Posts tagged ‘Basics’

Basics – Spread trading (using CUS)

One way to trade Home Price contracts is on spread trades.  This allows one to trade on the eventual price difference between two contracts.   While trading spreads results in no net position (a spread trade results in a long in … Read More

Basics -Home Price quote systems (Bloomberg, etc.)

“They” say that you can’t tell the players without a scorecard.  I’ve had the question asked -where do I get a “scorecard”?  That is, how do I follow the prices on these contracts.

While this should probably fall under the … Read More

Basic -Year End Prices

Here’s a table of year-end bids and offers for the CUS Home Price futures. 

Trades on Dec 31st helped tighten up Boston quotes. 

Four contracts (BOS, CUS, NYM and SFR) now have quotes for all expirations.

The average bid/asked spread … Read More

Basics -Implied HPA using prices

Many housing economists and traders prefer to quote home price changes in terms of HPA (annualized Home Price Appreciation).  For a one-year holding period this is simply the (End Price/Begin Price)-1 expressed in percentage terms.  

For longer periods one must … Read More

Basics -Mid v Close

A number of first time visitors to trading in home price futures may be curious as to why quotes reference the “Mid” rather than the “Close” price.  After all if they are MBS traders they are used to seeing the … Read More

Basics: Marketing Piece

I’ve pulled together a short marketing piece in time for the NBEA conference and ABS EAST.  (see attached).  Readers who follow this blog should recognize most of the pages.  As my goal is to get the word out, please feel … Read More

Basics -Calendar Spreads

Calendar spreads may be a useful tool for trading or interpreting the boundaries of HPA (Home Price Appreciation) expectations.

Using the 10-city CUS contract as an example I’ve put together an illustration (some are not real prices) of a series … Read More

Basics -Hedging

I was recently reminded that for all of the discussions here on pricing, that I hadn’t shown a basic “how to hedge” example using the CME Home Price futures.  Let me rectify that with the following illustration.

The graph to … Read More

Basics -Convergence

With the expiration of the August contracts approaching, I thought that it might be useful to illustrate how convergence in the CME Home Price futures contracts as taken place in the past.

The graphs are of 1) the Nov 2007 … Read More

Basics – CUS Calculation

It might be useful to walk through the calculation of the CUS (The 10-city Nationwide) index once, as the index presents an opportunity for possible trading strategies.  To start, the table (below) lists the weights of the index and shows … Read More