I've posted a recap of activity in the CME S&P Case Shiller home price index contracts for April, that you can find on the Resources page or link here. The report contains tables and graphs on price changes, and historic bid/ask levels, intercity spread levels, as well as data on open interest and volume.
Here are the highlights from the report:
–April was an historic month (!) –both in terms of volume, price declines, and volatility.
–I tallied 58 contracts traded, which, when combined with 79 in March (so 137),this has been the busiest two-month window since 2008. However, several involved users unwinding open positions in face of higher volatility and margin calls from the most-frequently used broker –Interactive Brokers. (I’ve stop using IB).
–There were trades across 6 expirations, and 10 regions. (The only region with no activity was LAV).
–CME CS Futures have moved in their own world for the last two months, seemingly oblivious to stock market sell-off and recovery, or activity in stocks that would likely be impacted by sentiment of forward home prices.
–I continue to try and focus users on G21, G23 and G25 contracts.
–OTC home price index agreements on other regions were dormant, but I’ve proposed a more efficient method for expressing Absolute and Relative Performance returns.See www.homepricefutures.com/HPHF for details.
–Feel free to contact me to discuss this blog, or any aspect of issues related to hedging with home price index derivatives.
Thanks, John