I’ve posted a brief recap of activity in the CME Case Shiller home price index contracts to the Reports section (or you can access here).
–There were 3 futures contracts traded in Dec. in 3 regions across 2 expirations. There were no options trades.
–Volume for futures and options during 2017 (182 lots) was higher than 2015 and 2016 primarily due to increased in options trades. That said, activity has slowed dramatically over last 3 months.
–For Dec, bids and offers generally rose across most regions and expirations (except ask side of MIA).
–Bid/ask spreads were about unchanged
–Front contract (G18) bid/ask are just under 2.0 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.
–OI on futures and options remains unchanged at 34 and 17.
–OI remains very concentrated in November expirations (74%).
–Put writers still needed! I sense that options trading is the way to grow volume, as strong retail preference for taking one-sided risk exposures.
Please feel free to contact me (firstname.lastname@example.org) if you care to discuss any aspect of this post (or the recap) or any other aspect of hedging home price indices.
Best wishes for a healthy, happy, prosperous 2018!