Tag: trading

April month-end recap posted

I’ve posted a recap of activity in the CME Case Shiller home price index futures for April.  You can find the recap in the Reports section or view here.

Highlights of the report include:

–There were 9 futures contracts traded in April in 4 regions (HCI, DEN, LAV, and NYM) across 4 expirations.  There were no options trades.

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

–For April, bids and offers were higher across all regions with much of the move taking place after the CS #’s were released on Tues. April 24th.

–Bid/ask spreads were tighter across expirations with most of the tightening occurring in the K19 through K20 contracts.

–Net the combination of higher bids and tighter bid/ask spreads, raised 1.5-2.5 year implied HPA, albeit from very low prior levels. (My sense is that forward prices are biased lower by an imbalance of hedgers vs. natural longs).

–The front contract (K18) bid/ask spreads average 1.7 points at month-end, slightly wider than typical, given one month to expiration.   California contracts continue to be quoted at the widest b/a.

–OI on futures rose to 40 (from 33).  OI on options unchanged at 2.

–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 about this recap, or if you’d like to discuss any aspect of hedging home price index risk.

Thanks,

John

 

CME markets post today’s Case Shiller #’s

Quotes on the CME Case Shiller futures moved higher today after this morning’s release of the February Case Shiller indices.  The line “Mid-Mid change” in the table below highlights the change in prices for the 11 contracts (the Case Shiller 10-city index, and one for each of the ten composite regions) for November 2018 expiration.  Note that all contracts are priced higher (versus yesterday’s quotes).  WDC (Washington DC) is the laggard, rising only 0.6 points, while SFR (San Francisco) continues to outperform expectations, gaining 2.6 points.

Bid/ask spreads have widened as I wait for prices to settle down, and for other trades to weigh in.  As typical, the HCI (10-city index) contract has the narrowest bid/ask spread at 1.6 (along with LAV (Las Vegas) and SDG (San Diego)), while (also typically) the SFR contract has the widest bid/ask spread.

Bid/ask spreads on the front K18 contract (May 2018) average 1.5 points across all contracts with no region quoted wider than 2.0 points.

Longer-dated contracts (e.g. 2020 expirations) have seen some third-party activity, resulting in higher bids, and slightly wider calendar spreads (albeit all from very low implied HPA (home price appreciation) levels.

There was one meaningful adjustment to last month’s NYM index value, which makes this month’s gain, more modest than I first thought.

There have been two trades today to go along with six trades yesterday, for a slightly busier period.

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

Thanks,

John

 

 

Mid April price updates -CME Case Shiller home price index futures

Here’s an update of quotes across the CME Case Shiller home price futures contracts from early April 16th.  I’ve posted as there’s been quite a bit of bid/ask spread compression since March 29th both by regions and across the expirations.  For example CHI bids are 6.4 points higher, while offers are 7.4 points lower, for a net improvement of 13.4 points (when aggregated across all expirations).  So, for ten Chicago expirations with two-sided markets, that works out to tighter spreads by ~1.3 points per contract.  Other regions, such as BOS, LAV and LAX also show similar spread tightening.

Four of the five mid-expiration contracts (i.e. May 2019- Nov 2020) have also seen bid/ask spreads tighten by more than 10 points (again, when tallied across expirations with two-sided markets).  For both regional and expirations, spread tightening seems to be a function more of offers falling than bids rising.

Finally, not shown in detail,  the limited amount of higher bids is concentrated in longer-dated maturities (from May 2019 on), which has had the impact of increasing slightly, the depressed implied forward HPA (annualized home price appreciation changes).

 

Feel free to contact me (johnhdolan@homepricefutures.com) to discuss this blog, or any other aspect of hedging home price indices.

Thanks,  John

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

Quiet market reaction to Mar CS #’s

Quotes on the CME home price index futures were little changed after the release of Tuesday’s Case Shiller numbers.  The table shows prices from the Nov ’18 contract, from Mar 26th (the day before #’s were announced) and as of the end of trading on Mar 27th.    Changes in mid-market levels were flat, but some contracts were more than a point higher (e.g. LAX and SFR) and while some were more than a point lower (e.g. CHI and WDC).  

Bid/ask spreads widened Tuesday, but contracted slightly on Wednesday.

The price levels on longer-dated contracts rose slightly, but are still consistent with declining, but positive HPA out past 2020.

Trading has been quiet with only 8 trades in the last week.

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

Dec/2017-recap posted

I’ve posted a brief recap of activity in the CME Case Shiller home price index contracts to the Reports section (or you can access here).

Highlights include:

–There were 3 futures contracts traded in Dec. in 3 regions across 2 expirations.  There were no options trades.

–Volume for futures and options during 2017 (182 lots) was higher than 2015 and 2016 primarily due to increased in options trades.   That said, activity has slowed dramatically over last 3 months.

–For Dec, bids and offers generally rose across most regions and expirations (except ask side of MIA).

–Bid/ask spreads were about unchanged

–Front contract (G18) bid/ask are just under 2.0 points.

–At month-end, there were bids in all 121 contracts, and  two-sided quotes in all contracts out to Nov ‘19, and then X20.

–OI on futures and options remains unchanged at 34 and 17.

–OI remains very concentrated in November expirations (74%).

–Put writers still needed!  I sense that options trading is the way to grow volume, as strong retail preference for taking one-sided risk exposures.

Please feel free to contact me (johnhdolan@homepricefutures.com) if you care to discuss any aspect of this post (or the recap) or any other aspect of hedging home price indices.

Best wishes for a healthy, happy, prosperous 2018!

John

 

Recap of CME price moves post CS #’s

Prices on the CME home price index futures were slightly higher after this morning’s release of the Case Shiller indices.  The table below shows the market quotes on the expiring Nov ’17 contract from yesterday, versus the actual CS #’s released this morning.  I would highlight three surprises: DEN and WDC where the index values were only slightly below the bid side of the Nov ’17 contracts, and NYM which came in far above the offered side of the NYMX17 contract.  (Not only did NYM come out higher, but last month’s NYM index was revised lower, making the printed gain even more dramatic.  Note that last month’s WDC index was also revised lower by 0.52.  Absent that the WDC index value might have been within the bid/ask range of the WDCX17 contract.)

With the strong move in the NYM index, prices on contracts rose slightly (as illustrated here using the Nov ’18 contract).  (Note that the S&P contract is also up 20 points, which might bias the results).  Averaging across all expirations, bids are about 0.5 higher, while offers are  about 0.7.  Gains were largest in the BOS and NYM contracts, while CHI, DEN and WDC were marginally lower.  As typically happens, the largest moves were seen in the contracts were the reference indices produced the biggest “surprises” (in this case NYM and WDC).  I’d argue that changes versus expectations, not the size of a change, is what prompts contract prices to move.

There have been no trades today, and in fact it has been a very quiet day/ month.  I haven’t noticed any other traders placing bids and offers today.

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

Thanks,

John

 

Sept CME Case Shiller Futures/Options update -27 trades

I just posted a recap of activity during September in the CME Case Shiller home price futures (and options) contracts.    You can find the recap in the Reports section or link here.  The recap cover 27 pages and includes an updated section where information unique to each regional contract (e.g. graphs, prices, volume, open interest, implied HPA and suggested put offering levels) are presented on a separate page for each region.  (See example below).

 

The highlights of the report include:

–There were 20 futures contracts traded in Sept across 5 regions and 6 expirations on 7 dates.

–Bids and offers generally rose across most regions and expirations (except MIA), particularly after Sept 26 CS #’s.

–Bid/ask spreads tightened dramatically, particularly in longer contracts. However, spreads remain wider-than-normal in front contract (~2pts).

–There were bids in all 121 contracts, and  two-sided quotes in all contracts out to Nov ’18, and then X19 and X20.

–OI remained flat at 45 as several trades appeared to be unwinds.

–For example, close out of SFRX20 open interest led to wtd. avg.  of OI to drop from 1.20 years to 0.92.

–OI remains very concentrated in November expirations (82%).

–There were 7 option trades, again in DENG18.P2000.

Please feel free to review and share (via sending links) the recap.  Feel free to contact me (johnhdolan@homepricefutures.com) to discuss the themes addressed in this report.

 

Thanks,  John

 

 

 

CME Futures -post Sept release of Case Shiller #’s

Quotes on the CME  Case Shiller home price index futures are marginally higher this afternoon (relative to yesterday, and as measured by mid-market values) after this morning’s release of the Case Shiller indices.  The biggest gain took place in the LAXX18 contract (where there was one trade today).  DENX18 is the only contract that is lower.

Across all contracts, bid/ask spreads average about unchanged.  Bid/ask spreads in the front X17 contract now average 1.9 points.   The CUS (10-city contract) has the tightest spreads.  The SDG/SFR pair has the widest.

Year-on-year price gains in the indices (so ~HPA) were highest in BOS, LAX and SFR (not shown here).  HPA gains slowed slightly DEN.

The largest monthly revision was a downward revision of 0.24 to last month’s LAX index (making today’s increase in HPA more impressive).

Month-to-date volume is 27 contracts with 7 in options and 20 in futures.  There have been trades in 5 regions, and 5 expirations.

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trading ideas.

Thanks,  John

 

 

Recap of June CME activity posted

I posted a recap of activity in the CME Case Shiller home price futures contracts for June.    You can access in the Reports section or via this link.

The 28-page report contains numerous tables and graphs of relevant information, including a section with graphs, prices and put option quotes by region.  For example this table shows price changes (aggregated across expirations) by region, and the change in spreads (positive is tighter) by region, for contracts with two-sided markets in both May and June.

Highlights from the recap include:

–There were (at least) 13 futures contracts traded in June across 3 regions and 3 expirations on 5 dates.   (I’m missing details on one trade)

–OI grew to 51 (from 48). OI remains very front-loaded (1.20 years, average-to-expiration) and remains concentrated in the November expiration cycle (69%).

–Bids and offers generally fell across most regions and expirations.  Offers dropped on Aug ’17 contracts after the June release of CS #’s suggested that Aug contracts had been priced too optimistically.  Lower front contract prices tended to translate into even bigger drops on longer-dated contracts, thereby lowering implied HPA.

– Bid/ask spreads (on contracts that had two-sided markets in both April and May month-end) tightened slightly.

–There are two-sided bids in all contracts out to Nov ’18, but then primarily just bids (as changes in those levels drive closing prices).

–There were no options trades (but a spreadsheet of put option quotes across all regions, and for a variety of strikes,  for X17-X18 contracts was posted in a separate blog

Feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions or trade ideas.

Thanks,

John