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

Approaching May ’18 expiration w/convergence => CS (10-city) HPA expectations (6.4%)?

Every quarterly expiration of a CME Case Shiller home price index contract is an opportunity to remind readers about the cash settlement features of these contracts, and how quotes on the expiring contracts might be used to get a sense of “market-implied” HPAs.

For example, the table below shows (in … Read More