Recap of CME Activity in Case Shiller Futures for Oct 2017

I’ve posted a recap to the Reports section of activity in the CME CS futures and options contracts for Oct.  (Click here).   Since there were no option trades during the month (and since it’s already Nov 3) this month’s effort is an abbreviated report that still has 13 pages of tables, graphs, and data that should be of interest to anyone following these contracts).  I’ll post recaps on individual contracts and options next week.

Highlights include:

–There were 9 futures contracts traded in Oct. across 5 regions and 5 expirations, but trading took place on only 2 dates. Oct was one of the quietest trading months over the last few years with other traders only infrequently posting bids and offers.

–Volume of combined futures and options over the last 12 months is 226 contracts (or about $12-13mm in notional value).

–Bids and offers generally rose across most regions and expirations (except SFR and WDC).

–Bid/ask spreads tightened marginally.  Longer-dated contract spreads benefitted from stronger calendar spread bids that pushed up bids on longer-dated contracts.  However, spreads remain wider than normal in front contract (~2pts).

–There were bids in all 121 contracts, and  two-sided quotes in all contracts out to Feb ‘19, and then X19 and X20, for most of the month.

–OI increased to 51 futures, and remain constant on options at 17.

–OI remains very concentrated in November expirations (82%).

–There were no option trades in Oct, but I continue to get inquiries on 12-24 month, slightly lower than spot level, puts.  Put writers needed!

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions about the recap, or if you care to discuss any aspect of hedging home price indices.

Thanks,

John

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