Quotes on the CME Case Shiller home price index futures had mixed results after this morning's release of results for November. As shown in the table below, the Feb '22 (G22) mid-market contract prices were lower for the three California contracts. The NYM contract was higher, but an upward revision of 0.59 to last month's index may have contributed to the gain.
There were a handful of trades in the G21 expiration over the last few days. Those trades contributed to price discovery, which in turn resulted in tighter bid/ask spreads post numbers. Bid/ask spreads average ~3.0 points across all G22 contracts (and, not shown 1.8 points across the G21 front contract).
There continues to be more episodic interest from third parties over a range of contracts, with a variety of expirations and regions: (e.g. 3-4 front contracts, SFRX22, LAXG26).
Feel free to contact me if you have any questions about this blog, any trading ideas (on these contracts or other cities via HPHF OTC agreements), or want to learn more about using home price index derivatives to hedge home price exposure (long or short).
Thanks, John
