Hello, The brokerage where I have my account offers futures, but they say they don't offer Case-Shiller futures. How does one find a brokerage where one can trade Case-Shiller futures? Thanks, -Jonathan
May. 9, 2013 by Jonathan
Jonathan, thanks for your inquiry
Two answers. 1- The two brokers listed on my home page (RJ OBrien) and Long Leaf Trading each will trade housing futures. You may want to get in touch with them. 2- Send me an email (email@example.com) with your broker's name and contact info. I'd be happy to try and break the ice/get them comfortable. Their risk management department is probably the one who see "low liquidity/exposure on reversal". I think that I might be able to help them.
Hey, Every futures market has a margin. What is the margin and how high is it for the cme housing futures market? Thanks Koen
Feb. 9, 2013 by Koen Kok
Koen -Sorry for the delay in answering your question.
The CME has a page for all margins. If you filter for real estate products you can generate a table for margins.
Net: initial margin tends to run $825-1650 and maintemance margin from $750 to 1499. From the table that looks like ~$2100 total margin for the CUS contract with notional value of ~$40,000. Much higher leverage than anywhere except FHA!
Note that these are minimums charged by the CME and that your clearing broker might require more.
Feel free to write directly to firstname.lastname@example.org if you have any more questions.
Hi I was wondering where I might be able to find historical data on the number of contracts traded monthly under CME C-S and RPX? Thanks!
Oct. 4, 2012 by Philip, Texas
I posted a chart in the Reports section that shows monthly volume for CME CS futures back through 2011.
One can get the monthly CME report on volume here:
Check some of the links on my homepage for historical RPX volume. Keep in mind that the notional value of 1 CUS contract ($250/point * ~158) is about equal to 20 RPX contracts.(20*$10/point* ~200)
hi John: Could you please post a link that lists each of the 11 sub-markets by name/locale, including CUS? Thank you--
Feb. 5, 2012
i'm still working through how to read FAQ inquiries, so I don't know when this came in. I tried to address this question earlier in the year with this blog. http://homepricefutures.com/blog/?p=1485 Please let me know if this answers your question and/or if you have any others.
Hi, Thank you for the great website to understanding Real Estate futures. I have a question about this chart http://homepricefutures.com/blog/wp-content/uploads/2010/04/Housing-_Aug-13.jpg Are there options priced that far into the future (ie Jan 2015)? Or may I reading the chart wrong? I couldn't find those prices listed on CME's data suite http://datasuite.cmegroup.com/dataSuite.html?template=hsng&category=Housing&exchange=XCME&strategyType=SP&selected_tab=real-estate Greatly apperciate any insight on this topic. Thank you, Amine
Aug. 18, 2010
Sorry for the delay in getting back to you. Good question that others have asked, and I'm preparing a blog on options to address a range or related questions. You should know (and maybe not be surprised) that most people are looking to buy options (mostly puts). Given recent experience and the nature of the underlying index, put writers can name their level.
In sum - No, there are no "listed" options that are currently quoted. I qualify my answer as options are currently structured to trade in the pit, and are not "yet" quoted electronically. As such, there have been no option trades in years. I've made some proposals to the CME to consider lising some benchmark options and they seem to be open to ideas.
In the meantime, I would approach options as a brokered product. Price discovery is by request. So if your question is beyond curiousity and you'd like to see where options might be quoted please contact me at email@example.com. Off-maket trades may be cleared on the exchange (for credit/margin) if you get something done.
I am interested in calculating the long term percentage volatility for housing pricing in florida and nationally - in the same way one would do for a stock. I am playing around with a theoretical value ofr a 30 year option on real estate prices and not trying to give special weight (no ARIMA) to recent volatility. Any iodeas? Thanks a lot
Dec. 20, 2010 by joe, illinois
Sorry for the delay. This is a very relevant, timely issue as the topic of option pricing has resurfaced. There certainly is enough data on the Case Shiller (and other indices) to run volatility (Standard Deviation calculations on Excel) on the spot index. The wrinkle (for CUS options) is the question of what is the volatility on the underlying futures (by expirations) A -the closes tend to not change much and then jump. B -Forward prices are both stable (reverting to longer-term means), while also subject to the "crack-the-whip" syndrome of changing expectations. I think that 80% of the time prices are more stable than you'd think, but 20% of the time they are subject to jumps. Doesn't sound like a straightforward BS approach would mirror home price futures vol.
I don't get it, why is open interest so low for housing futures? I think its one of the most basic things a homeowner should consider. In fact, why don't mortgage lenders educate borrowers to hedge the value of their homes?
Sorry for the delay in getting back. My New Year's resolution is to keep the FAQ page current.
I agree, and it's frustrating. One criticism that I have often heard is that homeowners don't feel that the contracts hedge the specific attributes of their house. That has lead to the evolution of a number of firms looking to offere "home price protection". If you Google the pharse I'm sure that you'll find some for your area. I plan on describing some of the plans early next year.
I see that the CS index is quoted as 170.00 but the contracts are quoted 17000. Is there a difference?
Apr. 16, 2010 by firstname.lastname@example.org
The convention is quote the contract value using 5 digits. The settlement price for the contracts is the index value released on the last Tuesday miutliplied by 100. When dicussing the index I tend to use the index conventtion (e.g. 170.0). When I discuss the futures, I use either the futures value (e.g. 17000) or the index value (170.0).
In your opinion... Specific to the Naples Florida area Real Estate Market... Where are Land/Home Prices TODAY compared to the Market HIGH of 2006-07?
Aug. 31, 2011 by Peter Spiropoulos, Naples, Florida
Sorry for getting back late.
There are others who could better opine on the value of land or home prices in Naples. Index providers who generate data at the MSA level might be useful. I've also found some vendors who will quote even more narrowly defined areas.
I can note that the MIA (Miami) index has fallen from a high of 280.87 in December 2006 (the index released in Feb. 2007) to a low of 136.99 in April 2011 - a decline of over 50%.
Let me know if you need a steer to someone with a more precise read on Naples.
Is the price of the futures contracts based solely on the Case-Shiller monthly reports? If the answer is Yes, how can it be tired to a moving average? Thank You
Nov. 30, 2010 by LEE Johnson, CA
The Case-Shiller index that is released monthly, covers a 3-month period. That is, the Nov '10 release is a function of "repeat sales" that occurred over the three month period July, Aug, Sept 2010. The Dec '10 report covers the three month period Aug, Sept and Oct 2010.
Please refer to one of my blogs in the Basics section for an illustration. http://homepricefutures.com/blog/?p=782
What kind of spread trades can be done?
Apr. 16, 2010
There are two types of spread trades: Calendar Spreads and Inter-City Spreads. See the Basics section for a description of Calendar Spread trading. An inter-city write-up will be posted shortly.
Where can I find open interest by contract?
Apr. 14, 2010
The CME publishes a daily report. Best to link to this site. BTW- there were 118 contracts open a/o July 27, 2010 at 7 A.M.
Where can I get information on CS indicies by tier?
Apr. 14, 2010
See the linked S&P site. It's a free site, but you have to register. www.homeprice.standardandpoors.com