Archive for May 2010
With the expiration of the May contract open interest has declined to less than 100 contracts – although three new positions were added with trading from Tuesday May 25th.
The distribution of open interest by “city” and contract maturity is:… Read More
While much of the theoretical value of a home price futures contract is to provide longer-term hedging or investment opportunities, the evidence from the expiration of the May 2010 contracts shows that there are trading opportunities right up to the … Read More
The S&P Case-Shiller Home Price Index numbers were released this morning. Here’s a link: http://img.en25.com/Web/StandardandPoors/CSHomePrice_Release_1_6073.pdf
In general, home prices were down slighly since Q4 2009 but up from one year ago. (Please see article for S&P commentary.)… Read More
Open Interest in the CME Home Price futures contracts has been holding steady over the last few months and appears, by my calculations, to tally just over 100 contracts. 
Three of the 11 contracts (Chicago, Washington, and the 10-city Index) … Read More
Across the ten “city” indices, only prices from the Las Vegas contract indicate higher forward prices over the near future. Bids of 105 in May ’11 and 110 in Nov ’11 (a/o May 17) are both higher than the spot … Read More
A good way to learn how CME Home Price futures contracts work is to watch as the front contracts reach expiration. Recall that the contracts have settlements in the current year at 3-month intervals (Feb, May, Aug, Nov) and that … Read More
The question has frequently been asked – what specific geographic exposure am I getting when I buy the New York, Miami, San Fran, or any other contracts.
Page 8 of the S&P/Case-Shiller Home Price Indices Methodology report (found in the … Read More
The research team at JPM put toghether a thoughful, analytic approach to modeling forward home prices under five different scenarios. I show one of their best graphs here which shows how dependent forward home prices are on the economic environment. … Read More
If you look at the CME Website for prices (see link) you’ll see a pulldown menu for quotes for either calendar spreads or inter-city spreads across all 11 indices.
The calendar spreads are useful for expressing views about the … Read More
How does the CME post closing prices on 11 home price contracts (the 10-city index and the 10 individual regional prices) over 10-11 expirations so quickly after the close? They have a rules-based methodology that they follow, that sometimes generates … Read More
