Futures Trading

Recap of activity in July

I've posted a recap of activity in the CME Case Shiller home price futures contracts for July.

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Aug '21 clearing levels, calendar spreads, benefits of third party activity

CME Case Shiller home price futures, one-year forward, are offered a discount to spot. Are home prices headed lower after this summer selling season.

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CME Markets post July CS #'s

CME Case Shiller home price index futures are slight lower in price this morning after today's CS #'s. Bid/Ask spreads on the Aug '20 (Q20) contract have tightened (with one month until expiration).

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Recap of Activity for June in CME Case Shiller futures

The front-contract CME Case Shiller home price index futures completed a more than 100% reversal from the March/April selloff in June. Longer contracts have also rallied but still trade at discounts to spot.

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How to express a view on the Summer Selling Season of 2020

The real estate market seems to be hoping that, for 2020, the spring selling season will get pushed to the summer. One way to express a view on home prices for summer 2020 (outright or relative to spring 2020) is the CME Case Shiller X20 (Nov 2020) contract.

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Having retraced sell-off, what can be done with Case Shiller 10-city and other home price indices?

Home Price index futures are back to levels last seen in February 2020. The blog offers ideas on hedging components of the Case Shiller 10-city index, as well as (via HPHF swaps) the "other ten" cities in the Case Shiller 20-city index, as well as other larger cities where price histories have correlated with the CS-10 index.

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May recap posted on CME Case Shiller futures

I've posted a recap of activity in the CME Case Shiller home price futures contracts for May. Prices surged on low volume.

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0 'fer -May 20 expirations

The May '20 contracts settled on higher numbers that the bid/ask spreads on Friday indicated. The strength of the CS #'s has lead me to raise quotes on Aug, Nov '20 and Feb '21 contracts.

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May '20 expiration approaching -What will be impact of COVID?

The May 2020 (K20) Case Shiller home price futures contracts expire on Friday. Bid/Ask spreads are still historically wide due to uncertainty of the impact of the COVID virus on housing activity during March.

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Shorter Expirations puts for any index

Options can be created on any home price index. Shorter-expiration, near at-the-money strikes work best.

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Recap of CME Case Shiller activity during April

I've posted a recap of the historic activity in the CME Case Shiller home price index contracts for April.

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Why might Case Shiller futures clear at a discount to expectations?

I provide a stand-alone blog to capture different themes supporting my view that CME Case Shiller home price index futures clear below expectations.

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A Third Dimension: Generating Regional Quotes from HCIG21 and IC spreads

Using HCI21 contract (for Absolute Price Moves) and Intercity Spread quotes (for Relative Price Performance Pricing) can be used to generate quotes in regional markets.

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Do you think home prices will be higher 5 years from now?

Do you think home prices will be higher 5 years from now? If so, longer-expiration CME Case Shiller futures might be worth your attention.

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Hedging Minneapolis

How to (better) hedge regional exposures that are not referenced by CME Case Shiller index futures.

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April Case Shiller #'s. On to an uncertain May

April Case Shiller numbers confirmed recent strength, but now with them out of the way, the debate about the impact of declines in housing activity in March, on the May 2020 contract, has begun to ramp up.

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Introducing Relative Performance Agreement Quotes

HPHF Relative Performance Agreements both allow users to express a view on the forward performance of one regional index versus the Case Shiller 10-city index, but are also the foundation for hedging absolute price risk on cities not referenced by CME contracts.

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Convergence -Why the press should add futures to their monthly Case Shiller recaps

Convergence gives credibility to CME Case Shiller contracts having some element of expectations. Here's what the contracts are "saying" on six regions.

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Intermediate Expirations (Feb 2023, G23)

I'm think that Feb 2023 should take over as the new benchmark contract. It sits between the Feb '21 and "25 contracts that i've touted before, and should reflect conditions in the post-COVID new normal world.

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Two Dimensions of Trading CME Case Shiller Futures: Absolute Level and Path of Home Price Recovery

Trading CME Case Shiller futures involves at least two dimensions -outright price levels, and the path of home price recovery. Different tools are appropriate for each decision.

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The basics of hedging home prices from the long side

Given the change in CME Case Shiller home price index contracts, it's time to review the basics of a long home-price hedge.

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A day of reckoning for home price futures

Quotes on CME Case Shiller futures are dramatically lower over the last two days. The selloff was most pronounced in shorter-term expirations (e.g. Aug '20-Feb '21).

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Recap of CME Case Shiller futures activity during March

Here's a recap of activity in the CME S&P Case Shiller home price index futures during March

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Week 4 of March. Volatility update and logistical issues

Activity in the CME Case Shiller home price index contracts, with a focus on the last week.

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What a difference a month makes! (Feb 21 v Mar 20)

Prices on the CME S&P Case Shiller home price index contracts have fallen dramatically over the last month. Attached are a series of graphs to show how much.

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A new section to aid price discovery

I've added a page to my website to help users get a sense of either where I'd buy/sell CME Case Shiller home price index futures, or where I see activity from other users.

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The impact of C-Virus on Home Prices/ Las Vegas

What should the impact of C-Virus be on home prices, and in particular,Las Vegas?

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The positive role of housing derivatives

Housing derivatives can be useful for sharing either expectations for forward home prices, or in disclosing where risk might clear. Help is needed from this community to build depth in the Feb 2021 CME Case Shiller futures.

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Price Discovery

Markets need price discovery to thrive. Here's my effort related to home price index futures.

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Relative value across regions

Users can express views on relative value via Intercity ("IC") spread quotes. About half of the CME contracts are priced for gains above the 10-city index (e.g. BOS, WDC, DEN and LAV) while half are priced for under-performance (e.g. CHI, LAX, NYM, SFR).

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Looking Forward (as opposed to focus on data releases)

Why only incorporate backward-looking data into home price forecasting when there's a public market on forward home prices?

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Transition to February expiration cycle

Case Shiller home price index futures can now be traded across multiple February contracts.

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Recap of Jan Activity in CME Case Shiller futures

Recap of activity in CME Case Shiller futures during Jan 2020.

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Trading Nov '22 during two week transition to new expirations

With the CME announced change in expiration schedule, users may have concerns about open positions in the Nov 2022 (X22) contracts, as well as how to trade over the next two weeks -until new longer-dated expirations are open. This blog addresses both concerns.

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Post Case Shiller #'s, New Benchmark Expiration -Feb '21

CME Case Shiller futures were quoted modestly higher today, after the release of indicies that tallied activity through November. The BOS and WDC contracts saw the highest gains, while the NYM and SFR contracts declined.

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