Recap of CME Case Shiller futures -May 2018

I posted a recap of activity in the CME Case Shiller home price index futures for May that can be found in the Reports section or accessed here.  The report has pages with graphs of prices, tables of price changes and trading volume,  information on calendar and intercity spreads, and quotes on selected options.

The summary points include:

–There were 7 futures contracts traded in May in 2 regions (SFR and WDC) across 4 expirations.  There were no options trades.   (Note that there were 5 trades on June 1 –all in SFR).

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

–For May, bids and offers were higher across all regions with much of the move taking place after the CS #’s were released on Tues May 29th.

–Bid/ask spreads were tighter across expirations with most of the tightening occurring in the longer-dated contracts.

–Similar to last month,  the combination of higher bids and tighter bid/ask spreads, continued to raise 1.5-2.5 year implied HPA, albeit from still very low prior levels.

–Some pages (including Calendar spreads) are listed as needing to  be updated on Mon June 4th, when markets are open.

–Bid/ask spreads on the  (new) front contracts (Q18) average 1.7 points at month-end, slightly wider than typical, given one month to expiration.

–OI on futures fell to 35 (as 6 May’18 contracts expired).  OI on options unchanged at 2.  (I’m eager to facilitate trades in zero OI sectors).

–A new home price index futures contract for Paris will be rolled out this fall.

Please feel free to contact me (johnhdolan@homepricefutures.com)  if you have any questions about this recap, these markets, or anything related to the topic of hedging home price indices.

Thanks, John