May CS Futures market recap posted
I just posted the May monthly trading recap for the Case Shiller futures to the Reports section here. You can also click here http://homepricefutures.com/blog/wp-content/uploads/2010/04/CS-Futures-May-31-Final.pdf to download a copy of the report.
My intent in preparing this report is to try and bring together in one report, all of the information a trader would need to review this market, at a point in time. I’m open to suggestions as to what to add/delete.
The key theme from the report is that forward prices remain bullish, but with implied HPA of ~2-3%/ year. SFR remains the most bullish market, while LAV is the worst.
I note in the report that trading volume for May reached 83, which I believe is the highest monthly level since Aug 2008. YTD volume for 2012 is already greater than all of 2011.
That said, trading has been concentrated in a few contracts and trading volume is far below what any institutional investor might require to consider hedging. However, I think that this market has reached the point where it’s fair to ask traders “OK, we’ve explained the contract specs, and quoted bid/ask spread are “reasonable”, so if hypothetically -the other side were there, would you consider buying or selling 100 (or 1000!) contracts”
My sense is -given the lack of OTC options, and the cash settlement feature of these contracts -that some traders mght say “why not”. I’ve already received block size inquiries on each side, so my hope is that the day of matching such orders is not too far away.
Anyone interested in participating in such a venture, anyone just looking to learn more about the contracts, or anyone with comments about the May report can contact me at johnhdolan@homepricefutures.com
