Recap of Nov activity in CME Case Shiller futures

My recap of activity during November in the CME Case Shiller home price index contracts can be found in the Reports section, or accessed here.

The key notes for the month include:

–There were 11 futures contracts traded in November, across 4 expirations, and 3 regions.

–Activity (bids/offers/trades) remained higher than recent (6-month) history.

–There were no options trades.

–Bids and offers fell for the second month,  across most regions (NYM was the exception).  The three West Coast contracts (LAX, SDG and SFR) saw the biggest declines (and the most activity).  While the contracts have tended to move in the same direction, the individual markets appear less correlated than the run-up from 2016 to early 2018.  The West Coast markets are under the most pressure, while LAV, NYM and WDC are showing reasonable support.    There might be some interesting opportunities for inter-city spread quotes between two markets, rather than just the HCI vs. regional markets that I tend to quote.

–Forward curves continued to flatten with some calendar spreads in longer-dated expirations bid at negative spreads (i.e. sell front contract/buy back one for a lower price).  (Watch for next blog with neat graph illustrating the point).

–Bid/ask spreads narrowed slightly across all regions except WDC.

–With the expiration of Nov ’18 contracts, OI on futures fell from 49 to 32 –about average for the last four post-Nov expirations.  There are only 4 OI before Nov ’19,  the weighted time to expiration across OI is>2.0 years (for the first time I can remember), and inquiries are rising,  so I’d expect OI to grow over the next 9 months.

-I added a page updating proposed quotes on CME indices other than the 10 traded on the CME.   I am open to structuring either a forward trade, or a (European-style) option on other home price indices.  Please share any interest in what other indices you might like to trade.

–I am eager to facilitate an option trade as last open contracts expired.  (I posted a table of two-sided quotes on one-year puts in the report, but am open to other strikes and expirations)

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions on this blog, or any other aspect of hedging home price indices.

Thanks,  John

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