With the expiration of the Aug 2019 contract, the CME opened the Feb '21 expiration. I'd like to focus attention of any options traders there (along with Feb '20). Recall that the Feb contracts reference (and settle on) the value of the Case Shiller index calculated through December. As such, I believe that focusing option strategies and trading on the Feb contracts might benefit from year-end forecasts. Net, if you have a view (or as someone with home price exposure, have a risk) as to whether home prices might collapse in 2019 or 2020, I'd have you consider the CME Case Shiller puts.
Recall that these are options on futures, so that exercise of the option is at maturity (European style). I will try (without promise) to facilitate any unwinds of either the options, or the reference futures contracts.
The table below shows bids and offers of the futures and options posted on the CME as of earlier this morning, for the G20 (Feb 2020) and G21 (Feb 2021) contracts. I've tried to keep strikes somewhere between spot and the close on the futures contract. With both the rally since I first posted G20 quotes, and the higher value of Feb '21 contracts, please note that the strikes are different between some G20 and G21 contracts.
As a general rule, the SFR and LAV contracts are priced at levels that reflect higher volatility (relative to other regions) while the HCI (10-city index) has the lowest. While I do base my quotes somewhat on traditional option pricing models, the posted bids and asks may also reflect my views, thoughts on index auto-correlation, needs for hedging futures contracts, efforts to offset open positions, or inquiries from third parties.
I'll try to keep HCI bid/ask spreads reasonably tight, but the others will be wider as I may leave GTC (Good 'til cancelled) orders up for days at a time. Look for updates, and possibly some commentary on the options page of my website.
I would strongly suggest that you contact me if you have interest, as I may be open to either: 1) trading inside quoted levels, 2) trading more than the amounts bid/offered, or 3) be open to touting your interest to other traders. Even more so than with futures, I'd strongly encourage you to negotiate a first trade via the phone and do not place market orders.
If you're looking to trade CME Case Shiller options, you'll need to work with a futures broker that allows such trades. The one that I know of is Insignia Futures (Joe Fallico). I have a $100 finders fee available to anyone that can find another broker that allows retail clients to trade such options.
Further, while my preference is to concentrate interest in a selected number of contracts, know that both puts and calls can be traded on any expiration, and at any 5-point strike. Further, I'm open to facilitating any traditional option strategies (e.g. bull spreads, delta neutral positions). Again, please contract me directly if you'd like to discuss.
Finally, I'd be open to puts and call agreements on other home price indices via the Home Price Hedging Platform.
Please feel free to contact me if you have any questions about this blog, or on any aspect of hedging home price index exposures.
Thanks, John