July recap of activity in S&P Case Shiller home price index contracts (on CME)

I've posted a 20-page recap of activity in the S&P Case Shiller home price index contracts for July. (See Resources section or link here).

Highlights include (from summary page):

-There were 10 futures contracts traded in July 2019, across 4 expirations, and 2 regions (NYM and SFR).  (page 9).  

-Activity was very quiet with third-party interest concentrated in a few regions: BOS, DEN, LAX, NYM and SFR.

-The close on the HCIX20 benchmark (10-city index) contract was unchanged on the month (page 5) - a reprieve after several months of historically high volatility

-Bid/ask spreads collapsed (page 8), due to lower offers across most regions/expirations (page 5).

-The combination of higher bids on front contracts, and lower offers on longer-dated contracts, seems consistent with the short-term expirations reacting to lower interest rates and inventory shortages, while longer-maturity markets are getting closer to pricing a turn.

-The total of 81 contracts traded YTD is second highest volume since 2014, just behind the 82 lots traded in 2017. (page 9)

-Only 5 (of 11) expirations (Q19, X19, G20, X20 and X22) have open interest (OI) (page 10) as I believe that on any contracts w/ low volume concentrating interest improves limited liquidity.  FYI -I rarely post quotes for X21, K22, X23,except for 10-city index contracts.

-BOS, NYM, and SFR are the only regions with > 10 lots traded in 2019.  I’m eager to promote the others, particularly DEN which has no OI.

-A big focus for me during July was touting OTC home price index agreements (#HPHF) on other regions/ home price indices.  See www.homepricefutures.com/HPHF for details (page 17 for an example,and page 18 for selected quotes). A few of the cities that I posted HPHF quotes for during July include: Austin, Baltimore, Cincinnati, Columbus, Dallas, El Paso, Indianapolis, Omaha, Salt Lake, Buffalo, Raleigh, Milwaukee, Seattle. Best to follow me on Twitter (@HomePriceFuture) for updates.

-I also posted quotes on two Canadian markets (Toronto and Vancouver) - denominated in US$. I'd like to establish a CAD$ version of HPHF (as there seems to be a real need for hedging) but I'll need some local help.

-Conceptually, I'm open to small agreements on any global home price index

-Paris home price futures (which started trading in June) were quoted higher in July, as index climbed, but w/ no volume.

-7 options traded in June.  I’ve posted prices for G20 (page 16).  Because I'd like to focus options on year-end index values, I'd be open to OTC trades on Case Shiller index for year-end 2020 (so G21 index) until late Aug when contract opens.

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

Thanks, John