I've posted a recap of activity in the CME Case Shiller home price index futures to the Resources page of my website. Alternatively, you can link here.
Highlights include:
P4-Prices were much higher
P5/6-Forward curves steepened as G23/G24-25 calendar spreads (P6) were bid up consistent with 1-2% higher implied HPA
P7-During March 13 lots traded across 6 regions and 3 expirations.
P8-Price gains were concentrated to the dates after the release of CS #’s on Mar 29.
P9-Open Interest increased from 25 to 33. Average time to expiration shortened slightly to 0.88 years.
P10-I’m getting a growing number of inquiries for put strategies, across many cities, to include those not referenced by CME contracts. (Please see Options page for updates).
P11-13-I’ve highlighted three pages on how outright quotes and Intercity spread quotes can be interpreted to show pricing on implied out-/under-performance often regions with CME futures.
P14-HPHF Ratio Agreements have become my favorite tool to both show forecasts on, or to offer hedges on, other cities that do not have CME contracts.
Feel free to contact me to discuss any of these themes, to offer ideas on other home price hedging strategies, or if you have an exposure that you'd like to hedge.
Thanks, John