Reaction of Prices at CME post Jan release of Case Shiller #’s

Quotes on CME Case Shiller home price index futures are higher across the board after this morning’s release of the November Case Shiller #’s.

Using the Nov ’17 contract (X17) as a proxy, mid market prices are up from 0.4 (in LAV and MIA) to 1.2 (BOS) and 1.7 (NYM).  The price changes seem to be consistent with the gain in seasonally adjusted values for the indices (as both BOS and NYM seasonally adjusted index values were up over 1 percent from the prior month).  Gains are slightly higher in shorter expiration contracts (e.g. BOS Feb ’17 (G17) is bid 2.6 points higher.)

Bid/ask spreads are slightly wider with most spread widening occurring in Nov ’17 expirations and longer.  Bid/ask spreads on the front contract (G17) average 1.9 points, which is relatively wide with one month to go.

There were 15 trades yesterday (primarily in CHI and SFR contracts, and with a large share in the K17 expiration), but as of 11:30 EST (Tuesday) there have been no trades today.  With 23 trades month to date, Jan ’17 looks to be the second highest volume since May 2014.

Recall that electronic trading for options for all regions starts on Mon. Feb 5.  I, unfortunately will be traveling, so I hope to get involved the next day.

Please feel free to contact me (johnhdolan@homepricefutures.com) if you have any questions about this blog or any aspect of hedging home prices.