All Posts

A new (school) year starts with 15 trades

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.

Continue reading →

August 2021 Contract Expiration - 2+ weeks away

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.

Continue reading →

CME market prices soar post June release of Case Shiller #'s

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

Continue reading →

Sufside - An anamoly or the canary in the coal mine?/ How to play MIA?

Are there any longer-term climate-related implications from the tragedy at Surfside, and if so, how might one express a view, without picking a top in prices?

Continue reading →

Hedging Chicago (and other large cities)

I've expanded on an earlier blog about how to use HPHF Ratio Agreements using Chicago as a hedging example.

Continue reading →

Updating Options

I've updated prices on puts on Case Shiller indices for Feb '22 and Feb '23 expirations.

Continue reading →

Ratio Agreements - more cities

After illustrating how an HPHF Ratio Agreement might work for Atlanta, I've expanded the concept to show ratios for twenty cities.

Continue reading →

Using HPHF Ratio Agreements to hedge other cities -Atlanta example

HPHF Ratio trades might be a useful tool to hedge home price index risk exposure, to those cities that are not referenced by CME Case Shiller futures contracts.

Continue reading →

Recap of activity during May in CME Case Shiller Futures

I've posted a recap of the activity in the CME Case Shiller home price index futures for May 2021.

Continue reading →

CME Case Shiller futures- post Tuesday Case Shiller #'s

The reaction of the CME Case Shiller home price index contracts to yesterday's updates of the CS indices poses some questions for where contract quotes are headed.

Continue reading →

May 2021 Contracts Expire Today

The May 21 CME Case Shiller home price index futures stop trading today (at 3 PM Eastern) and settle on updated Case Shiller index numbers released tomorrow morning (Tuesday May 25th) at 9 AM.

Continue reading →

S&P CME Case Shiller futures approach 15th anniversary

May22 will be the 15th anniversary of the first trade in the CME S&P Case Shiller futures. I've pulled together a high-level recap of some key themes, which will be followed by blogs going into much more detail on six key phases of trading in these contracts.

Continue reading →

Belated April recap

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

Continue reading →

Market has repriced for further gains

The CME Case Shiller home price futures contracts have been repriced consistent with even larger gains for 2021.

Continue reading →

A review: Adding/Reducing exposure to "other" cities

I've posted a review of one might use different forms of home price index derivatives in hedging strategies.

Continue reading →

March Recap on CME Case Shiller futures

I've posted a recap on activity in the S&P CME Case Shiller home price index futures for March.

Continue reading →

CME Futures post update to Case Shiller indices

Quotes on CME Case Shiller home price index futures are higher after this morning's release of index values through January.

Continue reading →

Using Candle Bar Diagrams to illustrate clearing levels for home price index risk transfer

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.

Continue reading →

Feb recap

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

Continue reading →

CME Case Shiller futures slightly higher post today's #'s

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.

Continue reading →

Feb '21 expires Monday/settles Tuesday

The Feb '21 Case Shiller home price index futures end trading on Monday, and will settle on index values released on Tuesday.

Continue reading →

Should recent storm change expectations on Texas home prices?

Will the recent storms changes expectations on Texas home prices? Might owners in Austin, Dallas, El Paso, Houston, and San Antonio look to reduce exposures? Might there be anyone looking to eventually move to Texas who sees a dip in risk transfer prices as an opportunity.

Continue reading →

How Phoenix residents can participate in bullish expectations

How might Phoenix homeowners capture some of the bullish expectations without having to sell their homes? How might future Phoenix homebuyers get exposure to greater than expected gains in Phoenix home prices? Calls (and other options).

Continue reading →

Freddie Mac Year-End Home Price Index #'s

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.

Continue reading →

Year on Year comparison of CME regional contracts

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.

Continue reading →

Jan Recap

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.

Continue reading →

CME Quotes post Jan Case Shiller #

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.

Continue reading →

CME NASDAQ/Veles Water Futures - The first month

In December, the CME introduced the NASDAQ/Veles water contracts. I've tried to confine my social media to tweets (@CMEWaterFutures) but wanted to share one blog to bring this contract to the attention of my readers. Feel free to DM me with any questions. #water, #drought, #california, #climate, #coloradoriver

Continue reading →

Update on Paris home price hedging

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.

Continue reading →

CME Markets surge post Case Shiller #'s

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.

Continue reading →

An open letter to Pulsenomics home price survey participants, and those who follow the forecasts: CME Case Shiller futures appear cheap!

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.

Continue reading →

Paris Futures: an update, an axe, a reward

I have readers looking to add/reduce exposure to Paris home prices, but am challenged on how to structure such exposure. I'm offering a $250 reward for anyone who can introduce me to an FCM that will let me open an account to trade Paris contracts (traded on Euronext) and am looking for feedback on how to structure an OTC agreement.

Continue reading →

Nov recap posted

I've posted a recap of (very limited) activity in the CME Case Shiller home price index futures, for November.

Continue reading →

CME Home Price Futures post Case Shiller #

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.

Continue reading →

Be cautious when reviewing seasonally adjusted numbers

Be caution when reading seasonally-adjusted numbers in future years. Seasonal adjustment patterns seem to pick up activity in years with unusual price activity and carry those patterns into adjustments in future years -even when the fundamentals that caused the outlier results, are no longer applicable. Will the COVID have an impact on seasonal adjustment factors in the future?!?

Continue reading →

The expiring HCI (10-city index) Nov '20 contracts

The November 2020 contracts are expiring on Tuesday (with Monday the last trading day) after five years of service. I've posted this blog to take a longer term view of home price futures, to highlights changes in prices, and to illustrate convergence.

Continue reading →

A key building block for hedging

Options on home price indices (particularly puts) may be a preferred product for retail hedgers. However, quoting options can't move too far forward without a discussion that bounds assumptions on volatility. Here is my attempt to kickstart that effort.

Continue reading →

Calls

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.

Continue reading →

Reversing Covid Trends? NY Suburbs

Will the move from New York City to the suburbs continue? If so, I'd expect the Case Shiller NYM home price index to outperform the NY Condo index. I've proposed a #HPHF Agreement where one could express a view. Forward prices are consistent with slight out-performance of NY home price vs condos, but that may be due to trends that pre-date Covid.

Continue reading →

Oct Recap of activity in CME Case Shiller home price index contracts

October was a very quiet month for CME Case Shiller home price index futures. Users looking to hedge seem to be on the sidelines, while gains in indices continued to push contract prices higher. In the meantime, I've relaunched an effort on options on home price indices, have been refining how to quote Relative Price agreements, and am hearing more about interest in hedging in overseas markets such as Canada, England and Australia. Additional key words: home prices, mortgage, crash, bubble, mortgage, derivatives

Continue reading →

CME quotes Post Case Shiller index update

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

Continue reading →

Revisiting options on Case Shiller indices

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.

Continue reading →

Market Changes since Aug 31

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.

Continue reading →

Recap of Activity in CME Case Shiller home price index futures: Sept 2020

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

Continue reading →

Recap posted for activity in CME Case Shiller home price contracts for August

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.

Continue reading →

Different Cities -different levels where home price risk clears

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.

Continue reading →

Recap of August Case Shiller numbers, impact on markets

Case Shiller indices released this morning were lower than the bid side of the expired Aug '20 contract. These "surprises" have led to lower quotes on the benchmark Feb '21 home price index contracts. #homeprices #realestate

Continue reading →

Name one city to go long and one city to go short - mechanics and impact of any existing forward views

I've fleshed out details on how I would structure HPHF agreements, that would allow a user to go long an index on home prices for one city, while shorting the index on another, to express a view on expected relative performance over some fixed time frame.

Continue reading →

Where might home prices be headed through 2020 year-end

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.

Continue reading →

Why Home Prices might fall YOY

Both home price bulls and bears will be right, if they get to define the measurement period. Longer-term, CME Case Shiller home price index futures are priced consistent with a relatively flat market over longer periods (such as year-end 2019 to year-end 2022).

Continue reading →

Recap of activity in July

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

Continue reading →

Aug '21 clearing levels, calendar spreads, benefits of third party activity

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.

Continue reading →

CME Markets post July CS #'s

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).

Continue reading →

Adding/Reducing exposure to home prices in Portland and Seattle

There seems to be growing uncertainty in how Portland and Seattle prices might be impacted by recent developments. HPHF Agreements might be one way to express a view on future home price index levels (or changes relative to a more national market).

Continue reading →

The shortcomings of (backward-looking) YOY analysis on home price indices. Why CME Futures might be a better forecasting tool.

Viewers looking for a sense of where home prices might be headed might be better served looking at CME Case Shiller futures, that on YOY changes to the Case Shiller index.

Continue reading →

Recap of Activity for June in CME Case Shiller futures

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.

Continue reading →

CME Case Shiller futures higher -post updates to indices

CME Case Shiller futures are higher today (June 30th) after the release of updated index values. My sense is that most of the gain is a contraction of the forward discount that contracts often trade to versus expectations.

Continue reading →

How to express a view on the Summer Selling Season of 2020

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.

Continue reading →

Having retraced sell-off, what can be done with Case Shiller 10-city and other home price indices?

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.

Continue reading →

May recap posted on CME Case Shiller futures

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

Continue reading →

Any bulls (or even status quo fans) on SFR?

Creating a deep in-the-money call.

Continue reading →

0 'fer -May 20 expirations

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.

Continue reading →

May '20 expiration approaching -What will be impact of COVID?

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.

Continue reading →

Shorter Expirations puts for any index

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

Continue reading →

Will Dallas real estate rebound quicker than the rest of the country

I've posted ideas on how one might one hedge the performance of Dallas home prices, relative to a more national index.

Continue reading →

Recap of CME Case Shiller activity during April

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

Continue reading →

April Case Shiller #'s. On to an uncertain May

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.

Continue reading →

Introducing Relative Performance Agreement Quotes

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.

Continue reading →

Intermediate Expirations (Feb 2023, G23)

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.

Continue reading →

Hedging Minneapolis

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

Continue reading →

Do you think home prices will be higher 5 years from now?

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.

Continue reading →

A Third Dimension: Generating Regional Quotes from HCIG21 and IC spreads

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.

Continue reading →

Two Dimensions of Trading CME Case Shiller Futures: Absolute Level and Path of Home Price Recovery

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.

Continue reading →

Why might Case Shiller futures clear at a discount to expectations?

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

Continue reading →

The basics of hedging home prices from the long side

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

Continue reading →

A day of reckoning for home price futures

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).

Continue reading →

Recap of CME Case Shiller futures activity during March

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

Continue reading →

Week 4 of March. Volatility update and logistical issues

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

Continue reading →

Convergence -Why the press should add futures to their monthly Case Shiller recaps

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

Continue reading →

What a difference a month makes! (Feb 21 v Mar 20)

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.

Continue reading →

A new section to aid price discovery

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.

Continue reading →

The positive role of housing derivatives

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.

Continue reading →

A review of Intercity Spreads in CME Case Shiller futures

Intercity Spreads are a useful tool when trading CME Case Shiller home price index futures. IC trades allow users to see, or express views on, relative performance between two regions, or more often, a regional contact and the 10-city index.

Continue reading →

Price Discovery

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

Continue reading →

The impact of C-Virus on Home Prices/ Las Vegas

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

Continue reading →

Looking Forward (as opposed to focus on data releases)

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

Continue reading →

Expiring Feb contracts

The Feb 2020 (G20) CME Case Shiller home price index contract will cease trading at 3 PM today. Settlement will be based on the CS index numbers released Tues at 9 AM. The CME will then open a new May 21 (G21) contract, and I will also start populating quotes in the dormant Aug 2020 (Q20) contract.

Continue reading →

Relative value across regions

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).

Continue reading →

Transition to February expiration cycle

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

Continue reading →

Recap of Jan Activity in CME Case Shiller futures

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

Continue reading →

Post Case Shiller #'s, New Benchmark Expiration -Feb '21

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.

Continue reading →

Trading Nov '22 during two week transition to new expirations

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.

Continue reading →

Using Calendar spreads to weigh in on 2020 HPA debate - a review and opportunities

CME Calendar Spreads may be useful for either expressing a view on HPA, for 2020, across ten regions.

Continue reading →

Where are home prices headed in 2020 -The power of markets to complement historical analysis and opinions

Market can complement historical analysis and forecasts to help users form their outlook. The CME Case Shiller calendar spread markets might be a useful tool for forming views on where home prices are headed in 2020.

Continue reading →