Options updated

I've updated prices for one-year forward expiration, with ~at-the-money strikes that can be quoted on the CME platform. (Contact me for OTC puts for other regions).

The table shows the put contracts labeled by region, expiration, put and strike. For example, the bids, offers and mid-market levels are shown for CS 10-city futures for Feb 2020 expiration (HCIG20). To the right of that is the spot index. Next is the difference between the mid-market level (one year from now) and the spot index. (Note that the HCI, CHI and NYM contracts are negative).

Further to the right the put option information is shown, starting the the strike. Note that I've generally used strikes near the spot level, but CME puts can be structured on any 5-point interval. To the right of the Strike are the bids and offers for the puts posted on the CME earlier today. Finally, I've also converted the ask prices into "% of spot" as the strikes range from 145 to 280. In general, the regions that I think might experience higher volatility tend to be quoted at a higher "% of spot" (E.g. SFR), and the 10--city index tends to trade at the lowest.   Some of the outliers (e.g. CHI and NYM) are due to my using puts that are somewhat in the money.

Given that these are 1-year puts, it's easier (less risky) for me to write puts, so assume that all levels work for 5x5 (lots bids v lots offered).

As I've noted before, I'm open to any ideas using these options that you might use on others. Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions about this blog or any aspect of hedging home price indices.

Thanks, John