Basics: Historical Volume, Open Interest 2006-2013

In working to update the marketing book, I compiled historical open interest and volume data from the CME covering the period 2006-2013 into two tables in the Reports section (or that one can access here volume, open interest) and shown here.

The volume table Hist CS Vol shows that 10 times more volume occurred when the contracts were first launched in 2006.  In terms of any good news/bad news/ takeaway from the volume figures, the numbers show that there was a time when there was a lot more trading, that we are doing a small fraction of that amount today, but that, given the history, it’s not unrealistic to hope that such volume numbers might be achieved again at some point down the road.

Open interest ran down fairly quickly after 2007.  One possible reason was that the CME originally only rolled out contracts with expirations of a maximum of one year.  Today’s longer contracts allow for more “stickiness” to open interest.  Unfortunately, most trading (and open interest) has been in shorter dated contracts so replenishing expiring OI has been an ongoing issue.

I continue to receive inquiries about contracts, Historical OIand traffic on this site has picked up.   While all real estate indices have their quirks, I believe that this is the best “pure play” platform for expressing a broad view on 2-4 year forward real estate index values.  I remain hopeful that we are one trade away from two parties being introduced for a 100-lot (or bigger) brokered trade.  I’m happy to facilitate orders to that end.  I’ve heard from both hedgers and foreign bulls but, to date, have not quite been able to match them up.  I would suggest that any large potential buyers/sellers focus on the CUS, LAX and NYM contracts as that is where the most consistent interest has been.

Please feel free to share any potential interest with me at johnhdolan@homepricefutures.com and I will endeavor to bring the two parties to common price.