Very little activity on the first day of futures trading. Apparently the CME received a flurry of interest in the market--lots of phone calls and requests for information--but very few participants were willing to put their skin in the game.
There is a very real concern that this market may be so thin as to be ineffective. In fact, it may become biased and merely reflective of the prevailing sentiment in the overall housing market. Unless speculators or long-term hedgers are willing to go long, this market simply won't work.
First day's results (from the CME web site):
boston housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- ---- ---- 180.00 UNCH 180.00
NOV06 ---- ---- ---- ---- 181.60 UNCH 181.60
FEB07 ---- ---- ---- ---- 180.00 UNCH 180.00 1
MAY07 ---- 179.00B ---- 179.00B 179.00 +100 178.00
TOTAL EST.VOL VOL OPEN INT.
TOTAL 1
housing - chicgo fut
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- ---- ---- 169.60 UNCH 169.60
NOV06 ---- ---- ---- ---- 173.20 UNCH 173.20
FEB07 ---- ---- 176.00A 176.00A 176.00 -140 177.40
MAY07 ---- 176.40B ---- 176.40B 174.40 UNCH 174.40 1 1
TOTAL EST.VOL VOL OPEN INT.
TOTAL 1 1
composite housing index futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- 228.00A 228.00A 228.00 -300 231.00 1 1
NOV06 233.00 233.00 227.00 227.00 227.00 -1060 10 237.60 1 1
FEB07 231.00 231.00 231.00 231.00 231.00 -400 1 235.00 2 2
MAY07 232.20 232.20 231.80A 231.80A 232.00 -420 1 236.20 2 2
TOTAL EST.VOL VOL OPEN INT.
TOTAL 12 6 6
denver housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- 139.00A 139.00A 139.00 -20 139.20
NOV06 ---- ---- ---- ---- 141.40 UNCH 141.40
FEB07 ---- ---- ---- ---- 142.60 UNCH 142.60
MAY07 ---- ---- ---- ---- 144.80 UNCH 144.80 1 1
TOTAL EST.VOL VOL OPEN INT.
TOTAL 1 1
las vegas housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- ---- ---- 240.00 UNCH 240.00
NOV06 ---- ---- ---- ---- 247.00 UNCH 247.00
FEB07 ---- ---- ---- ---- 249.60 UNCH 249.60 1 1
MAY07 ---- ---- ---- ---- 249.80 UNCH 249.80 2 2
TOTAL EST.VOL VOL OPEN INT.
TOTAL 3 3
los angeles housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 284.20 284.20 284.20 284.20 284.20 -300 1 287.20 2 1
NOV06 ---- ---- 286.00A 286.00A 286.00 -60 286.60 3 3
FEB07 287.00 287.00 287.00 287.00 287.00 -500 1 292.00 3 3
MAY07 290.00 290.00 288.00A 288.00A 288.00 -600 1 294.00 7 6
TOTAL EST.VOL VOL OPEN INT.
TOTAL 3 15 13
miami housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 284.80 284.80 284.80 284.80 284.80 -400 1 288.80 2 1
NOV06 291.00 291.00 290.00A 290.00A 290.00 -600 1 296.00 3 3
FEB07 293.00 293.00 293.00 293.00 293.00 -100 3 294.00 5 4
MAY07 299.00 299.00 293.00 293.00 293.00 -1200 2 305.00 3 1
TOTAL EST.VOL VOL OPEN INT.
TOTAL 7 13 9
new york housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- 219.60A 219.60A 219.60 -140 221.00
NOV06 222.20 222.20 222.20 222.20 222.20 -600 1 228.20
FEB07 225.00 225.00 223.00 223.00 223.00 -1020 3 233.20
MAY07 228.00 228.00 222.00A 222.00A 227.80 -720 1 235.00
TOTAL EST.VOL VOL OPEN INT.
TOTAL 5
san diego housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 250.60 250.60 250.60 250.60 250.60 -500 1 255.60
NOV06 249.00 249.00 249.00 249.00 249.00 -300 1 252.00 2 2
FEB07 ---- ---- ---- ---- 247.80 UNCH 247.80 4 3
MAY07 ---- ---- 245.00A 245.00A 245.00 -280 247.80 1 1
TOTAL EST.VOL VOL OPEN INT.
TOTAL 2 7 6
san francisco housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- 219.00A 219.00A 219.00 -100 220.00
NOV06 ---- ---- 222.00A 222.00A 222.00 -300 225.00
FEB07 ---- ---- ---- ---- 224.80 UNCH 224.80 1 1
MAY07 ---- ---- 229.00A 229.00A 229.00 -240 231.40
TOTAL EST.VOL VOL OPEN INT.
TOTAL 1 1
washington dc housing futures
settlement prices as of 05/23/06 05:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
AUG06 ---- ---- 254.80A 254.80A 254.80 -20 255.00
NOV06 261.00 261.00 261.00 261.00 261.00 -560 1 266.60 1 1
FEB07 ---- ---- 261.00A 261.00A 261.00 -300 264.00 2 2
MAY07 266.00 266.00 265.00A 265.00A 265.00 -700 1 272.00 1 1
TOTAL EST.VOL VOL OPEN INT.
TOTAL 2 4 4
Not to concerned about the volumes out of the gate. Institutions will likely implement them after careful consideration. It will take the "retail" side of the market some time to catch on. (Many brokers are just now getting on board w/ETF's). Retail will view this as an exodus of assets out from under their management. When "managed future portfolios" hit the distribution chain their will be no stopping it. ML will figure that there is an underwriting spread to be made and then the parade of "me too" offerings. Look for Calamos (also in Chicago to likely take the lead).
Posted by: DinOR | Tuesday, May 23, 2006 at 20:09
Or should a say, "a firm like Calamos" that already has a reputation and a following, with a thirst for convertibles and derivatives etc.
Posted by: DinOR | Tuesday, May 23, 2006 at 20:14
DinOR,
Be sure to check your email. We're working out some private comments that we'd like your input on. Then I'll transfer some of that stuff here for public consumption after we vet things out a bit.
Posted by: randolfe | Tuesday, May 23, 2006 at 20:16
How are these values calculated? What do they mean? Anyone got a primer somewhere?
Posted by: SanFranciscoJim | Wednesday, May 24, 2006 at 09:57
You can find all the official CME information here:
http://www.cme.com/trading/prd/env/housingres17858.html
Posted by: randolfe | Wednesday, May 24, 2006 at 10:23
I imagine the prices will adjust until longer-dated futures are priced below shorter-dated (backwardation), then volume will pick up.
Posted by: John Liu | Thursday, May 25, 2006 at 02:23