Quotes on the CME Case Shiller home price futures contracts were generally higher after this morning’s release of the Case Shiller numbers for April. The table below highlights prices from near the close yesterday versus early this morning. There are three key highlights;
- Average mid-market prices rose by 0.4 for the Nov ’18 contracts. (see right side of table). Across the 121 contracts prices rose, on average, by about 1.0 point with bigger gains concentrated in longer-dated expirations.
- While prices are higher this morning, there are outliers -most notably NYM, which is down more than 2.0 points, and LAV which is up more than 2.0 points. (Note that there were 3 LAV trades late yesterday with offers lifted, that may have contributed to higher prices.)
- Bid/ask spreads are wider on the day (see lower right). This is typical of the first few hours post the release of Case Shiller #’s. Look for bid/ask spreads to contract as other users check markets, and as month-end nears.
Note that there have been 14 trades this month. Activity has been concentrated in LAV and SFR regions with 3 and 9 trades in each region. Unlike past months, activity has been spread across the expirations with trades in both the Aug ’18 contracts (2) as well as the longest Nov ’22 contracts (3).
Please feel free to contact me (firstname.lastname@example.org) if you have any questions on this blog, hedging of home price indices in general, or have any trade ideas that you’d like to discuss.