June Recap posted

I've posted a recap of activity during June in the CME S&P Case Shiller home price index futures and options. (In addition I've posted news on the launch of Paris home price futures on Euronext, as well as an example of OTC home price index agreements that I'd like to facilitate, across Freddie Mac home price indices.

The key points in the recap include:

–There were only 2 futures contracts traded in June 2019, across 2 expirations, and 2 regions.  (See chart page 8).  Activity was very quiet with some third-party bids and offers in Q19/X19 contracts.

–This leaves trading of 71 contracts for the first half of 2019 (anchored by 42 in March) for the second best first six months since 2014. Still the volume is very disappointing given the pick-up in March/April.

–The first option trades of 2019 took place, totaling 7 contracts across two regions, all for the Feb ’20 expiration. See page 15 and www.homepricefutures.com/options for recent quotes on 1-year puts

–Prices were higher across all contracts and all regions, and bid/ask spreads compressed modestly.

–BOS and SFR are at the top for the largest volume in regional contracts for 2019,but SFR has the largest OI. (see pages 8-9)

–While OI exists for all regions (except DEN) only 4 expirations (Q19, X19, X20 and X22) have open trades.  I’d like to keep OI focused on these four expirations to concentrate interest.

–OTC home price index agreements can be structured for other regions/ home price indices.  See www.homepricefutures.com/HPHF for details and trading axes, and page 16 for an example.

–Paris home price futures started trading. (Page 17)

Please feel free to contact me if you have any questions on this blog, on OTC home price index agreements, on the Paris contracts, or any other aspect of hedging home price indices.

Thanks, John