Many users report that they face challenges accessing recent price quotes on the CME Case Shiller home price index contracts. As such, in addition to posting one-off tweets and occasional blogs (e.g. March 16 on "The Role of Housing Derivatives" ) I've just added a page to my website that will have levels where I'd buy or sell contracts. The information can be found on a new tab called "Quotes". You can find it here: https://www.homepricefutures.com/quotes I offer this a go-to reference for anyone looking for my sense of where contracts might be bid/offered, to report where contracts may have been recently quoted, and/or to post trading axes that users might want to share.^1
The table below shows that -for now - I will be focusing on the Feb '21 (G21) contract. The Feb '21 contract has several key attributes:
1) It references the year-end 2020 index values -so it might be useful in discussions about where home price are headed next year.
2) The contract is one-year forward so the potential impact of seasonal factors is largely dampened (as the comparisons are between the same two months, but from different years.
3) As one-year forward contract it shows where users will add/reduce risk (which as I've noted before may not reflect expectations) but in < 10 months, should converge to the index.
4) I use the Feb '21 contract to seed quotes on Nov '20, May '20 and Feb '22 and '23 contracts, via calendar spreads. In addition, I use the HCIG21 (10-city index) as the basis for some quotes on the ten regional contracts, via intercity spreads. As such, any increase in liquidity to the Feb '21 contract (e.g. via greater participation), and in particular the HCIG21 contract, should have spill-over benefits to other expirations.
Please feel free to contact me if you have any questions about this blog, if you have any trading axes, if you'd like to comment on the user axes that have been posted, or if you have any questions (or creative ideas) about using home price index derivatives to hedge risk.
Thanks, John
^1 -For those looking for live quotes, there are several "for pay" vendors to include CME EQuotes, Bloomberg, and CQG. (I'm happy to add other verdor names. Please send me info.)