September 2021 Snapshot - uploads-ssl.webflow.com

CME S&P Case Shiller Futures September 2021 Snapshot

John H Dolanwww.homepricefutures.com

[email protected]

OverviewObjective• The purpose of this monthly report is to compile information from a

variety of sources into one place, at a point in time, to facilitate the understanding, analysis, awareness, and hopefully trading of the CME Case Shiller Home Price futures (and options) and other housing derivative products. Feel free to contact me if you have an ideas for an outright trade, calendar spread, option or inter‐city theme.

Market Color/Discussion• Resources: www.homepricefutures.com • Market Updates: Twitter @HomePriceHedges – changed.• LinkedIn: There is a CME Case Shiller home price futures group, but I use

Twitter and blogs more often.• Note: Almost all of the bid/ask quotes that are used here are my record of

end‐of‐trading day prices, and thus may differ from CME closes and quotes, which are tallied an hour earlier.

• I use CUS and HCI interchangeably for the 10‐city index. Different trading platforms use different symbols. Sorry for any confusion.

• Based demand for hedging products for other regions I recently launched Home Price Hedging Fund https://www.homepricefutures.com/hphfContact me with any interest in hedging Top 50 cities.

www.homepricefutures.com2

Observations for Sept. 2021• Trading/Quotes/Spreads/Activity:

– This is my first recap after taking the summer off. I’d like to bring a new energy to facilitating trades. DM w/ ideas, inquiries.

– In September, 26 lots traded across 8 regions and 3 expirations. – Prices rose dramatically throughout the summer and September.– Bid/ask spreads tightened by large margins in key markets (X21, G22)

primarily through higher bids (except in WDC), but in some cases lower offers. (e.g. bid/ask spreads on G22 were > 10 points in July).

– Trading during the summer was highly concentrated in the front contracts (now X21 and G22), and so I’ve focused on making tighter markets there, rather than having quotes in all contracts. Only recently, I’ve teed up calendar spreads (G22/G23) to prompt discussion on 2022 HPA.

– I’ve also focused on IC (intercity) spread quotes for Feb ‘22 to promote discussion of relative forward performance across regions. DEN, LAV, MIA, SDG and SFR are priced to outperform HCI, while CHI and WDC are priced to lag.

– Please feel free to DM me on ideas for trades on any of the above [email protected]


Price Changes/ Sept 30 v June 30

www.homepricefutures.com 4

• Bids were higher across all regions and expirations (except WDC). • Bid/ask spreads were tighter in key expirations.• Price changes for regional contracts – for three active expirations –shown

on next page.

.

Bid Ask Change* Δ Δ Δ Bid Ask

CUS 52.8 10.2 42.6 X21 98.8 ‐52.2 151.0BOS 8.0 ‐19.6 27.6 G22 133.8 ‐22.6 156.4CHI 6.8 ‐14.6 21.4 K22 10.4 1.0 9.4DEN 26.0 5.4 20.6 Q22 0.0 0.0 0.0LAV 36.8 4.0 32.8 X22 14.2 8.0 6.2LAX 22.2 ‐4.0 26.2 G23 10.0 4.0 6.0MIA 43.4 11.6 31.8 G24 0.0 0.0 0.0NYM 7.6 ‐18.4 26.0 G25 0.0 0.0 0.0SDG 37.0 4.0 33.0 G26 0.0 0.0 0.0SFR 29.0 ‐14.0 43.0 WDC ‐2.4 ‐26.4 24.0

267.2 ‐61.8 329.0 267.2 ‐61.8 329.0*Change ‐only for 2‐sided mkts

www.homepricefutures.com

CME S&P Case Shiller Home Price Futures: Sept 30 v June 30

*‐ These prices are my best effort to collect end‐of‐day data and are not actual closing CME bids and offers.

Price Changes


CME Case Shiller Price Changes: Sept 30 v June 30 Bid Ask Bid Ask

3 Bid Ask Bid Ask Δ Δ 3 Bid Ask Bid Ask Δ ΔBOS MIA

BOSX21 282.4 286.2 279.6 298.0 2.8 ‐11.8 MIAX21 319.0 323.6 300.0 321.0 19.0 2.6BOSG22 288.2 293.2 283.0 301.0 5.2 ‐7.8 MIAG22 328.4 333.0 304.0 324.0 24.4 9.0BOSG23 300.0 307.2 289.0 11.0 MIAG23 333.0 348.0 306.0 27.0

CHI NYMCHIX21 169.0 172.0 165.2 180.6 3.8 ‐8.6 NYMX21 244.0 246.8 240.0 253.0 4.0 ‐6.2CHIG22 170.0 174.0 167.0 180.0 3.0 ‐6.0 NYMG22 249.6 253.8 246.0 266.0 3.6 ‐12.2CHIG23 173.8 181.0 170.8 186.8 3.0 ‐5.8 NYMG23 252.8 264.2 250.0 2.8

DEN SDGDENX21 288.6 292.6 277.6 291.0 11.0 1.6 SDGX21 364.0 369.0 349.0 375.0 15.0 ‐6.0DENG22 297.0 301.8 282.0 298.0 15.0 3.8 SDGG22 375.0 382.0 353.0 372.0 22.0 10.0DENG23 306.0 316.8 290.0 311.0 16.0 5.8 SDGG23 387.0 402.0 363.0 24.0

LAV SFRLAVX21 252.0 256.0 235.2 254.0 16.8 2.0 SFRX21 344.2 347.0 334.0 356.0 10.2 ‐9.0LAVG22 259.0 264.0 239.0 262.0 20.0 2.0 SFRG22 353.8 359.0 335.0 364.0 18.8 ‐5.0LAVG23 263.6 276.6 246.2 17.4 SFRG23 364.8 377.0 342.0 22.8

LAX WDCLAXX21 364.0 369.0 355.0 371.0 9.0 ‐2.0 WDCX21 286.0 290.0 287.0 300.0 ‐1.0 ‐10.0LAXG22 372.2 377.0 359.0 379.0 13.2 ‐2.0 WDCG22 290.6 295.6 292.0 312.0 ‐1.4 ‐16.4LAXG23 378.0 395.0 370.0 8.0 WDCG23 297.2 307.6 295.4 1.8


283.68

241.86

355.33

358.50

310.50

338.68

283.18

246.36

278.01

168.10

Bid/Ask Spreads


• Tightest two bid/ask spreads (by expiration) in green/ widest two in red.– Bid/Ask spreads were tightened during the summer, with a focus on X21 and G22

contracts. X21 B/A spreads are close to historical norm w/2 months to expiration.– G23 contracts are quoted, but primarily via calendar spreads (vs. G22).– Quoted spreads are often posted GTC markets for 1x1 (one bid vs one ask) so that I

can leave them open for hours at a time without constant monitoring. DM to discuss better prices, or increased sizes.

– I don’t intend to fill out the G24, G25, and G26 contracts until requested, as I believe that intermediate term debates should be focused on G23. (That said, I’m happy to facilitate inquiries on longer‐term expirations).

6

AvgCUS BOS CHI DEN LAV LAX MIA NYM SDG SFR WDC

Nov '21 X21 3.0 3.8 3.0 4.0 4.0 5.0 4.6 2.8 5.0 2.8 4.0 3.8Feb '22 G22 4.0 5.0 4.0 4.8 5.0 4.8 4.6 4.2 7.0 5.2 5.0 4.9May '22 K22 8.0 8.0Aug '22 Q22 Nov '22 X22 5.8 12.0 8.9Feb '23 G23 9.0 7.2 7.2 10.8 13.0 17.0 15.0 11.4 15.0 12.2 10.4 11.7Feb '24 G24 Feb '25 G25 Feb '26 G26

BID/ASK Spread

Forward Curve

• Forward curves (i.e. X21, G22) are slightly above spot, but solidly above levels from 2020 year‐end. (HCI/10‐city index shown here, but DM me for curves on ten regional contracts).

• Short expiration curves have most of the steepness, but I recently widened G22/G23 calendar spreads, putting more slope in that part of the curve.


Trading Activity: Sept/Rolling-12 mon


• In September 26 lots traded across eight regions and in three expirations. • Rolling 12‐month tallies are lower as busy months of Feb‐April 2020

(when margin increases, change of contract expirations, market reaction to Covid lead to trading surge) rolled off from 12‐month totals.

• Majority of trading, and third‐party interest was in front two contracts..

Contract Sept Trailing 12 Region Sept Trailing 1226 132 26 132

X20 0 4 HCI 5 45G21 0 20 BOS 0 1K21 0 15 CHI 3 7Q21 0 3 DEN 6 14X21 7 14 LAV 0 5G22 17 58 LAX 1 8K22 0 0 MIA 3 7X22 0 11 NYM 0 3G23 0 0 SDG 1 11G24 2 7 SFR 4 26G25 0 0 WDC 3 5TBA 0 0 TBA 0 0

CME Case Shiller Trading Futures

2013 2014 2015 2016 2017 2018 2019 2020 2021Jan 8 15 8 9 25 9 3 16 15Feb 7 21 4 8 8 3 2 27 8Mar 26 10 12 2 13 9 42 79 7Apr 11 14 14 14 5 9 19 50 21May 17 52 6 16 12 7 3 13 10June 4 2 2 3 13 15 2 21 11July 18 2 5 9 6 5 10 9 4Aug 12 19 5 5 18 8 9 18 20Sept 29 1 3 11 22 2 19 16 26Oct 68 15 9 17 9 22 19 2Nov 23 10 15 46 2 11 14 2Dec 7 5 10 7 3 10 6 6Total 230 166 93 147 136 110 148 259 122

Running 12 132

Contracts Traded By Month

Volume: CME S&P Case Shiller

Open Interest (OI)• OI rose from 40 to 42. • There is OI for each

region. • Four expirations (K22,

Q22, G25 and G26) have no OI. That’s fine with me, as I’d like to focus trading where there has been interest, and/or where quotes help drive prices in other markets (e.g. X21, G22, G23)


Contract BOS CHI DEN HCI LAV LAX MIA NYM SDG SFR WDC TotalNov 21 1 2 1 2 1 1 8Feb 22 1 1 5 4 2 2 2 1 4 4 2 28May 22 0Aug 22 0Nov 22 0 3 1 0 0 0 4Feb 23 0 1 1Feb 24 0 1 1Feb 25 0Feb 26 0

SUM 1 1 6 10 2 4 4 2 4 5 3 42

Average Expiration (yrs) 0.51

10/1/2021

2013 2014 2015 2016 2017 2018 2019 2020 2021Jan 109 89 63 44 53 36 54 24Feb 89 86 57 37 54 37 49 19Mar 102 95 64 37 66 33 56 41 21Apr 109 107 71 51 69 40 59 42 29May 85 88 57 42 48 35 45 34 25June 85 88 58 43 51 39 45 35July 96 89 58 44 51 36Aug 83 77 49 36 61 48 45 42 40Sept 105 78 42 45 47 53 49 42Oct 149 85 52 46 51 49 60 50Nov 81 54 35 38 34 32 53 27Dec 85 57 40 41 34 37 54 25

Open Interest: 2013-2021

1-Yr (G22/G23) Calendar Spreads


• Calendar spreads are a way to express a view on forward HPA without taking an outright view.

• Any debate about a “turn” in home prices should focus on price gains between year‐end 2021 and 2022 (which the G22 & G23 contracts might pick up.)

• Price differencesconsistent with 2.5‐5.5% gains in 2022.

‐Calendar spreads (orange/green) converted into % HPA change (right), which tend to bracket mid/mid‐market‐implied YOY HPA.‐Spreads quoted front contract vs. back, so higher forward prices =negative #’s

10

Spot

$$ Bid/ Ask

% Bid/Ask

Last 12 %

Bid Ask Mid Bid Ask Bid AskHCI HCIG22 295.0 299.0 297.0 ‐14.0 ‐9.0 5.0 4.7% 3.0% 1.7% 19.1%

284.74 HCIG23 304.0 313.0 308.5 BOS BOSG22 288.2 293.2 290.7 ‐14.0 ‐9.0 5.0 4.8% 3.1% 1.7% 18.7%

278.01 BOSG23 300.0 307.2 303.6 CHI CHIG22 170.0 174.0 172.0 ‐7.0 ‐3.8 3.2 4.1% 2.2% 1.9% 13.3%

168.10 CHIG23 173.8 181.0 177.4 DEN DENG22 297.0 301.8 299.4 ‐15.0 ‐9.0 6.0 5.0% 3.0% 2.0% 21.3%

283.18 DENG23 306.0 316.8 311.4 LAV LAVG22 259.0 263.8 261.4 ‐12.6 ‐6.6 6.0 4.8% 2.5% 2.3% 22.4%

246.36 LAVG23 263.6 276.4 270.0 LAX LAXG22 372.2 377.0 374.6 ‐17.0 ‐10.0 7.0 4.5% 2.7% 1.9% 19.1%

358.50 LAXG23 378.0 395.0 386.5 MIA MIAG22 328.4 333.0 330.7 ‐15.0 ‐8.0 7.0 4.5% 2.4% 2.1% 22.2%

310.50 MIAG23 333.0 348.0 340.5 NYM NYMG22 249.6 253.8 251.7 ‐10.4 ‐5.2 5.2 4.1% 2.1% 2.1% 17.8%241.86 NYMG23 252.8 264.2 258.5 SDG SDGG22 375.0 382.0 378.5 ‐20.0 ‐12.0 8.0 5.3% 3.2% 2.1% 27.8%

355.33 SDGG23 387.0 402.0 394.5 SFR SFRG22 353.8 358.8 356.3 ‐18.0 ‐11.0 7.0 5.1% 3.1% 2.0% 22.0%

338.68 SFRG23 364.8 376.8 370.8 WDC WDCG22 290.6 295.6 293.1 ‐12.0 ‐7.0 5.0 4.1% 2.4% 1.7% 15.8%283.68 WDCG23 297.2 307.6 302.4

Outright Markets/ spot

Calendar Spreads:

$

Calendar Spreads: Implied

G23 G23

Inter-City (IC) G22 Quotes• A note: I’ve interpreted IC $‐

spreads to implied % gains vs. spot. Negative % (e.g. DEN, LAV, MIA,SDG, SFR) indicates regional contract priced to outperform 10‐city contract (HCI). Positive % (e.g. CHI, WDC) indicates contract priced to underperform HCI.

• Regional IC spreads (e.g. LAX v SDG) may also be quoted (but not shown).

• IC spreads can be helpful in populating multiple quotes, but they only work if HCIG22 has many quotes. Help there is always appreciated.

www.homepricefutures.com 11March 20:https://www.homepricefutures.com/posts/a-review-of-intercity-spreads-in-cme-case-shiller-futures

DiffIndex Spot Exp Bid Ask

Front HCI 284.74 G22 4.0 8.0 4.0Back BOS 278.01

-1.1% 0.3%Front HCI 284.74 G22 121.0 129.0 8.0Back CHI 168.10

0.1% 3.9%Front HCI 284.74 G22 -4.4 -0.4 4.0Back DEN 283.18

-2.1% -0.7%Front HCI 284.74 G22 35.0 39.0 4.0Back LAV 246.36

-2.1% -0.5%Front HCI 284.74 G22 -78.0 -75.0 3.0Back LAX 358.50

-0.2% 0.7%Front HCI 284.74 G22 -34.6 -30.6 4.0Back MIA 310.50

-2.4% -1.1%Front HCI 284.74 G22 44.0 48.0 4.0Back NYM 241.86

-0.4% 1.2%Front HCI 284.74 G22 -83.0 -79.0 4.0Back SDG 355.33

-2.5% -1.4%Front HCI 284.74 G22 -61.4 -57.4 4.0Back SFR 338.68

-1.5% -0.2%Front HCI 284.74 G22 2.2 6.2 4.0Back WDC 283.68

0.4% 1.8%

InterCity

DisclosuresRisk Factors/Disclosure• This report was prepared by an independent market maker of the CME Case

Shiller futures contracts. The views expressed are his own and should not be construed to represent the views of the CME, S&P , CoreLogic, or any other entity.

• The author makes no representations as to the accuracy or completeness of any information contained in this report.

• The information gathered was at a point in time. The bids/offers described here are dated and may not exist in the current market.

• The quotes shown are for a minimum of one lot. There is no guarantee as to the depth of the market, not is there any guarantee that an on‐going bid/ask spread will be made in every market.

• The observations made herein is for informational purposes and should not be considered investment advice nor a recommendation to trade futures. Futures trading may be risky and one should consult a futures broker before trading.

• The indices that these contracts reference may be subject to revision. One should not trade these futures without a through understanding of factors that might impact the indices.

• The author will not be liable for any errors or omissions in this information, nor will the author be liable for any losses, injuries, or damages

• As market‐maker the author may have positions, bids or offers in any of the futures discussed.


Documents

September 2021 Snapshot - uploads-ssl.webflow.com