I have not received many inquiries on the MIA (Miami) set of Case Shiller futures contracts, and there is zero open interest, so I thought I’d give the MIA index and contracts one day in the spotlight to prompt some possible comments or trading ideas.
Without trades, or even many … Read More
While Thursday’s blog focused on the more recent markdown in CME home price futures as the stock market fell, with the Mortgage Bankers Association meeting starting this weekend in DC (my new home), I thought that I’d give attendees one comprehensive table, covering a longer timeframe, to chew on.
The … Read More
Quotes on the CME Case Shiller home price index futures have been moving lower since month-end, and most notably somewhat in sync with the selloff in the stock market over the last two days. The price moves for the first two weeks of October have been larger than any monthly … Read More
I’ve posted a recap of (the very limited) activity in the CME Case Shiller home price index futures for September. You can find the recap in the Reports section, or access here.
(I’ve also updated life-to-date volume and open interest tables. Both are in the Reports section.)
There was … Read More
Quotes on the CME Case Shiller home price index futures are mixed, and a hair lower, after this morning’s release of Case Shiller numbers. As illustrated in the table below, prices on the Nov ’19 (X19) BOS and LAX contracts are lower by one point, while the LAV and SFR … Read More
With the help of CME (thank you LA) I’m finally able to post electronic quotes across all ten regions for the Case Shiller home price index contracts. Now any trader that wants to buy (or sell) one-sided protection against a move in the Case Shiller home price index has a … Read More
Last week I wrote about how one might construct a Principal Protected Put (“PPP”) (thank you PW) to buy protection for a downside move in a home price index, at the cost of foregoing income. Today, I’d like to highlight the opposite strategy, where one might accrue a higher coupon, … Read More
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 … Read More
How would you like to buy a product where: a) you participate if home price indices fall below current levels, and b) you’re guaranteed to get all your upfront money back if they don’t?
A number of factors have changed to (financially) allow the creation of a principal protected put … Read More
Quotes on CME home price index futures are marginally lower this morning after today’s release of Case Shiller numbers for the period ending June 30. Index values fell outside the bid/ask spread from yesterday’s prices on the expiring Aug 2018 (Q18) contract in 7 of the 11 regions. (Recall that … Read More