I posted a recap of activity in the CME Case Shiller futures contracts for July. Unfortunately my website is acting up so here’s the full link. http://www.homepricefutures.com/wp-content/uploads/2010/04/2014_07-CME-CS-recap.pdf
The two highlights were:
- Volume remains very low (only two SFRQ14 contracts traded post CS #’s), but
- Bid/ask spreads tightened dramatically as other traders have begun to weigh in on forward prices.
I would note that the Q14 and Q15 contracts saw the best improvements. I’d like to focus attention on one-year forward HPA markets (e.g. Q14/Q15 calendar spreads) to see if we can prompt discussion/debate over implied HPAs. (While most one-year forward spreads have 4-6 point bid/ask spreads the NYMQ14_Q15 calendar spread was -7.8/-7.6 last I checked. That makes NMM the weakest one-year forward (at ~4.5% mid-mid). LAX is the other (relatively) weak market at 4.6%. At the other end, SFR (7.6%), CHI (7.2%) and MIA (7.0%) have the strongest implied HPA (using mid-mid market quotes).
Feel free to contact me (firstname.lastname@example.org) if you’d care to discuss the report, the Aug ’14/’15 spreads, or any other aspect of home price hedging.