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

Recap for March – CME Home Price Index Contracts posted

I’ve posted a recap of activity in the CME Case Shiller home price index futures (and options) for March in the Reports section (or you can link here).  The report contains tables of prices, price changes, graphs of historical and forward prices, and quotes on inter-city and calendar spreads.  … Read More

CME post Feb CS #’s

This morning’s Case Shiller numbers were generally lower than where the CME market had been pricing the expiration of the Feb ’18 contract.  Recall that the Feb ’18 contracts settle on the value of the indices released today.  I would highlight as “surprises” the six index releases (in yellow) that … Read More

CME Market reaction to CS #’s (Jan 2018 release)

Quotes on CME Case Shiller home price index futures were generally higher on Tuesday, albeit with wider bid/asked spreads, following the January release of the Case Shiller #’s for November.  As highlighted in table below, the big movers were the California contracts (w/ SFR much higher, and SDG lower) and … Read More