I’ve posted a recap of (the very limited) activity in the CME Case Shiller home price index futures for September. You can find the recap in the Reports section, or access here.
(I’ve also updated life-to-date volume and open interest tables. Both are in the Reports section.)
There was very limited trading in September (partially as I was traveling for two weeks) but prices moved lower -particularly in longer-dated expirations – across all regions (except LAV). For now, as I note below in the highlights, interest from third parties is concentrated in: front contracts, SFR region, and puts. As such, I’m going to start this month to shift my focus from posting continual two-sided prices on all (121) contracts to more concentrated focus on those three areas. I’ll still try to recap all prices in month-end reports. Of course, anyone can continue to post prices in any contract but best to contact me if you’d like a response to your inquiry.
Month-end highlights include:
–There were 2 futures contracts traded in September –both in SFRX18.
–There were no options trades (but multiple inquiries focused on 9-18 month, slightly out-of-the money strikes.)
–Despite low volume, there is interest from third-parties, primarily in front contracts, across the SFR expirations, and puts.
–Bids and offers were lower across all regions (except LAV and MIA). Prices for LAX and WDC were down the most.
–Bids and offers were lower across expirations with biggest declines in contracts beyond Nov 2020.
–OI on futures fell from 48 to 47.
–OI has become even more concentrated in Nov expiration cycle with all but 2 of 48 OI in Nov contracts.
-Paris contracts have not begun to trade. Index representatives will be in the NYC area in mid-November should anyone want to hear more.
Feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions on this blog, or any aspect of hedging home price index exposures.
Thanks, John