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

Should forward HPAs converge?

I’ve compiled the following graph to pose the question, and prompt debate: should forward HPAs (i.e. annualized home price appreciation rates) converge across regions?

The graph stitches together year-on-year (YOY) price differences both between the CME Case Shiller home price index futures contracts and historical Case Shiller indices, as well … Read More

Recap for March – CME Home Price Index Contracts posted

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