I've just posted a recap of activity in the CME Case Shiller home price index futures for April. (Sorry for the delay). You can find the recap in the Resources page or link here.
April was yet another month with strong gains in contract prices. Activity was one-sided with buyers grabbing occasional offers but no bids hit throughout the month.
With such high volatility, I've pulled back on quoting longer-dated contracts to try and first determine clearing levels on the shorter-dated contracts that might balance bids and offers.
The table to the right shows current prices. I'd note that the HCIG22 (Feb '22) contract is priced consistent with index gains (by expiration) of ~7-9% from today, and for total gains for 2021 (not shown here) of 9-11%.
The graph below reflects the jump in contract prices this year. For example, the HCIG22 (Feb '22) contract closed 254.4/259.4 on Dec 31. Friday (May 7th) the contract was quoted 277.0/282.0.
The recap includes several tables to include:
* quotes on ten reginal contracts
* slight rise in OI
* trading volume for the last month and rolling 12 months
* Intercity Spread (IC) levels for the 10 pairs of regional vs 10-city contract quotes
* Suggested levels for prices on the cities that comprise the balance of the 20-city index (e.g. Atlanta, Charlotte, Cleveland, Dallas, Detroit, Minneapolis, Phoenix, Portland, Seattle, & Tampa).
Feel free to contact me if you have any questions about this recap, have any trading ideas that you'd like to explore, or if you just have any questions about using home price index derivatives in hedging strategies.
Thanks, John