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
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
I’m visiting Italy for the next few days (back Wednesday night). I’ll have limited access to emails and trading platform, and as such, have widened out some longer-dated bid/ask spreads. Will pick things up when I return.
Feel free to post questions (email@example.com) as I’ll have a lot of time … 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
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
The August 2018 (Q18) contracts will stop trading on Monday Aug 27 at 3 PM Eastern (note one hour before other contracts), and will be cash-settled on the Case-Shiller index values released by S&P on Tuesday Aug 28. Recall that this August release of CS #’s covers the period April, … Read More