The S&P CME Case Shiller home price index futures are higher after this morning's update to the indices. Of the 110 contracts (11 regions * 10 expirations) 107 will see increases in closing prices (if current prices maintain). Most will be contract highs.
The table below shows quotes on the Feb 2022 (G22) contracts from yesterday and today (about 11 AM). The line titled "Mid-Mid change" shows the difference in prices of mid-market levels between each day.
All of the 11 Feb '22 markets are higher, with LAX and SDG leading the pack, and BOS, CHI and DEN having the smallest gains. (There were large downward revisions to the WDC index and upward revisions to the NYM index that may have caused those markets to move more than they would have absent revisions.)
Bid/Ask spreads have widened from an average of 4.0 points to 4.6 points, which is typical during the announcement day. I'll be working to tighten up B/A spreads for month-end marks.
G22 and longer-dated contracts have risen more that front contracts, but not by much.
There have been no trades today, and only 7 trades MTD. That said, I'm eager to facilitate trades here, or in OTC agreements for other cities.
Feel free to contact me if you have any questions about this blog, have any trading ideas that you'd like to explore, or would just like to learn more about the use of home price index derivatives in hedging strategies.
Thanks, John