I've posted a recap of activity in the CME Case Shiller home price index contracts for January. You can find it in the Resources page, or click here.
Key findings include:
–Only 12 lots traded in January, across 6 regions and 3 expirations.
–Prices continued to rise, and bid/ask spreads compressed due to information from trades, reduced volatility, and increased interest from third parties. Most third-party interest was focused on the expiring G21 contracts, although there were selected inquiries in other longer-dated contracts.
–OI remains at historic lows.
-Many quotes are a function of intercity and calendar spreads. See pages 10 and 11 in the report for examples of how these work.
-Forward prices seem low versus expectations (and imputed Calendar Spreads YOY gains). See Dec 28th blog for more detailed thoughts on why forward contracts might still be attractive.
–I’m quoting OTC options (both puts and class) on 20 Case Shiller indices for G22 (Feb 2022) expiration. See the options page for updates.
–I’m also to posting levels on OTC home price agreements, using my HPHF platform.
–Paris contracts went "dark” as activity seems likely to move to OTC platforms. I’m open to quoting levels for Paris, and other international cities. See Jan 18th blog for details.
Feel free to contact me if you have any questions about this blog, have any trading/hedging ideas that you'd like to explore, or if you'd like to learn more about the use of home price index derivatives in hedging strategies.
Thanks, John