I’ve updated two-sided CME quotes for puts on 11 regions, for Nov 2019 expiration (x19 contract), at strikes near spot levels. The table is shown below and is in the Options tab.
There’s been no volume and near no open interest, so this is as much price discovery as it is product promotion. That said, most inquiries have been for slightly below contract levels, and near spot, as those inquiring have a) expressed concerns about index levels falling below spot levels, and b) using spot level strikes results in a lower premium than a strike set near contract close. Again, most of the inquiries have couched comments as “disaster insurance”.
You might correctly infer from the far-right column that I’m using different volatilities for the various regions, with the 10-city contract as the lowest and SFR as the highest.
I’d be open to outright inquiries or typical option strategies (e.g. delta-neutral trades, bull/bear spreads, combinations of buys on one contract vs. sales on another.
I’d also be open to quoting other expirations and strikes, and/or calls.
Please feel free to contact me (email@example.com) if you have any questions related to this blog or any other aspect of hedging home price indices.