I've posted a recap of activity in the CME Case Shiller home price index futures for September in the Resources section of my website (or you can link here).
This is the first recap I've done in a few months, as I took a break from 24/7 market making in the CME contracts to enjoy summer, and to focus on new efforts in the CME water (H2O) and voluntary emissions (GEO, NGO) contracts. (DM me if interested on those).
I'm back home now and eager to help facilitate inquiries in the home price index contracts, as I sense the debate about the slow-down in HPA gains is getting louder.
Key points from the recap include:
–In September, 26 lots traded across 8 regions and 3 expirations. Trading volume for the last 12 months has slowed to about historically average levels. Most activity is focused on the front contracts (i.e. X21, G22).
–Prices rose dramatically throughout the summer (and continued on into September) for all regions except WDC. (See table below).
–Bid/ask spreads tightened by very large margins in key markets (X21,G22) primarily through higher bids, but in some cases lower offers. (e.g. bid/ask spreads on G22 were > 10 points in July). B/A spreads are now back to about historical averages on the front contract with two months to expiration.
–Trading during the summer was highly concentrated in the front contracts (now X21 andG22), and so I’ve focused on making tighter markets there, rather than having quotes in all contracts. Only recently, I’ve teed up calendar spreads (G22/G23)to prompt discussion on 2022 HPA. I'll respond to inquiries on longer-dated expirations, but my next step is to bring bid/ask spreads in for G23 to facilitate debate on 2022 HPA.
–I’ve also focused on IC (intercity) spread quotes for Feb ‘22 to promote discussion of relative forward performance across regions. DEN, LAV,MIA, SDG and SFR are priced to outperform HCI, while CHI and WDC are priced to lag.
There are other topics that I'm working on in the background (e.g. options, OTC agreements on other cities, foreign markets) but for the near term, my focus is on the CME contracts. Feel free to contact me if you'd like to discuss trading/hedging ideas.
Thanks, John