Quotes on CME Case Shiller home price index futures were generally higher on Tuesday, albeit with wider bid/asked spreads, following the January release of the Case Shiller #’s for November. As highlighted in table below, the big movers were the California contracts (w/ SFR much higher, and SDG lower) and … Read More
The Wall Street Journal had an article Tuesday morning (see link) titled “Mortgage Break Faces Irrelevancy” which outlined possible impacts from proposed tax changes. The author (Laura Kusisto) quoted several sources each of whom suggested that, under the current proposal, fewer taxpayers would be able to take advantage … Read More
There’s have been 7 options trades this month (to go with 10 from August).
Here’s a table of my suggested offering labels. (Note table was updated for current spot values on Sept 21). Again, given the huge number of potential contracts (combining strikes, expirations, puts and calls) I’m only going … Read More
Since home prices turned up in 2012 the California markets (i.e. LAX, SDG and SFR indices) have consistently outperformed the CUS-10 index.
The graph (to the right) shows year-on-year percent changes in the CUS-index (in black) along with those for LAX, SDG and SFR. It has been a near truism … Read More
The CME Case Shiller home price index futures expire four times per year (Feb, May, Aug and Nov) settling on the index values released on the last Tuesday in month of expiration (so Nov. 28 this month). While longer-dated futures prices can be influenced by many things (e.g. order imbalance, … Read More
Much has been written elsewhere on the possible impact of a Trump Presidency on home prices. There are macro issues (e.g. mortgage rates and the fate of the GSEs) as well as possible relative value regional issues (e.g. who will benefit from increased spending on infrastructure vs. who will be … Read More
For the last two months, I’ve been writing about how quotes in longer expirations have been coming down, both on an absolute basis, as well as against front contracts. No contract reflects that trend better than SFR. In addition, I find that when you get changes in sentiment, trading volume … Read More
I’ve been puzzled by both the lack of trading in longer-expiration contracts and the evolving level of forward prices. The longer expiration futures allow hedges to be put in place for years -more typical of the holding period of a home – yet most trading is in the front contract. … Read More
The combination of three events (the end of summer, my decision to switch benchmark to Nov ’18 expirations, and the recent sell-off in the stock market) prompted me to re-think how to show summary information to anyone potentially interested in the CME Case Shiller home price index futures. This is … Read More