Puts for all regions

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 platform that entails: public pricing, standardized terms, fungibility, and the CME as counterparty (via your broker) to all trades.

The table below shows prices (in orange) for ~1-year puts with strikes near spot levels.  I’ve converted premiums into “ask as a % of spot” to somewhat normalize quotes across different strikes.  As intended, puts on the HCI (10-city index) contract have the lowest (relative) premium, while those for SFR have the highest.  (CHI is also high, but primarily as function of relatively low strike).

Note that any strike (with 5-point interval), and any expiration, and both puts and calls, are possible to trade.  I’m showing this small sub-set as many inquiries have been for relatively short-term protection against a move below today’s levels.  ( I hope to blog about higher strike puts next week).

I’m open to entertaining any traditional option trading strategies (e.g. delta-neutral “vol” plays, bear/bull spreads).

Let me know if you need help finding a broker to trade these products as most firms do not (given historically low volume).

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

Thanks,  John

3 Comments

  1. The only broker that I’m currently working with on CME Case Shiller home price options is Insignia Futures. (Ask for Joe Falico).
    I have a $100 bounty posted for anyone who can find me another broker that will host retail option orders in this product.

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