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
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;
- Average mid-market prices rose by 0.4 for
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
The quarterly expiration cycle of Case Shiller futures (traded on the CME) may be a useful tool in allowing people to compare what the market expected from home price gains versus actual index gains. For example (and as highlighted in the following table), the market prices of the SFR (San … Read More
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
I included a page in the month-end recap with suggested two-sided levels for one-year puts on each of the 11 regional contracts.
The table details on the reference K19 (May 2019) contracts, a strike I selected, and then both suggested levels (in blue) as well as quotes that have been … Read More