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
I’ve been puzzled by both the lack of trading in longer-expiration contracts and the evolving level of forward prices. The longer expiration futures allow hedges to be put in place for years -more typical of the holding period of a home – yet most trading is in the front contract. … Read More
Pulsenomics recently published their semi-annual survey of homeowners. (You can order a complementary copy here ). The 18-page report is chock-full of surveys (using great graphics) on what people think about home ownership, willingness to buy, and (importantly for traders here) outlook on prices. The survey participants are divided into … Read More
My last blog talked about which contract expirations get most of the (limited) trading. This one shows (see table below) where the tightest bid/ask spreads are (today). That’s important as the markets with the narrowest bid/ask spreads tend to be the ones with the greatest likelihood of a trade. After … Read More
In preparing to write an upcoming blog on “trading in expiring contracts” I first wanted to check to see whether my intuition that trading volume was concentrated in the front contract, was borne out by the numbers. While there is probably a more comprehensive database at the CME of all … Read More
With tighter bid/ask spread, other traders weighing in with quotes, and a clear slowdown HPA growth, differences in forward price gains across the ten CUS-10 components are starting be more evident.
The bar graph below shows CME Case Shiller futures prices translated into percent gains versus today’s spot indices. The … Read More
I get questions from time to time as to how good are the CME Case Shiller futures at forecasting eventual index levels. Let me offer two comments.
- The “forecasts” are what traders think prices might be at some point in time in the future. Therefore, as the world changes, it
In academics, it’s often taught that home prices should in the long run move in line with rents. After all (it is argued) home purchase may be viewed as akin to prepaid rent. Multiple websites (including this CNN Money page) highlight current and historical price/rent ratios. The popular “rules” … Read More
The two trends of a) tightening bid/ask spreads and b) nearly no trading early in the month, continued to play out in the first half of March. As highlighted in the table to the right, bid/ask spreads have inched in across most regions and contract expirations. Bids (aggregated across a … Read More