I mentioned in my month-end report (click here) that the longer-dated CUS contracts were trading 1-2 points rich to fair value. That prompted a question of “what’s fair value”.
The following table show that the CUS (10-city) index … Read More
Two weeks ago, when the Case Shiller index numbers for December were released, I mentioned that the WDC index came in dramatically lower than expected by the Feb ’12 contract prices. I noted then that the WDC index had been … Read More
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
“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
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
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
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
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
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
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