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Are CME Case Shiller quotes inconsistent with sentiment (#2): Core Logic forecast?

The blog takes a different look at my theory that CME S&P Case Shiller home price index futures might be clearing at discounted prices to expectations.

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September recap of CME Case Shiller activity posted

A recap has been posted of trading in the CME S&P Case Shiller home price index contracts. It was a slightly busier month with 18 contracts traded, but prices, spreads, did not move much.

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CME Futures: Expectations vs Clearing Levels, Opportunity or Bias?

Longer-dated CME Case Shiller home price index futures appear to have a core bias (reflecting an imbalance between natural longs and shorts) that might be of interest to speculators from the long side. I offer my rationale, and two ways to trade the conclusion.

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Options_Feb 21 Puts introduced

Prices for puts on the CME Case Shiller home price index futures are now available for the Feb 2021 contract.

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August Recap of activity in CME S&P Case Shiller home price futures

Recap of activity in CME Case Shiller home price index futures for August

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Recap of CME Case Shiller markets post this morning's #'s

Case Shiller index results were weaker than expected by recent CME contract prices.

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The challenges of affordability measures at very low interest rates

Affordability measures become more sensitive when interest rates are very low.

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July recap of activity in S&P Case Shiller home price index contracts (on CME)

Activity in the S&P Case Shiller home price index agreements was quiet during July. I've posted 20-page recap of activity on the CME, and my efforts to generate interest in OTC trades. #realestate, #housingderivatives, #homeprices, #CME, #caseshiller

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Post Case Shiller #'s (July 30)

Case Shiller home price index futures (housing derivatives) are slightly lower this morning after CS #'s.

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Hedging Canadian Home Price Risk

Canadian home price index hedging seems possible using the same HPHF approach I've tried to use on US cities. Canadian index values, and home prices, present unique challenges as some prices are already headed lower, are more volatile, and are impacted by political forces beyond supply and demand.

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Regional disparity -a review of price moves over the last 12 months

CME Case Shiller price moves over the last year suggest that there are trading opportunities both as to outright home price index levels, as well as between regions.

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June Recap posted

Recap of June activity in CME Case Shiller home price futures and options. June saw first put trades of 2019. Also Paris home price futures launched.

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AEI information platform centralizes data for analysis of regional home price indices

AEI has raised the bar home price forecasting by providing housing data in a free, centralized platform.

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Review of Fitch report (Part 2) - regions not referenced by CME contracts

While CME futures allow readers of Fitch housing outlook to express forward views on home prices in some regions, this "Part 2" blog shows how they might express views on the other ten cities (or many more) using an OTC housing derivatives.

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Using InterCity Spreads to take views on Fitch report -Part 1 (CME Futures)

A recent Fitch report says that Las Vegas is the most over-valued city (of 20 citied). CME Case Shiller home price index futures (housing derivatives) allow users a way to express their support (or not) of Fitch's views.

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Paris home price index futures launched

Euronext started trading home price index futures on the City of Paris using a new index.

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Zillow -14 cities where home prices have peaked?!?

Zillow say home prices have peaked in 14 large cities. Would you like to sell any of them (including some where forward home price derivative markets trade at a premium to spot)?

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Activity in CME Case Shiller home price futures for May

Here's a recap of activity in the CME Case Shiller home price index futures and options for May 2019. A quiet month both as to volume and price changes.

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CME reaction to today's Case Shiller #'s

Today's Case Shiller home price indices produced five "surprises" (defined as situations where index values were outside the bid/ask spread on the expiring CME Case Shiller futures contracts. Longer-dated contract prices are higher today in 9 of 11 regions.

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May '19 contract expiration

The May 2019 Case Shiller home price index futures stop trading today. Current prices suggest that Tuesday headlines will read "Home Prices gain but at slowing HPA" and "LAV leads ten-city index components.

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The impact of tariffs on home prices?

Tariffs will likely impact the economies of port cities with repercussions to employment and home prices. I've posted quotes for 4 CME contracts and 4 OTC home price index agreements, to prompt discussion on the question of how much home prices might be impacted.

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Texas: Home Price Index Agreements

Levels for home price index agreements via HPHF for five Texas cities

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Seattle index value in Feb 2020?

Trying to jump-start Seattle home price index agreements. Have posted levels for housing derivatives on Case Shiller index.

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Northeast markets: Opportunity or message?

Should Boston home price futures markets trade at such a premium to spot -versus where NYM is offered. A review of the strongest and the weakest of the ten CME S&P Case Shiller regional contracts that share much expect forward outlook.

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Volatility creating trading opportunities in CME home price contracts

Volatility seems to drive volume higher in home price derivatives.

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CME Case Shiller Futures post #'s

Recap of CME Case Shiller futures post CS #'s this morning.

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Should Boston over LA be 2 points?!? -Super Bowl special (IC spreads)

Yes, I’m going to pile on to social media efforts to capitalize on Super Bowl interest. Of course what I have in mind is here is getting readers to debate which side they prefer of the current pricing that has the CME Case Shiller BOS contracts outperforming the LAX contract (using the X20/ Nov 2020 expiration) by 2 (percentage) points. In addition I want to illustrate how one might look at intercity spreads, to new readers.

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Suggested levels for OTC trades on "Second 10" Case Shiller regions

Suggested levels for OTC agreements on "Second 10" Case Shiller indices, for Feb 2020 expiration.

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Puts on 1-Year Case Shiller futures updated for early April

Quotes for puts on Case Shiller home price index futures have been updated. Prices continue to drift lower as futures rally.

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Reduce the stress of 100% rent vs 100% buy decision with bite-sized pieces

I imagine that one of the biggest challenges facing a first-time home buyer (and their real estate agent) is the binary leap from 100% rent to 100% buy. Such a jump is often the biggest financial decision that people have to make. With new homes costing $400-750,000 in certain markets, this is a decision that involves a multiple of annual income. How can the upcoming wave of Millennials get comfortable that they’re making the right decision when looking at homes?

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Recap of Q1 activity in CME S&P Case Shiller home price index contracts

I've posted a recap of activity in the CME S&P Case Shiller home price index contracts for Q1.

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Put Options Updated_Feb 2020 (G20)

Quotes for CME Case Shiller put options have been updated. Prices lower since Feb.

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CME Case Shiller Home Price Index Futures -post Tues AM #'s

The CME Case Shiller home price index futures are about unchanged (at an aggregate level). The table below illustrates quotes for the Nov '19 expiration (X19) for the ten-city index contract (HCI) as well as the ten regional components. Bids, Asks, and Mid-market levels are shown from late yesterday and earlier this morning.

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How to get started trading CME Case Shiller home prices contracts

This blog is a set of answers to FAQs related to the question -"How do I get started trading Case Shiller contracts".

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A proposal to jump-start HPHF agreements for Seattle

Looking to jump-start Seattle home price hedging agreements.

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Fed Holds Steady=> Interest Rates Fall= > More Buyers Qualify => Home Price Futures Higher

Might yesterday's Fed announcement to leave rates unchanged, justify higher home prices, and therefore higher (short-term) CME Case Shiller futures?

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Options updated

Put option quotes have been updated (as of March 18). Recall a) that most any other combination of strikes and expirations is possible, and b) that I'm open to writing puts on other home price indices.

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Introducing Home Price Hedging Fund (“HPHF”)

I’ve created an entity called Home Price Hedging Fund (“HPHF”) to facilitate OTC trading in home price indices. While I remain of the view that the CME platform is the most transparent, pure-play on forward home price indices, I have received a number of requests from readers looking to express a view on home price indices not referenced by the CME Case Shiller contracts. HPHF was created to try to serve those readers’s needs.

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Majority of regions tipping toward negative HPA in 2019, falling from there in 2020.

Quotes on CME Case Shiller home price index futures have tipped over toward being consistent with negative HPA in 2019 for five of the ten regions (NYM, CHI, LAX, SDG, and SFR). Of the other fiver regions none are much above zero HPA, with BOS, DEN, and WDC just below 1%. Only BOS and LAV are priced for more than 1% gains against today’s spot levels.

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Observations on Bid/Ask spreads -1 Year to run

I’ve compiled an interesting set of data that I’ll use to illustrate how the CME S&P Case Shiller home price index futures have traded over the last 7+ years. It may help traders understand how to better trade the contracts, as well as quirks within the contracts. I will be blogging about over the next few weeks, to include an analysis the robustness of contract prices in forecasting, contract biases, and volatility. I’m open to ideas on what readers might want to see, and would be open to slicing and dicing the information to address any longer-term questions.

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Feb 2020 (so referencing year-end 2019) puts

I’ve posted quotes at the CME for puts on the ten regional Case Shiller home price contracts (and the 10-city index) that expire in Feb 2020. Recall that these options will settle on the value of the Case Shiller index released that month, and that that index references data through year-end 2019.

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The danger of fixating on YOY results

Many home price analysts noted that today’s Case Shiller indices continued to record year-on-year (“YOY”) gains. While YOY gains are a great way of addressing seasonal issues, and take on a more “over time” perspective, a fixation on YOY gains may hide turns in the market.

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OTC forwards and options for other regions

While the CME Case Shiller contracts cover many of the largest cities, I frequently get asked about hedging either other regions, or more narrowly defined geographic areas with the ten traded Case Shiller regions. I believe that, in concept, OTC trades can be structured between two willing, informed parties, that will allow a user to hedge any index, using forwards and options.

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Moving? A potential application of Inter-city (IC) spreads

Redfin recently published a great piece that detailed how some residents look beyond their local area for their next house. They noted that many many people in a region look at the same next cities (sorted both by in-state and out-of-state searches) with certain marked preferences. For example, many LA residents eye San Diego, New Yorkers frequently consider Boston, and Denver homeowners seem to covet Seattle’s low taxes.

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LAV -The quintessential region for home price index trading?

Las Vegas home prices have the tailwinds of population growth and the headwinds of accessing sustainable water supply, adding to the debate over future home price forecasts.

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