0 154.5
-8.0
-5.9
-3.8 5.2% 3.8% 2.5%
6.2%
DENG16 156.8 164.0 160.4
LAV
137.24
LAVG15 136.0 140.0 138.0
-7.0
-5.2
-3.4 5.1% 3.8% 2.5%
9.1%
LAVG16
LAX
LAXG15
5.7%
Bi d
HCI
HCIG15
139.4 147.0 143.2
224.90
221.6 225.4 223.5
Ask
Bid
G16
Mid
Ask
-8.2
-6.6
-4.2 3.7% 3.0% 1.9%
LAXG16 227.4 232.8 230.1
MIA
189.40
MIAG15 188.6 192.0 190.3 -10.0
-8.5
-5.8 5.3% 4.5% 3.0% 10.3%
MIAG16 195.6 202.0 198.8
NYM
178.14
NYMG15 174.2 177.6 175.9
-8.2
-6.3
-3.6 4.7% 3.6% 2.0%
2.8%
NYMG16 178.6 185.8 182.2
SDG
203.31
SDGG15 198.4 202.6 200.5
-9.2
-7.2
-5.2 4.6% 3.6% 2.6%
5.1%
SDGG16 203.6 211.8 207.7
SFR
194.21
SFRG15 191.6 195.6 193.6
-9.0
-6.0
-4.0 4.6% 3.1% 2.1%
7.9%
SFRG16 195.6 203.6 199.6
WDC
209.65
W DCG15 204.0 208.4 206.2
-8.2
-6.1
-4.0 4.0% 3.0% 1.9%
2.1%
W DCG16 208.0 216.6 212.3
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Calendar
Spreads:$
Calendar
Last
Spreads:
12
%
Implied HPA
Inter-City Spreads
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•
•
I’m not aware of any Inter-City quotes being posted at month-end.
The broker that I used to use to post IC spreads has switched clearing
firms and the new firm won’t take IC orders. Anyone know of any trading
platforms (beyond InterActive Brokers)?
Would love to orchestrate IC spreads in G15, X16 in any region vs. CUS.
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Disclosures
Risk Factors/Disclosure
•
•
•
•
•
•
•
•
This report was prepared by an independent market maker of the CME Case
Shiller futures contracts. The views expressed are his own and should not be
construed to represent the views of the CME, S&P , CoreLogic, or any other entity.
The author makes no representations as to the accuracy or completeness of any
information contained in this report.
The information gathered was at a point in time. The bids/offers described here
are dated and may not exist in the current market.
The quotes shown are for a minimum of one lot. There is no guarantee as to the
depth of the market, not is there any guarantee that an on-going bid/ask spread
will be made in every market.
The observations made herein is for informational purposes and should not be
considered investment advice nor a recommendation to trade futures. Futures
trading may be risky and one should consult a futures broker before trading.
The indices that these contracts reference may be subject to revision. One should
not trade these futures without a through understanding of factors that might
impact the indices.
The author will not be liable for any errors or omissions in this information, nor
will the author be liable for any losses, injuries, or damages
As market-maker the author may have positions, bids or offers in any of the
futures discussed.
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