I have not received many inquiries on the MIA (Miami) set of Case Shiller futures contracts, and there is zero open interest, so I thought I’d give the MIA index and contracts one day in the spotlight to prompt some possible comments or trading ideas.
Without trades, or even many … Read More
Laura Kusisto challenged home price bears in a thoughtful WSJ piece a few days ago called Housing Market Positioned for a Gentler Slowdown Than in 2007.
Let me offer my two cents (and agree, for the moment) by showing how different Case Shiller home price futures look today versus … Read More
While Thursday’s blog focused on the more recent markdown in CME home price futures as the stock market fell, with the Mortgage Bankers Association meeting starting this weekend in DC (my new home), I thought that I’d give attendees one comprehensive table, covering a longer timeframe, to chew on.
The … Read More
Quotes on the CME Case Shiller home price index futures have been moving lower since month-end, and most notably somewhat in sync with the selloff in the stock market over the last two days. The price moves for the first two weeks of October have been larger than any monthly … Read More
I’ve posted a recap of (the very limited) activity in the CME Case Shiller home price index futures for September. You can find the recap in the Reports section, or access here.
(I’ve also updated life-to-date volume and open interest tables. Both are in the Reports section.)
There was … Read More
Quotes on the CME Case Shiller home price index futures are mixed, and a hair lower, after this morning’s release of Case Shiller numbers. As illustrated in the table below, prices on the Nov ’19 (X19) BOS and LAX contracts are lower by one point, while the LAV and SFR … Read More
With the help of CME (thank you LA) I’m finally able to post electronic quotes across all ten regions for the Case Shiller home price index contracts. Now any trader that wants to buy (or sell) one-sided protection against a move in the Case Shiller home price index has a … Read More
I’m visiting Italy for the next few days (back Wednesday night). I’ll have limited access to emails and trading platform, and as such, have widened out some longer-dated bid/ask spreads. Will pick things up when I return.
Feel free to post questions (email@example.com) as I’ll have a lot of time … Read More
Last week I wrote about how one might construct a Principal Protected Put (“PPP”) (thank you PW) to buy protection for a downside move in a home price index, at the cost of foregoing income. Today, I’d like to highlight the opposite strategy, where one might accrue a higher coupon, … Read More
I’ve posted a recap of activity in the CME S&P Case Shiller home price index contracts for August. You can find it in the Reports section or link here. The report include graphs, tables, and charts on the 121 home price index contracts (11 regions * 11 expirations). Readers … Read More