September recap of CME Case Shiller activity posted

I just posted a 16-page recap of activity in the CME S&P Case Shiller home price index contracts (futures and options) for September. You can find it in the Resources section or link here.

The key themes include:

–There were 18 futures contracts traded during Sept 2019, across 4 expirations, and 4 regions (HCI (10-city), BOS, NYM and SFR).  (page 8).

–No options have traded since the 7 lots in June.

–Prices were mixed– up modestly higher across all regions,but slightly lower in LAX, SFR and WDC.

–Bid/ask spreads were slightly wider in front contracts/ narrower in longer-dated contracts. (page 5).

–Third-party activity was very quiet with most activity(surprise!)in the first half of the month.

–Only four expirations (X19, G20, X20 and X22) have open interest (OI) (page 9). I believe that on any product w/ low volume concentrating interest on fewer choices,improves limited liquidity.  As such, I rarely post quotes for K21, X21, K22, X23, except for 10-city index contracts.

–Trading started in the G21 (Feb ’21) contract which should promote discussion of HPA for 2020. (I’ll add G21 as the fifth expiration to target.

–BOS, NYM and SFR are the only regions with > 10 lots traded in 2019.

–Four regions have no OI (DEN, LAX, MIA, and SDG).  I’d be happy to facilitate trades in those regions.

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

Feel free to contact me if you have any questions about this blog, the activity during September, or any issues related to hedging of home price indices.

Thanks, John