I've posted a recap of activity in the CME Case Shiller home price futures contracts for August. You can find the report in the Resources section of my website or link here. The report has multiple tables and graphs highlighting Case Shiller markets. The key finding for the month include:
-Activity for August included 18 lots traded, across 5 expirations,and 6 regions. There were no trades before Aug 13th (but somewhat explained by me being at the beach).
-The rolling 12 month volume exceeded 300 lots for the first time in > 5 years.
–Prices were generally higher across all regions. (Some regions had much stronger bids but slightly lower offers).
–Bid/Ask spreads were tighter,with most of the improvement in Q21 contract (where there was third party activity) and G23 and G25 where a combination of IC and calendar spreads narrowed quotes.
–With the expiration of the August 2020 (Q20) contract, the new front contract (Nov‘20) continues to reflect current strong spot home price market, but futures prices for 2021 are lower. This is probably the most important take-away from CME contract prices -i.e. the recognition that the spot market remains strong (and consistent with this, Nov '20 prices continue to inch higher) while prices are lower in 2021 (although the discount to spot has dropped dramatically).
-With the expiration of the Aug '20 contract, the CME re-opened the Nov '21 contract. (Recall that the Nov '21 contract was closed in January 2020 when the CME reduced the number of contracts and focused on February expirations.)
-There are three regions without OI (BOS, DEN and WDC). I'm very open to quoting tighter markets in all three to get something going.
-Open interest remains very front-loaded. With market settling down, I'd like to see more focus/debate on G23/ G25 contracts.
–I’m hearing from readers looking to hedge regions not covered by CME contracts (e.g. Seattle,Austin), and there was an interesting debate (prompted on social media) about how different regions might perform. Both have led to conversations (and blogs on my part) as how HPHF RP (Relative Performance) swaps might be a useful tool for expressing such views.