Quotes on the CME S&P Case Shiller home price index contracts were lower today after the monthly 9 AM update to the Case Shiller indices.
The table below compares the prices on Feb 2022 (G22) from last night versus the close today. All G22 contracts were lower ranging from small drops in the NYM contract (see "Mid-Mid change" line) to large drops in the BOS and SDG contracts.
I had been pricing BOS and SDG for strong gains, and so while the CME indices were higher from last month, the rate of gain was less than I had expected -in these two contracts. I'd note that the small decline in the NYM contract may have been attributed to a large upward revision in last month's index value.
Even with the selloff, implied year-on-year gains for the indices (comparing G22 mid-market with the index released in Feb 2021) range from 11.0% (for Chicago) to 24.4% (for San Diego).
There were no trades today (After 8 trades this month), but continued third-party interest in selected front expirations, as well as a bid in the Feb 2026 10-city index contract (At ~10% over the G22 mid-market).
Bid/ask spreads widened slightly, but I expect to pull them back through past levels by the end of October.
After pricing in modest YOY implied gains, longer-dated contracts gave up some of the curve steepness.
Feel free to contact me if you have any questions about this blog, have any trading ideas that you'd like to explore, or just want to learn more about how home price index derivatives might be used in hedging strategies.
Thanks,
John