Pricing of longer-dated contracts- imbalance or opportunity?

There’s been an ongoing inconsistency between forward prices in the CME Case Shiller futures, and the quarterly Pulsenomics survey of home price forecasts.   CME futures (at least those for 2020 and beyond) are priced at levels that appear to have a much less bullish outlook than the Pulsenomics surveys.  There … Read More

Recap of activity in CME Case Shiller futures for July

I just posted an 18-page recap of (the very limited) activity in the CME Case Shiller futures for the month of July.  There are pages with tables of recent outright prices, and price changes,  calendar and intercity spread quotes, indicative option prices, and volume and open interest (OI) figures.   The … Read More

Recap of June CME Case Shiller Futures -June 2018

A recap of activity in the CME Case Shiller home price index futures has been posted to the Reports section.  You can click here to access.  The recap includes end-of-month prices, and price changes for the last month, tables on volume, open interest, intercity spread and calendar spread markets, as … Read More

CME Markets post today’s Case Shiller #’s

Quotes on the CME Case Shiller home price futures contracts were generally higher after this morning’s release of the Case Shiller numbers for April.  The table below highlights prices from near the close yesterday versus early this morning.  There are three key highlights;

  1. Average mid-market prices rose by 0.4 for
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2018-Year end Case Shiller values/ See Feb ’19 (G19) CME contracts

The CME Case Shiller home price index futures provide a potentially useful platform for hosting the debate of “how much will home prices rise in 2018”.  That’s because the Feb ’19 contract settles on the Case Shiller index values announced that month, which are the December 2018 values with the … Read More