I posted a recap of activity in the CME S&P Case Shiller home price futures for the month of March in the Reports section. In addition there is a set of graphs for 11 contracts, and prices and price changes for the month. You can access them here (Recap, Graph, Prices). (Note: while my intent was to capture March 31 prices I had technology challenge, so comparisons are primarily between Feb 27 and April 1).
The key observations for the month include:
- 12 trades across 5 regions and 3 expirations (all 2015 contracts)
- Higher bids across all 10 of 11 regions (aggregated across all expirations) WDC the exception
- Tighter bid/ask spreads across 9 of 11 expirations (with biggest improvement in K15, Q15, and K16 contracts)
- Increase in OI from 57 to 64
- Several calendar spread traders (mostly K15 v Q15)
- More Intercity Spread quotes (but no trades)
- A sense of greater involvement by other traders (particularly in 3 West Coast contracts -LAX, SDG, and SFR)
- YTD volume still lowest since 2010
- Another month of CUSX16 quoted at < 1.0 bid/ask spread
Please feel free to contact me (email@example.com) if you have any questions about the recap, or any aspect of hedging home prices.