I’ve posted a recap of activity in the CME Case Shiller home price index futures for April. You can find the recap in the Reports section or view here.
Highlights of the report include:
–There were 9 futures contracts traded in April in 4 regions (HCI, DEN, LAV, and NYM) across 4 expirations. There were no options trades.
–Activity remains slow with most bid/ask activity in the SFR contracts.
–For April, bids and offers were higher across all regions with much of the move taking place after the CS #’s were released on Tues. April 24th.
–Bid/ask spreads were tighter across expirations with most of the tightening occurring in the K19 through K20 contracts.
–Net the combination of higher bids and tighter bid/ask spreads, raised 1.5-2.5 year implied HPA, albeit from very low prior levels. (My sense is that forward prices are biased lower by an imbalance of hedgers vs. natural longs).
–The front contract (K18) bid/ask spreads average 1.7 points at month-end, slightly wider than typical, given one month to expiration. California contracts continue to be quoted at the widest b/a.
–OI on futures rose to 40 (from 33). OI on options unchanged at 2.
–New home price index futures contract for Paris to be rolled out this summer.
Please feel free to contact me (firstname.lastname@example.org) if you have any questions about this recap, or if you’d like to discuss any aspect of hedging home price index risk.