Recap for March – CME Home Price Index Contracts posted

I’ve posted a recap of activity in the CME Case Shiller home price index futures (and options) for March in the Reports section (or you can link here).  The report contains tables of prices, price changes, graphs of historical and forward prices, and quotes on inter-city and calendar spreads.  Implied HPAs are shown for all 11 regions as well as open interest and historical volumes.

March was another quiet month (but busy in my “day job”).  Highlights from the month include:

–There were 9 futures contracts traded in March in 3 regions (HCI, CHI, and SFR) across 3 expirations.  There were no options trades.

–Activity remains slow with most bid/ask activity in the SFR contracts.

–For March, bids and offers were higher across most regions (except lower in CHI, WDC). Bid/ask spreads were flat across expirations.

–New front contract (K18) bid/ask spreads are wider than typical, given two months to expiration.   California contracts quoted at widest b/a.

–OI on futures rose slightly to 33.  OI on options unchanged at 2.

–Forward implied HPA are rising as gains in March were reflected in stronger bids on calendar spreads.  (Still my sense is that forward prices are biased lower by an imbalance of hedgers vs. natural longs).

–Growing interest from option buyers.

–New home price index futures contract for Paris to be rolled out this summer.

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions from this recap, or any other aspect of hedging home price indices.

John