August Recap of activity in CME S&P Case Shiller home price futures

I've posted a recap of activity in the CME S&P Case Shiller home price futures on the resources pages (or you can access here).

The summary points include:

–There were 9 futures contracts traded during Aug 2019, across 3 expirations, and 4 regions (DEN, LAX, NYM and SFR).  (page 8).  No options have traded since the 7 lots in June.

–Prices were modestly lower across all regions (except BOS) and bid/ask spreads compressed across front three contracts (page 5).

–Third-party activity was very quiet.

–With the expiration of the Aug ’19 contract, only four expirations (X19, G20, X20 and X22) have open interest (OI) (page 9). I believe that on any product w/ low volume concentrating interest on fewer choices, improves limited liquidity.  As such, I rarely post quotes for K21, X21,K22, X23, except for 10-city index contracts.

–With Q19 expiring, the CME opened trading in the G21 (Feb ’21) contract.  I’ll add this to the list of targeted expirations as the Feb ’21 contract settles on the Dec ’20 index and shouldpromote discussion of HPA for 2020.

–BOS, NYM and SFR are the only regions with > 10 lots traded in 2019.

–With Q19 expiring four regions have no OI (DEN, LAX, MIA, and SDG).  I’d be happy to facilitate trades in those regions.

–I continue to tout OTC home price index agreements on other regions/ home price indices.  See www.homepricefutures.com/HPHF for details