The Feb 2013 (G13) contract will settle on Feb 26th when the Case Shiller indices for December are released. While there is limited open interest (22 contracts w/ 11 in LAV) this is an important contract to watch in the run-up to the close. Many economists and Wall Street analysts make year-to-year forecasts on projected home prices, and the settlement on the Feb. contract (the December index values) will let the world see how those 2011 to 2012 forecasts fared.
In the bar chart, bid, mid, and ask levels are shown as a percent of the current Case Shiller spot index. (There’s a clearer version -a .bmp file – in the Reports section.)
Bid-ask spreads on the Feb ’13 contracts range from 1.4 to 2.8 points. While individual spreads have been tighter during past expirations, there have been few recent trades, and limited quotes, so spreads seem a tad wider than normal.
The mid-points (as well as bids) of the 3 California contracts all are higher than last month’s Case Shiller index, while the mid-market values for the 3 Northeast regions are all lower.
The table shows some historical values for the regional Case Shiller indices (Note: some systems describe the 10-city index as CUS, some as HCI). The mid-market lelels for the Feb ’13 contract (again, the Dec. 2012 Case Shiller index value) are consistent with double-digit percentage gains in certain regions that have received a lot of press (e.g. MIA, LAV, SFR), while some quotes from other regions (e.g. CHI, NYM) are consistent with index levels being unchanged from 2011 to 2012.
Averaging the two extremes (on a weighted basis) the mid-market of the 10-city index looks to be up about 6% for the year.
While my primary interest in touting the contracts is to facilitate forward trading (and a blog on calendar spreads for Feb ’13/Feb ’14 will soon follow), there are some who like to focus on front-contract trading. The data to settle the Feb contract covers the period Oct -Dec. If there are those who would like to “get something going” in the Feb ’13 contracts (particulary in inter-city spreads) before they expire, please post levels, or feel free to contact me (firstname.lastname@example.org) to discuss ideas.