Potential home buyers could've used CME Case Shiller home price index futures to hedge against the risk that the income needed to afford a home might rise between Jan 2020 and Jan 2024.

Trying to assess the basis risk between a national index and those of 100 metros led me to three simple observations.

I've revised my single-contract template to include more information. Implied HPA gains, calendar spread quotes, a measure of index gains, and the change in the value of the contract since year-end 2022 have all been added.

Users can play the "Home Prices in 2024" debate in a variety of fashions. The benchmark CME Feb '24/'25 calendar spread has moved from +10 (Feb '24 higher than Feb '25) to near flat.

Zillow's most recent update to their 12-month HPA forecasts provides an opportunity to revisit my thesis that longer-dated CME futures tend to clear at a discount to expectations.

Here's my forecast for the Case Shiller indices for Aug 29th release, as well as markets (from Aug 15th) for the ten metros that are referenced by CME contracts. Note that I've also listed a set of quotes for the second ten metros (e.g. Phoenix, Dallas) not referenced by CME contracts.

April saw massive price gains in the CME Case Shiller futures, demand move from 2024 to 2023, and flipped the contracts with most negative sentiment into the biggest winners.

A review of calendar spreads and how users might use them to express a view on whether home prices will be higher/lower in Dec 2024 vs Dec 2023.

A rate instance where every region and expiration has a two-sided quote (from Feb 2023-Feb 2027).

I've posted two templates to allow users to see stale prices on the CME Case Shiller home price index futures, and to see how such prices can be converted into useful information (e.g. implied YOY % differences).

This blog has a summary of some of the things that I've been working on (e.g. filling out quotes in longer-dated expirations, InterCity spreads) as well as the introduction of an "Axe" page, where users can share areas that they'd like to add/reduce exposure.

Trading activity in the CME Case Shiller home price futures regional contracts during 2022 showed how expectations changed dramatically, not only at a absolute level, but between regions. Whether or not current underlying home price fundamentals are captured in current quotes is an open question.

A graph of CME Case Shiller futures on the HCI/CUS(10-city index) contracts during 2022 can be useful in illustrating several lessons on how users might interpret what the prices suggest.

Many claim that home prices will fall, and that they are waiting to buy where prices are 20-25% off their peaks. Why wait, as you can access that exposure today (in a more liquid, granular format) using the CME Case Shiller home price index futures?

The CME Case Shiller home price index calendar spreads allow users to express views on the magnitude and timing of the current sell-off in home prices. For now, the contracts are priced for a decline in prices for 2023 but a (smaller) gain in 2024. You're welcome to join the debate!

Quotes on CME Case Shiller futures were much lower following today's update of the index values.

I'm back from vacation, am plowing through past emails and third-party research, but wanted to share a new way of looking at forward clearing levels on regional contracts.

Trading for the last year has been concentrated in the 10-city index contracts, and in the February expirations -which is exactly where it should be given the volume traded here.

What should happen when sellers take clearing prices to discounts to spot? What opportunities does this present to natural longs? What happens to home equity monetization programs?

I will miss the Tuesday May 31 index update, as I'm traveling. I'll be back at my desk on Wednesday.

I've borrowed the concept of HPHF Ratio Agreements to better illustrate how IC spreads can be converted into more transparent forward views on relative performance of home price indices to some futures points in time.

I've posted a recap of activity in the CME Case Shiller home price index futures for December. Prices were mixed, bid/ask widened slightly, and curves flattened.

I'm on vacation Dec 24-31. There may be many fewer quotes, but I am planning for a renewed effort in 2022.

I've posted a recap of activity in the CME Case Shiller home price index futures for November. In addition, I've framed a template for those looking to express a view on HPA (Home Price Appreciation) for 2022.

This quarterly recap of the expiring Case Shiller home price index contracts highlights two themes: one that users have to be careful in which data sources they use, and two that the Nov '21 contracts are priced as if nominal price MOM changes will be flat, in several regions.

The Case Shiller index values released Tuesday morning were higher than "expectations" from the expiring Nov 2021 contract. In 7 of the 11 contracts, the index values fell outside the bid/ask quote from the day before. Longer-dated contract prices increased.

NAR members enjoying their annual conference might allocate ten minutes to developing an appreciation of the concepts behind home price index hedging. It might help them, and their clients.

Care to debate HPA for 2022. Consider using CME S&P Case Shiller home price index calendar spreads. The current market is consistent with ~2.5-4.0% HPA.

I've posted an update to activity in the CME S&P Case Shiller home price index contracts for October. This was the first month this year, that futures prices slipped.

Prices on CME S&P Case Shiller home price futures slid after today's release of Case Shiller indices. YOY gains for 2021 (measuring the index released in Feb 2021 with the mid-market quote on the Feb '22 contract) remain strong.

CME Calendar spread trades are one way that readers can express a view on either nationwide HPA for 2022, or on each of ten regions.

I've posted a recap to activity in the CME Case Shiller home price index futures for September.

More trades took place in the CME Case Shiller home price index futures, and for the first time in recent memory bids were hit.

The CME Case Shiller home price index futures seem to have awoken from their (one-sided) summer doldrums. There were 15 trades today across several regions. That resulted in tighter bid/ask spreads. I don't know whether this was someone's "New (school) Year's Resolution" or whether the debate on home price topping has been reached, but I'm open to facilitating any inquires.

As the August CME Case Shiller home price index futures approach expiration, there's been some trading and tighter markets. Here's an overdue update on what's going on.

Quotes on CME Case Shiller home price index futures soared on Tuesday after the monthly release of updated indices.

I've posted a recap of activity in the CME Case Shiller home price index futures, for the month of April.

I'm dusted off an old tool -candle bar diagrams -to convert bids and offers on forward prices into percentage gains (or losses) to make comparisons across contracts with wildly different notional values, a bit easier.

I've posted a recap of activity in the CME Case Shiller home price index futures for February.

This morning's Case Shiller index updates were in line with quotes on the expiring (Feb '21) CME Case Shiller futures contract. Longer-dated market were up a small amount today in light trading.

I've posted a set of graphs on the ten regional CME Case Shiller home price index graphs, that show the gains from last year, and forward prices. My standard illustration has been modified to also include suggested levels on options, to be written with HPHF OTC agreements.

Year-end Freddie Mac home price index numbers have been posted, which allows me: 1) to settle open HPHF agreements, and 2) offer updated quotes on one- and two- year forward agreements. DM to discuss.

The Jan 2021 recap of activity in the CME S&P Case Shiller home price index futures has been posted. Volume was only 12 contracts. Prices rose and bid/ask spreads tightened as third party interest increased. Option quotes and an offer to post levels on other cities, are included in the recap.

CME Case Shiller home price futures had little reaction to today's release of November numbers. Bid/ask spreads contracted on price discovery from a handful of trades, and quiet markets.

For anyone looking to express a view on Paris home prices, but who (possibly as a US citizen) is frustrated by the challenges of accessing the Euronext Paris contracts, I'm offering an OTC version of that contract, denominated in dollars.

Quotes on the CME Case Shiller home price index future surged after another strong month, with most of the gains in the 2021 contracts. Prices in the benchmark G22 contract were up 3-6 points. Bid/ask spreads are wider but I'll try to narrow them (somewhat) by year-end.

Once again, the release of a Pulsenomics home price forecast survey, seems to reinforce my belief that CME Case Shiller futures trade at a discount to expectations.

This morning's Case Shiller indices resulted in higher CME Case Shiller home price index futures throughout the day. CHI and NYM indices were much higher than the offered side of the expiring Nov '20 contracts, but both indices had substantial revisions from the last month.

With so many readers leaning toward more bullish outlooks, I suspect that they see little reason to hedge. Therefore, I've posted a set of quotes for Calls on the regional indices that constitute the Case Shiller 20-city index. Feel free to review, comment, and propose ideas.

Prices of CME Case Shiller home price index futures popped today (Tuesday Oct 27) after the monthly indices were updated.

I'm introducing new OTC options agreements on Case Shiller home price indices. The purpose of this program is to provide a hedging instrument against declines in home price indices, over a relatively short horizon (i.e. <2 years) that does not require the sale of the house to monetize gains. The agreements will be similar to the products that the CME stopped trading (e.g. cash settle) but will provide a cap on coverage. Keywords: bear, housing, real estate, crash, forbearance, foreclosure, options, puts, calls.

Quotes on the CME Case Shiller home price index futures have been moving higher, but on very limited volume. Home Price fundamentals (e.g. low inventory, low mortgage rates, increased wealth as stock market rallies) remain strong. Uncertainty (e.g. who will be the President, whether a vaccine will be created, COVID relief, and rules about forbearance) should all be more clarified in the next 30-45 days. All such themes seem to support higher home prices.

Prices on CME Case Shiller home price index futures rose in September, particularly in the two front contracts- Nov '20 (X20) and Feb '21 (G21). In addition there were many fewer quotes, and bid/ask spreads on the remaining markets were much wider. test Test Test

I've posted a recap of activity in the CME Case Shiller home price index contracts for August. The rolling 12-month volume exceeded 300 for the first time in > 5 years. Prices were higher and bid/ask spread contracted.

Expressing a view of the likely performance of one city versus another needs to incorporate the notions that : a) there may already be markets where home price index risk clears, and b) that those levels can vary from city to city. I illustrate an example using the 20 public Case Shiller indices, but the same can be done with any other top 50 city.

Any debating where home prices will shake out for 2020 might consider both CME Case Shiller home price index futures, as well as HPHF Relative Performance Agreement levels. Pricing suggests that despite Covid, there are few bargains (i.e. contracts trading lower than last year-end's index values -other than CHI and LAV) and both the CME contracts, as well as HPHF RP Agreements suggest (today) that home price indices will be slightly higher on a YOY basis, across many of the 20 public Case Shiller indices.

I've posted a recap of activity in the CME Case Shiller home price futures contracts for July.

CME Case Shiller home price futures, one-year forward, are offered a discount to spot. Are home prices headed lower after this summer selling season.

CME Case Shiller home price index futures are slight lower in price this morning after today's CS #'s. Bid/Ask spreads on the Aug '20 (Q20) contract have tightened (with one month until expiration).

The front-contract CME Case Shiller home price index futures completed a more than 100% reversal from the March/April selloff in June. Longer contracts have also rallied but still trade at discounts to spot.

The real estate market seems to be hoping that, for 2020, the spring selling season will get pushed to the summer. One way to express a view on home prices for summer 2020 (outright or relative to spring 2020) is the CME Case Shiller X20 (Nov 2020) contract.

Home Price index futures are back to levels last seen in February 2020. The blog offers ideas on hedging components of the Case Shiller 10-city index, as well as (via HPHF swaps) the "other ten" cities in the Case Shiller 20-city index, as well as other larger cities where price histories have correlated with the CS-10 index.

I've posted a recap of activity in the CME Case Shiller home price futures contracts for May. Prices surged on low volume.

The May '20 contracts settled on higher numbers that the bid/ask spreads on Friday indicated. The strength of the CS #'s has lead me to raise quotes on Aug, Nov '20 and Feb '21 contracts.

The May 2020 (K20) Case Shiller home price futures contracts expire on Friday. Bid/Ask spreads are still historically wide due to uncertainty of the impact of the COVID virus on housing activity during March.

Options can be created on any home price index. Shorter-expiration, near at-the-money strikes work best.

I've posted a recap of the historic activity in the CME Case Shiller home price index contracts for April.

I provide a stand-alone blog to capture different themes supporting my view that CME Case Shiller home price index futures clear below expectations.

Using HCI21 contract (for Absolute Price Moves) and Intercity Spread quotes (for Relative Price Performance Pricing) can be used to generate quotes in regional markets.

Do you think home prices will be higher 5 years from now? If so, longer-expiration CME Case Shiller futures might be worth your attention.

How to (better) hedge regional exposures that are not referenced by CME Case Shiller index futures.

April Case Shiller numbers confirmed recent strength, but now with them out of the way, the debate about the impact of declines in housing activity in March, on the May 2020 contract, has begun to ramp up.

HPHF Relative Performance Agreements both allow users to express a view on the forward performance of one regional index versus the Case Shiller 10-city index, but are also the foundation for hedging absolute price risk on cities not referenced by CME contracts.

Convergence gives credibility to CME Case Shiller contracts having some element of expectations. Here's what the contracts are "saying" on six regions.

I'm think that Feb 2023 should take over as the new benchmark contract. It sits between the Feb '21 and "25 contracts that i've touted before, and should reflect conditions in the post-COVID new normal world.

Trading CME Case Shiller futures involves at least two dimensions -outright price levels, and the path of home price recovery. Different tools are appropriate for each decision.

Given the change in CME Case Shiller home price index contracts, it's time to review the basics of a long home-price hedge.

Quotes on CME Case Shiller futures are dramatically lower over the last two days. The selloff was most pronounced in shorter-term expirations (e.g. Aug '20-Feb '21).

Here's a recap of activity in the CME S&P Case Shiller home price index futures during March

Activity in the CME Case Shiller home price index contracts, with a focus on the last week.

Prices on the CME S&P Case Shiller home price index contracts have fallen dramatically over the last month. Attached are a series of graphs to show how much.

I've added a page to my website to help users get a sense of either where I'd buy/sell CME Case Shiller home price index futures, or where I see activity from other users.

What should the impact of C-Virus be on home prices, and in particular,Las Vegas?

Housing derivatives can be useful for sharing either expectations for forward home prices, or in disclosing where risk might clear. Help is needed from this community to build depth in the Feb 2021 CME Case Shiller futures.

Markets need price discovery to thrive. Here's my effort related to home price index futures.

Users can express views on relative value via Intercity ("IC") spread quotes. About half of the CME contracts are priced for gains above the 10-city index (e.g. BOS, WDC, DEN and LAV) while half are priced for under-performance (e.g. CHI, LAX, NYM, SFR).

Why only incorporate backward-looking data into home price forecasting when there's a public market on forward home prices?

Case Shiller home price index futures can now be traded across multiple February contracts.

Recap of activity in CME Case Shiller futures during Jan 2020.

With the CME announced change in expiration schedule, users may have concerns about open positions in the Nov 2022 (X22) contracts, as well as how to trade over the next two weeks -until new longer-dated expirations are open. This blog addresses both concerns.

CME Case Shiller futures were quoted modestly higher today, after the release of indicies that tallied activity through November. The BOS and WDC contracts saw the highest gains, while the NYM and SFR contracts declined.