I've posted a 12-page recap for activity in the CME Case Shiller futures contract for 2023. You can access the report here, or at the website on the Resources page.
Highlights of the report include volume traded, quotes, price changes over time, open interest, forward curves, and bid/ask spreads.
Volume for 2023 approached the highest levels over the last few years (although still way below that for institutional interest).
Open interest is the highest in several years (but still only about $5mm notional).
The keys to growing activity remain the same as in past years:
* Populate HCI G24-G25-G26 (the February expiration cycles) with more and bigger quotes. This will not only provide greater depth of market for those contracts but, via calendar spreads and InterCIty spreads, feed into other contracts.
* Raise awareness of financial advisors to this product (as users only need 5-10 contracts to offset personal exposures).
* Get institutional investors to dabble from the long side, for small allocations to residential price exposure.
* Review opportunities in HPHF Ratio Agreements for other Case Shiller regions (e.g. Atlanta, Charlotte, Cleveland, Dallas, Detroit, Minneapolis, Phoenix, Portland, Seattle and Tampa) as any absolute exposure taken there will add to CME 10-city volume. (See Aug 2023 blog for a writeup).
Please feel free to contact me with questions about this blog, the recap, or if you have exposures that you'd like to construct on these regions or any Top 50 city.
Thanks,
John