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

Basics _Bid Ask spreads for Case Shiller futures contracts

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

Reconciling falling SA prices with higher forward levels

Over the last few months headlines have simultaneously touted rising AND falling home prices (or at least indices).  As seen in the table below, nominal, non-seasonally adjusted (NSA) home prices have continued to grind higher (albeit at ever slower implied HPA) while seasonally-adjusted (SA) home prices index values have declined … Read More