Activity in CME Case Shiller home price futures for May

I've posted a 17-page recap of activity in the CME S&P Case Shiller home price index futures for May on the Resources page. (See link.) The recap includes tables and graphs of prices, trading activity, open interest (OI) and quotes on IC (InterCity) and Calendar Spreads.

Overall, trading was very quiet in May after two months of more active trading and volatile price moves, with very limited engagement by third parties. Prices were about unchanged throughout the month even with some sharp sell-offs and rebounds in the stock market.

Key conclusions from the recap include:

–There were only 3 futures contracts traded in May 2019, across 2 expirations, and 2 regions.  (See chart page 7).  This contrasts with 61 trades during March and April.

–Market price gyrations took a break from months of large price swings and were relatively quiet.  Prices for most regions were slightly higher (except HCI, CHI, LAV and LAX which sold off). (See page 4-6)

–Shorter dated contracts saw small price gains, while longer-dated contracts were flat,but with wider bid/ask spreads.  

–Forward curves continued reverting to premiums over spot.

–BOS and SFR are tied for the largest volume for 2019, but SFR has the largest OI (Open Interest). (see page 7, 10)

–While OI exists for all regions (except DEN) only 4 expirations (Q19, X19, X20 and X22) have open trades.  I’d like to keep inquiries focused on these four expirations to concentrate potential trading interest.

–There continued to be no options trades.  I am eager to facilitate an option trades as last open contracts expired in 2018. See page 16 and for recent quotes on 1-year puts.

–While the focus of this report in on CME activity, OTC home price index agreements can be structured for other regions/ home price indices.  See for details and trading axes.

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