Recap of Feb activity in CME Case Shiller home price index futures

I've posted a recap of activity in the CME Case Shiller home price index futures for February in the Resources section (or you can access here).

Key observations include:

38 futures contracts traded during Feb 2020, across 7 expirations, and 9 regions.   (Only two contracts traded post the release of CS#'s on Feb 25, probably due to collapse in the stock market). The rolling 12-month tally of trades climbed to 197 -the highest in five years. (The bad news to improving on this pace is that 42 lots were traded in March 2019.  The good news is that 43 were traded during the five subsequent months.)​

Trading seems to have divided between before the stock market meltdown (while some users were swapping out of Nov to Feb positions), to during the last week, when I didn’t see any third-party quotes, and I was busy lowering bids, expanding bid/ask spreads.​

Wider bid/ask spreads, led to lower bids and higher asks, so it's difficult to say whether this market traded higher or lower.  In addition, the roll-out of four new Feb contracts made MOM comparisons impossible.​

Open interest is concentrated in 4 expirations (K20, X20, X22 & G24).​

Three regions have no OI (MIA, NYM and WDC).  I’m looking to expand regional OI coverage while focusing on G21-G25 expirations.  I’d love any holders of X22 positions to swap out (G23?) to not have OI in that expiration.​

I continue to tout OTC home price index agreements on other regions.  See for details. ​

The key issues to bringing liquidity back to this market revolve around two strategies: 1) will prices on all asset classes fall as traders sell/hedge what they can, and/or 2) will home prices get even more support from the rapid decline in interest rates. I expect to see both play out, and as they do (or as inquiries to express these views pick up) for bid/ask spreads to narrow.

I'm on vacation this week (March 2-6) and may post wider bid/ask spreads, but will be responsive to any inquiries. Please feel free to contact me if you have any questions or trades that you'd like to discuss.