Put Options on CME Case Shiller Futures -Sept 2

In my recap for August CME activity ()  I posted a table of put option prices for the four regions (CHI, CUS, LAX, and NYM) where electronic trading of puts is allowed by the CME.  That table in updated here.

Sept 2 puts

Over the last few months I’ve probably had more inquiries for puts(although the term “insurance” is more typically used) than futures.  While some retail products for home price protection have been rolled out (ValueInsured is the one that I’m most familiar with) there are some inquiries that are looking for more of a publicly quoted derivative.  This effort is my attempt to break the chicken-and-egg cycle of “no quotes/no volume” to get something started on the derivative front.

As with my first efforts in market making for the futures contracts (back in 2011) I’m starting out with wider bid/ask spreads on most contracts.  The set of contracts where puts can be posted is larger than that for futures so some form of triage is needed on where to quote. Given the inquiries for slight out-of-the money protection, I’ve decided to focus on round, 10-point strike intervals that are (generally) just below where the futures are quoted.

Also, like futures, I’d like to have a benchmark contract.  I’m going to try and use the HCIX18-210 strike as that benchmark.

You’ll note that the CME closes may be outside the range of posted prices.  I’ll deal with that over time.

You may also have some frustration finding a brokerage firm that will allow you to post put quotes.  Let me know if you need a connection and better still, let me know if your existing firm will let you post put option quotes.

There’s lots of angles to go from here, but for now any feedback on quoted prices would be appreciated.  Feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trading ideas.