Any bulls (or even status quo fans) on SFR?

I've got a potential opportunity for those that think that the Case Shiller SFR index will hold value, or at least not decline by >10%, at the time of the Feb '23 contract expiration.

I can structure a deep-in-the-money OTC call straddle with a strike at ~215 (so ~80% of the SFR index spot value), and a cap of ~245 ( or ~90% of the SFR index value). Since the payout is bounded by the two prices, the maximum payout is 30 points. (30 points is also about 10% of the value of the spot index, so points could be converted into dollar notionals). The only questions would be the price on the call, and what type of entity would buy it. The example below (from Monday May 25th) presumes a price of 21. As such, the payout would be 30 points at any price above 245, or a return of ~42%, or about 13% per year.

The downside is that returns will go negative should the settlement index value fall dramatically (in this case below 236).

The call is generated as I have buyer of a put with the opposite payout, so both sides would need to agree on expiration, strikes and floors. See May 7th blog on puts for an idea of the other side.

It strikes me that this exposure could be structured as a Credit-Linked Note(e.g. where the principal due at expiration declines), or might be substitute for co-investors that are looking for a more conservative structure. Thas is, since the payout is based on a ~3-year forward index level, there would be no principal reductions in the first few years, and an investor would not lose money even on about a 13-14% decline in the index (both attributes of co-investment programs.)

Please contact me if you'd like to discuss aspects of this proposal, have other indices in mind, or if you have any questions related to hedging with home price derivatives.