Last week I wrote about how one might construct a Principal Protected Put (“PPP”) (thank you PW) to buy protection for a downside move in a home price index, at the cost of foregoing income. Today, I’d like to highlight the opposite strategy, where one might accrue a higher coupon, … Read More
How would you like to buy a product where: a) you participate if home price indices fall below current levels, and b) you’re guaranteed to get all your upfront money back if they don’t?
A number of factors have changed to (financially) allow the creation of a principal protected put … Read More
Quotes on CME home price index futures are marginally lower this morning after today’s release of Case Shiller numbers for the period ending June 30. Index values fell outside the bid/ask spread from yesterday’s prices on the expiring Aug 2018 (Q18) contract in 7 of the 11 regions. (Recall that … Read More
The August 2018 (Q18) contracts will stop trading on Monday Aug 27 at 3 PM Eastern (note one hour before other contracts), and will be cash-settled on the Case-Shiller index values released by S&P on Tuesday Aug 28. Recall that this August release of CS #’s covers the period April, … Read More
I often use reader inquiries as prompts for blogs. This week was no different in that I received a question on how might hedging condo price risk differ. That lead me to reviewing some of the information posted on S&P websites.
It turns out that there are S&P Case Shiller … Read More
There’s been an ongoing inconsistency between forward prices in the CME Case Shiller futures, and the quarterly Pulsenomics survey of home price forecasts. CME futures (at least those for 2020 and beyond) are priced at levels that appear to have a much less bullish outlook than the Pulsenomics surveys. There … Read More
I just posted an 18-page recap of (the very limited) activity in the CME Case Shiller futures for the month of July. There are pages with tables of recent outright prices, and price changes, calendar and intercity spread quotes, indicative option prices, and volume and open interest (OI) figures. The … Read More
Quotes on CME Case Shiller home price index futures are slightly lower after this morning’s release of index values for the period ending May. The table below highlights changes from yesterday across the X19 (Nov 2019) expirations. Note (in Mid-Mid change line) that the LAX and NYM futures are about … Read More