Approaching May ’18 expiration w/convergence => CS (10-city) HPA expectations (6.4%)?

Every quarterly expiration of a CME Case Shiller home price index contract is an opportunity to remind readers about the cash settlement features of these contracts, and how quotes on the expiring contracts might be used to get a sense of “market-implied” HPAs.

For example, the table below shows (in … Read More

Mid April price updates -CME Case Shiller home price index futures

Here’s an update of quotes across the CME Case Shiller home price futures contracts from early April 16th.  I’ve posted as there’s been quite a bit of bid/ask spread compression since March 29th both by regions and across the expirations.  For example CHI bids are 6.4 points higher, while offers … Read More

Should forward HPAs converge?

I’ve compiled the following graph to pose the question, and prompt debate: should forward HPAs (i.e. annualized home price appreciation rates) converge across regions?

The graph stitches together year-on-year (YOY) price differences both between the CME Case Shiller home price index futures contracts and historical Case Shiller indices, as well … Read More