Recap of activity in CME Case Shiller home price index futures for Dec.

I’ve posted my recap of activity for CME Case Shiller home price index futures for Dec 2018.  In addition to monthly activity, there are some tables showing YTD trades.  You can find the recap in the Reports section or access here.

December was the most volatile month (in at least the last 24) as noted in these comments from the summary page:

–There were 10 futures contracts traded in December, across 4 expirations, and 3 regions (DEN, NYM and SFR).  This brings the 2018 total to 110, which I’ve broken out in a table on the Volume page (#11).  SFR contracts dominated 2018 with >50% of all trades.

–Market prices collapsed across all regions and expirations with biggest declines in longer exposures and in 3 Calif contracts (LAX, SDG, and SFR). (For example, bids were >10 points lower in LAX, SDG and SFR X20 (Nov 2020) expirations.

–Forward curves went negative (i.e. forward price lower than spot) with 7 of 11 regions having lower mid-market levels in G20 (Feb 2020) than G19 (Feb 2019).   See SFRX20 chart (on page 9 and comparison of G19 (Feb 2019) vs G20 mid-market quotes (on page 14).

–Outright bid/ask, Intercity, and Calendar spreads expanded dramatically on uncertainty of forward HPA.  All such spreads are at historically wide levels.

–There were no options trades in 2018 after 45 in 2017.

–I am eager to facilitate an option trade as last open contracts expired.

–I’ve added a table of contents, which I’ve posted below the blog, so that you can have an idea of topics covered.

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

Table of Contents for Dec 2018 Recap:

Page/ Content

  • 5- Price Changes –last month (summary/ 3 contracts)
  • 6- Prices Changes (8 contracts)
  • 7-Volatility of Price Changes picking up
  • 8-SFR contracts following tech stocks lower
  • 9-Curve inversions/ implications
  • 10Bid/Ask Spreads
  • 11– Volume
  • 12-Open Interest
  • 13-Feb ’19 markets (2018 performance)
  • 14-G19/G20 Calendar spreads (one year forward HPA?)
  • 15-YOY forward % changes/ HCI contract
  • 16-YOY forward % changes (CHI, LAX, NYM, SFR)
  • 17-Nov ’19/’20 Candle graphs
  • 18-Calendar Spreads for HCI contracts
  • 19-InterCity Spreads (X20)
  • 20-One year puts
  • 21-OTC quotes “other 10 regions”
  • 22-Disclosure issues

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