Nov recap of activity in CME Case Shiller home price index futures

The monthly recap of activity in the CME Case Shiller home price futures contracts for November is available in the Reports section or you can access here.    This month’s report re-introduces separate pages for each region.  In addition, I’ve added YTD trading in futures and options to each regional page.

Summary observations include:

–There were only 2 futures contracts traded in Nov. – one in SFRX17 and one in DENX18.  There were 4 options trades –two each in  DENG18 and DENX18.  In addition to the smallest number of futures trades in over a year, there seemed to be sharp reduction in the number of traders posting bids and offers.

–That said, the 2017 volume of combined futures and options (169 lots) is already higher than in 2015 and 2016.

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

–Bid/ask spreads tightened marginally.

–Front contract (G18) bid/ask already just 2.3 points.

–At month-end, there were bids in all 121 contracts, and  two-sided quotes in all contracts out to Nov ‘19, and then X20.

–With Nov ’17 expiration, OI on futures dropped to 34 futures, but remains constant on options at 17.

–OI remains very concentrated in November expirations (74%).

–Note that I’ve added YTD volume in futures and options, by region, in second half of this report.

–Put writers still needed!

Please feel free to contact me ( if you’d like to discuss any aspect of this recap, or anything related to hedging home price indices.




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