I’ve posted a recap of activity for August in the CME Case Shiller home price futures contracts. The report (and monthly price changes are in the Reports section or can be accessed here: Recap, Prices )
It was another quiet month of trading (only 5 trades) but prices moved sharply lower (possibly in sympathy with the stock market sell-off). Bid/Ask spread contracted in the 10 regional contracts (when summed across all expirations, and spreads were notably tighter in 4 expirations (see table).
Open interest declined to 49 (as the August ’15 contract rolled off). Almost half the OI is in what is now the front contract (Nov ’15). I’m open to ideas on how to move these positions forward (and open new ones) to grow OI levels.
Longer-dated calendar spreads and outright quotes were consistent with declines in longer-dated HPA. A graph of one-year chords (page 19 of the Recap) illustrates the changes in implied HPA from July to August.
While stock market volatility grew, bid/ask spreads on longer-dated contracts narrowed. This both allowed for better Intercity spread quotes, as well as was the result of better IC spreads. Since my interest is in getting traders to think about these contracts as a hedging tool, I’m to try and change my focus from X16 to X17 contracts both in outright markets and in IC spreads.
That said, most traders either want to trade the front contract, or stay in front contract as it typically has lower volatility and tighter bid/ask spreads.
As such, expect my efforts to be bar-belled this month with a focus on X15 and X17 contracts.
As always if you have any questions, or trading axes, please feel free to contact me (email@example.com).