While there are ten regional contracts, and a 10-city index contract (so 11 "regions"), and since each region has nine expirations, there are 99 Case Shiller futures contracts. However, most of the trading is taking place in the February expiration cycle and in the 10-city index futures.
As tallied in the table below 80% of the trades done in both 2022 and the trailing 12 months, have been in the February contracts. I've been trying to steer people to this cycle, as (recall) the February contracts settle on the index of activity through December. Net, trading February contracts is a way for people to express a view on year-end index values. Further, as all the expirations past Feb 2024 are February contracts, calendar spread trading (e.g. how much should G25 trade above/below G24) are easier as one can express YOY views.
Note also, that most trading tends to be front-loaded (i.e. shorter expirations). While there has been some trading in the Feb 2024 (and longer) contracts from earlier this year, the Feb 2025-27 contracts haven't had much activity.
From a regional perspective, the percent of lots traded in the HCI (10-city index) contract has increased from 35% last year (not shown) to 45% over the last 12 months, to 56% during 2022. Other than the 22% for the three California contracts, most of the rest of the regions have had limited activity (often in the front contract as expiration approaches). Many of the February regional contract quotes are bounded by intercity spread quotes, and IC quotes have often been the prompt for trading in regional contracts. (See blog for explanation of IC trades)
My sense is that users need to evaluate the tradeoff between the better basis risk of a regional contract (most notable in LAV and MIA) vs. the tighter bid/ask and possible greater interest in the 10-city index contracts, as they asses the risks that they are trying to hedge. Users might consider using the HCI trades for "Risk On/Risk Off" decisions first, and then backing into regional vs. 10-city risk, as the first risk is often much larger than the second. (Recall that this is the primary approach for hedging other Top 50 cities not listed on the CME. That is, use the 10-city index futures as the core risk, and overlay a Ratio Agreement for the risk between and region and the 10-city index contracts. See blog for review.) (Recall also, that the correlation of the 10 CS indices to the 10-city index is quite large for most cities. Not so, for Boise, Nashville, Austin, Phoenix, where Ratio Agreements might have more value.)
Net, I think that it's in the collective interest of people looking to trade these contracts (as opposed to putting on a hedge until expiration) to help improve liquidity by focusing activity in the 10-city index futures for February expirations. Those quotes feed calendar spreads (e.g. G23 v K23) and intercity spreads (e.g. HCIG24 v BOSG24) so contributions to liquidity in those two contracts, will help others.
Finally, please recall that I will be traveling from Aug 26-Sept 11, and I expect markets to be less active. This blog was my "ask" to get users to focus on the key benchmark contracts while I'm away, as that's where they're most likely to find someone interested in taking the other side.
Feel free to contact me if you have any questions, and I'll see you in September!
John