I've posted a short (12-page) recap of activity in the CME Case Shiller home price futures contracts for Dec to the Resources page, or you can link here. This version includes price changes, volume and open interest information, and tables on calendar and intercity spreads.
–There were 6 futures contracts traded during Dec 2019, across 2 expirations, and 2 regions. The lower volume this month is likely due to my being on vacation (and not posting tight markets) from Dec. 18th -Jan 5). However, the 6 trades did bring YTD activity to 148, the highest volume for the last five years.
-Trading during 2019 was highly concentrated in three regional contracts: NYM (32), SFR (26), and BOS (21). The other seven regions saw limited trading to include: MIA (1), LAV (2), DEN (3), CHI (4), and SDG & WDC (5 each). I'd like to encourage readers to help me with each of these seven contracts. The 10-city HCI contract remained the most active (40).
-There were no option trades.
–Prices were generally flat across most regions except LAX was higher (after CS #s were released on Dec 31, while CHI and SFR were lower).
–Bid/ask spreads were slightly tighter most notably in the benchmark Nov 2020 contracts.
–Open interest remains concentrated in three expirations ( G20, X20 and X22) but I have also been touting G21 (using it as a benchmark for options and Intercity spreads. I’m going to limit my quotes to those targeted expirations for the first few weeks of 2020. Expect to see more focus on February contracts over the next few months, as since they reference year-end index values, they may be more useful in debating expectations.
–Only two regions have no OI (MIA, and SDG).
Separately, I will start posting suggested levels on home price index agreements for regions not referenced by CME futures. Recall that these will be on the Freddie Mac NSA indicies. Please see the HPHF section of www.homepricefutures.com for background information. Further, please feel fee to contact me if you have a particular region that you'd like to discuss hedging (long or short).
I'd note that I'm also willing to extend the HPHF approach to Canadian cities. Most of the inquiries, and most of my postings have been on Toronto and Vancouver, but I'm open to other regions that have a Teranet index.
While I appreciate those who helped push the YTD total to a 5-year high, the volume traded is a fraction of what is possible. My hope is that is focusing interest in only 5-6 expirations, keeping attention on contracts out to Nov 2022 (for now), shifting benchmarks to the Feb expiration cycle, increasing the size of bids and offers, and narrowing bid/ask spreads, that volume can be multiples higher.
Please feel free to contact me if you have any questions on this blog, or on any aspect of hedging home price indices.
I'm eager to facilitate trade (within the targeted expirations) to start the New Year.
Thanks,
John