Recap of August activity in CME Case Shiller futures and options

I’ve posted a recap of activity in the CME S&P Case Shiller home price index contracts for August.   You can find it in the Reports section or link here.   The report include graphs, tables, and charts on the 121 home price index contracts (11 regions * 11 expirations).  Readers may view forward curves to observe prices that: 1) are consistent with positive, but declining HPA, and 2) which regions are priced for bigger gains than others.

The summary findings in the report are:

–There were 8 futures contracts traded in August in 3 regions (DEN, NYM and SFR) across 3 expirations, in 3 trades.  One trade (5 SFRX22) was negotiated off-line.  Unusually there was only one lot traded the days just before, or after, the release of Case Shiller #’s.

–There were no options trades (and haven’t been any in almost a year).  I’d like to be responsive to any inquires –puts, calls/ in, out of the money/paired trades -to jump-start trading in options.

–Despite low volume, there is interest from third-parties, primarily in front contracts and across the SFR expirations. The SFRX22 contract was quoted much of the month with <3 point bid/ask spread.

–While bids and offers were generally lower across many regions for August,  BOS, LAV, MIA and WDC all had higher bids.  (Note that 3 of the 4 have no OI so I am trying to “stir the pot”).

–OI on futures rose from 44 to 48.  (OI dropped below 100 in April 2014 and I’ve been trying to claw back to that level).

–OI has become even more concentrated in Nov expiration cycle with all but 2 of 48 OI in Nov contracts.

–Growing interest in “Fractional Interests” and “shared appreciation strategies” leading to more detailed conversation of home price expectations.  I’m planning a mid-Sept blog to detail developments in this area.  Open to contributions.

As a general theme,  there seems to be growing sentiment that HPA gains are slowing (possibly increasing the need for hedging), bid/ask spreads have been contracting, and I’m eager to facilitate retail-sized trades.  Net, a good landscape for growing volume.

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

Thanks, John

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