Oct Recap of activity in CME Case Shiller contracts

I've posted a recap of activity in the CME S&P Case Shiller home price index contracts. You can find in the Resources Section of link here.

Highlights this month include:

–There were 19 futures contracts traded during Oct 2019,across 4 expirations, and 6 regions.  This brings YTD activity to 127, second only to  2017 (131) over the last five years. (page 8).  

–No options have traded since the 7 lots in June.

–Prices were flat to mixed -up slightly in LAX, MIA, NYM and SDG, but slightly lower in CHI, DEN,LAV,SRR and WDC.

–Bid/ask spreads were slightly tighter.(page 5).

–Third-party activity  picked up with ongoing interest in selected contracts, to include: LAXX22, NYMG20, andHCIX20.  BOS, NYM and SFR have each had >20 lots traded YTD.

–Open interest remains concentrated in four expirations (X19, G20, X20 and X22) but I have also been touting G21 (using it as a benchmark for options and Intercity spreads. (page 9).Three regions have no OI (DEN, MIA,and SDG).

–A Nov 2024 contract will be opened when the Nov ’19 contracts expires.

–I continue to tout OTC home price index agreements on other regions.  See www.homepricefutures.com/HPHF for details.(page 18)

–There has been little trading in Paris futures (page 19)

Of note to me (and probably the subject of a separate blog in November) has been how low price volatility has been relative to other markets. Fed meetings, Brexit announcements, progress on trade have roiled major markets, while home price futures have been very quiet.

Please feel free to contact me if you have any questions about this blog, or about hedging using home price index products.

Thanks, John