Recap of activity in the CME Case Shiller home price index futures for Dec 2020

I've updated a post recapping activity in the CME Case Shiller home price index contracts for Dec 2020. You can find the recap on the Resources page or link here.

Highlights of the report include:

–Only six lots traded in December, in 2 regions and 2 expirations.  The 10 lots traded this quarter makes this the lowest volume quarter since Q1 2010. The rolling 12-month tally of trades remained at 270. (Page 11)

–Prices continued to surge, particularly after the Dec 28th Case Shiller numbers were updated.  For example, the HCIG22 contract close has risen from 231.6 on Sept 30, to 254.4.

–I’ve recapped price moves for 2020 in two graphs (Pages 9-10).

–The only theory I can offer for the combination of price volatility (usually good for trading) and limited trades, is that every inquiry seems to have been from a buyer.  I sense that few people see the need for hedging in such a bull market.

–Prices were much higher during the month. There were two-side quotes on 74 contracts(of 110) at month-end.  (Pages 4-7)

–Bid/Ask spreads (in aggregate) tightened slightly. (Page 8)

–Open Interest (OI) dropped to new historic lows. (Page 13)

–My thoughts on Feb 2022 prices for the 10-city index components, as well as for OTC agreements on the CS 20-city components get posted 2x/week.  (Page 12) I'm also open to quoting prices on other cities referencing Freddie Mac indices.

-I added a graph on the Euronext home price index contracts (which also have had limited volume). I'm game to discuss quotes on other cities outside the US.

–I’m quoting OTC options on 20 Case Shiller indices. (Page  14-15) As I've noted in past blogs, I believe that options may be an easier product for retail investors to use. I'd be open to most any combination of puts, calls and/or forward/futures contracts, as long as the options have boundaries on price moves.

Please feel free to contact me if you have any questions about this blog, any trading axes, or want to learn more about the use of home price index derivatives in hedging strategies.

Thanks, John