Pre-Jan Case Shiller release

The January release of the November Case Shiller indices will be watched closely tomorrow for possible signs of future trends.

While prices over the last few months have drifted higher, some commentators have been calling for a retrenchment based on either seasonal factors or that prices have moved too fast/too soon/ given home price fundamentals.

The CME Case Shiller futures have an unusually large dispersion of forward prices (relative to spot) across the regions.  This may either reflect the growing lack of correlation across the various regions, and/or the debate about overall home prices.  The chart above shows recent historical index levels, and the bid, ask and mid-levels for the 11 Feb 2013 contracts.  It also shows the percent difference between the most recent Case Shiller index and the mid-point of the G13 (Feb) market.  Note that on the one hand the LAV mid-point is ~4.6% above the spot index, while the CHI mid-point is ~3.5% below.  Four other regions show Feb mid-points that are below spot, while four others show prices that are above (w/DEN essentially flat).  As such, traders will be looking at the Jan numbers to see if their negative or positive sentiment for the February contracts is warranted.

There should be good opportunities for trading.  Bid-ask spreads (shown inthe chart) average 2.6 points with CHI the tightest at 1.0 (although SDG was 0.6 for much of last week), and LAX the widest at 4.  In addition, there have been some inter-city spread quotes posted.  (Anyone interested in CHI verus LAV?)

With all of the focus on January numbers, I’d be very open to people sharing their expectations (before 6 PM tonight). I’ll tout the best predictions (if you want) but let the others remain anonymous.  Send your numbers to johnhdolan@homepricefutures.com if you want to be able to brag on Tuesday.