Quotes on the CME Case Shiller futures moved higher today after this morning’s release of the February Case Shiller indices. The line “Mid-Mid change” in the table below highlights the change in prices for the 11 contracts (the Case Shiller 10-city index, and one for each of the ten composite regions) for November 2018 expiration. Note that all contracts are priced higher (versus yesterday’s quotes). WDC (Washington DC) is the laggard, rising only 0.6 points, while SFR (San Francisco) continues to outperform expectations, gaining 2.6 points.
Bid/ask spreads have widened as I wait for prices to settle down, and for other trades to weigh in. As typical, the HCI (10-city index) contract has the narrowest bid/ask spread at 1.6 (along with LAV (Las Vegas) and SDG (San Diego)), while (also typically) the SFR contract has the widest bid/ask spread.
Bid/ask spreads on the front K18 contract (May 2018) average 1.5 points across all contracts with no region quoted wider than 2.0 points.
Longer-dated contracts (e.g. 2020 expirations) have seen some third-party activity, resulting in higher bids, and slightly wider calendar spreads (albeit all from very low implied HPA (home price appreciation) levels.
There was one meaningful adjustment to last month’s NYM index value, which makes this month’s gain, more modest than I first thought.
There have been two trades today to go along with six trades yesterday, for a slightly busier period.
Please feel free to contact me (firstname.lastname@example.org) if you have any question on this blog, or any aspect of hedging home price indices.