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
With the August 2016 contract expiring next week (trading stops 3 PM New York on Monday, valuation as of Tues Case Shiller #’s 9:15) it may be useful to recap the (quarterly) expiration process.
The table below has the Case Shiller index history for 3 months (June, July, and August … Read More
One of key features of using CME Case Shiller housing futures to infer home price expectations, is that in the long run the settlement price of the contract, that is, at expiration, is the index value released that month. For example, the current front Feb 2016 contract will stop trading … Read More
While most of my blogs have focused on the Case Shiller futures contracts, there are option contracts listed on the CME that can be traded. However, I’m not aware of any volume since 2014. Recently though, I’ve been receiving a number of inquiries from individuals looking to hedge their home … Read More
Most recently edited March 2, 2016
I’ve been receiving an increasing number of inquiries from people who, probably for the first time in a few years, (maybe given what’s going on in the stock market) want to explore hedging.
I’d encourage you to read both the Case Shiller Futures -Introduction, … Read More
I had a question from a reader that reminded me that the schedule for rolling out of new contracts may not be intuitive to those that don’t follow the contract every day. There are 11 expirations in the CME Case Shiller housing contracts, and when one rolls off, it is … Read More
Intercity spreads (IC) are a way to express a view on the relative price moves between two regions for the same expiration. They can be handy trading tools if one has conviction on the future performance of one region versus another, but where the trader doesn’t want to take as … Read More
I just got the answers that I was looking for in response to a reader’s question on how to tie out the CUS 10 index valuation using the recently announced new weights. The net impact of this corrected approach- this month- was a lower CUS index than a simple weighted … Read More
It seems that a growing numbers of commentators are becoming ever-louder in their bearish views. Yet few give their readers any practical advice as to how to put this “knowledge” to work. Are they suggesting that people sell their houses and rent? I’m not suggesting that the pundits are wrong … Read More