March recap posted

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).March Sum

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 (johnhdolan@homepricefutures.com) if you have any questions about the recap, or any aspect of hedging home prices.