Using a combination of CME Case Shiller 10-city index futures, and an HPHF Ratio Agreement on the Fannie Mae/Case Shiller 10-city index, one can create forward values for the Fannie Mae index and therefore implied forward HPAs.

With the release of the quarterly Pulsenomics survey of 100+ home price forecasts, I raise this issue of how these forecasts look vs CME Case Shiller futures. I also offer a protocol where those interested can stake a view on forward Fannie Mae home prices.

I've posted a summary of quotes for the CME Case Shiller home price index futures as of March 31. The table includes prices changes since Dec 13, 2024, bid/ask spreads, and implied gains.

Intercity Spreads are a potentially useful tool that allows users to express a view on forward HPA between either two metros, or a metro and the 10-city index.

Want to buy/sell Atlanta home price indices for Feb '26, '27? Consider a combination of CME 10-city index futures and an HPHF Ratio Agreement. The combination is consistent with prices 2-3%> spot (for Feb '26).

CME Calendar Spreads on the Case Shiller home price index futures may be useful in inferring implied HPA across various metros. In addition, users can take positions in the "market for HPA".

Here's a way to dig into differences between City and Metro home prices. While sometimes they are very similar there are areas (e.g. DC) where City prices diverge from Metro prices. I suggest a way to express views.

Here's a short piece on the logistics of HPHF Agreements referencing home price indices from ParclLabs.

I've updated the template for Ratio Agreements to highlight the implied forward values for Feb '25-'27. There is also a section with housing economic news. Please review, critique and guide me to other metros that you'd like to see referenced.

Potential home buyers could've used CME Case Shiller home price index futures to hedge against the risk that the income needed to afford a home might rise between Jan 2020 and Jan 2024.

Presentations of average (or median) home price to median income can be misleading as it involves averages of averages. Income inequality may explain part of the rise in home price/income ratios.

A review of the last four years of closes on the CME Case Shiller regional home price index contracts shows the benefit of "long hedging" to those worried about upside price moves.

Another expiration of quarterly contracts prompts me to review the concepts of cash-settlement and convergence, this time with some third-party forecasts.

While all home price index methodologies are unique, the results of these differences may range from small to large. I conducted a review of seven indices to see the correlation across all.

Trying to assess the basis risk between a national index and those of 100 metros led me to three simple observations.

I had an inquiry on options, updated my options template, and decided is was time (given new viewers) to update my philosophy/ share some of the moving parts.

I've revised my single-contract template to include more information. Implied HPA gains, calendar spread quotes, a measure of index gains, and the change in the value of the contract since year-end 2022 have all been added.

Users can play the "Home Prices in 2024" debate in a variety of fashions. The benchmark CME Feb '24/'25 calendar spread has moved from +10 (Feb '24 higher than Feb '25) to near flat.

I've posted a recap of activity in the CME Case Shiller home price index contracts for 2023.

Investors with longer term bullish expectations on home prices (e.g. Pulsenomics survey) might rethink how much index precision they need.

People looking to eventually buy a home can lock in some 3-year forward index levels at less than today's spot indices.

This blog builds on the work of the last few blogs to demonstrate the process by which HPHF Ratio Agreements can be used with Freddie Mac home price indices, to infer forward clearing levels (not expectations) for the many cities not referenced by CME Case Shiller home price index futures. These Ratio Agreements can be used to hedge either relative risk, or if used in combination with CME futures on the Case Shiller 10-city index, some component of outright regional home price risk.

Key to an upcoming blog on Freddie Regional /Freddie National Ratio Agreements, is an understanding of how one might create a forward market-clearing level for the Freddie National index, or how the Freddie National index might relate to the Case Shiller 10-city index (which is referenced in CME futures contracts).

Here's my forecast for the Case Shiller indices for Aug 29th release, as well as markets (from Aug 15th) for the ten metros that are referenced by CME contracts. Note that I've also listed a set of quotes for the second ten metros (e.g. Phoenix, Dallas) not referenced by CME contracts.

Zillow's most recent update to their 12-month HPA forecasts provides an opportunity to revisit my thesis that longer-dated CME futures tend to clear at a discount to expectations.

Here's an updated version (through Aug 8th) of both historical ratios (of regional index divided by 10-city index) as well as implied forward Ratio Agreement levels based on quotes in the ten regional contracts for Feb 2024 and 2025 expirations.

Here's a review of how to use HPHF Ratio Agreements, and an introduction to a new graph that illustrates implied regional prices.

Prices were higher in May on lite volume. Bid/ask spreads contracted, and curves inverted slightly more from Feb 2024 to Feb 2025

April saw massive price gains in the CME Case Shiller futures, demand move from 2024 to 2023, and flipped the contracts with most negative sentiment into the biggest winners.

I've updated the Resources page to bring historical volume and OI current, as well as to post graphs on a range of underlying contracts and HPHF Ratio Agreements.

A review of calendar spreads and how users might use them to express a view on whether home prices will be higher/lower in Dec 2024 vs Dec 2023.

A rate instance where every region and expiration has a two-sided quote (from Feb 2023-Feb 2027).

I've posted two templates to allow users to see stale prices on the CME Case Shiller home price index futures, and to see how such prices can be converted into useful information (e.g. implied YOY % differences).

This blog has a summary of some of the things that I've been working on (e.g. filling out quotes in longer-dated expirations, InterCity spreads) as well as the introduction of an "Axe" page, where users can share areas that they'd like to add/reduce exposure.

Trading activity in the CME Case Shiller home price futures regional contracts during 2022 showed how expectations changed dramatically, not only at a absolute level, but between regions. Whether or not current underlying home price fundamentals are captured in current quotes is an open question.

A graph of CME Case Shiller futures on the HCI/CUS(10-city index) contracts during 2022 can be useful in illustrating several lessons on how users might interpret what the prices suggest.

Tuesday's update of Case Shiller indices were higher (in some cases much higher) than the quotes on the expiring Nov 2022 (X22) contract. In response, longer-dated contract prices rose. The Case Shiller numbers (both prices and pair counts) are consistent with a less severe sell-off in home prices.

The Nov '22 CME Case Shiller futures contract should frame two sets of headlines for Tuesday morning when the indices are updated. One view is that there have been backward looking year-on-year price gains. The other, will show that index values have already fallen from the numbers released in August. Keep an eye on CME futures, as prices are consistent with further large price declines.

CME home price index futures rose after numbers were released on Tuesday. I suggest that two factors are at play: 1) role of convergence dwarfing discount to expectations, and 2) reduction in pair count kept spot from falling as much as it might have with "normal" volume.

The CME Case Shiller home price index calendar spreads allow users to express views on the magnitude and timing of the current sell-off in home prices. For now, the contracts are priced for a decline in prices for 2023 but a (smaller) gain in 2024. You're welcome to join the debate!

Many claim that home prices will fall, and that they are waiting to buy where prices are 20-25% off their peaks. Why wait, as you can access that exposure today (in a more liquid, granular format) using the CME Case Shiller home price index futures?

Quotes on CME Case Shiller futures were much lower following today's update of the index values.

I'm back from vacation, am plowing through past emails and third-party research, but wanted to share a new way of looking at forward clearing levels on regional contracts.

Trading for the last year has been concentrated in the 10-city index contracts, and in the February expirations -which is exactly where it should be given the volume traded here.

On vacation, and taking a break from market making, Aug 26-Sept 11.

Shiller was correct! Longer-dated futures clear at a 10% discount to spot. However......

There are two ways that a reader can see the clearing level for the basis risk between one city and the Case Shiller 10-city index (InterCity Spreads on the CME, and OTC HPHF Ratio Agreements).

I've updated my template for HPHF Ratio Agreements to include extending expirations out to Feb 2024.

What should happen when sellers take clearing prices to discounts to spot? What opportunities does this present to natural longs? What happens to home equity monetization programs?

A combination with hedgers looking to sell, while natural longs (i.e. Millennials and institutions looking for home price exposure) means that the market for home price hedging instruments (to include CME Case Shiller futures) could grow this cycle.

May was a busy month, with high volatility in prices, but the CME contract quotes eventually bracketed most of the updated CS indices.

I will miss the Tuesday May 31 index update, as I'm traveling. I'll be back at my desk on Wednesday.

I've updated my template for how I show the components of HPHF Ratio Agreements (based on feedback from readers, that they wanted more information on what the numbers mean).

Today, users can't buy the spot Case Shiller index and deliver it (at +10%) versus futures, but a wave of new products to tap the $23Trillion in home equity may change that.

Recap of March activity

I've borrowed the concept of HPHF Ratio Agreements to better illustrate how IC spreads can be converted into more transparent forward views on relative performance of home price indices to some futures points in time.

I've added ratios to show trends in relative performance of one region vs the ten-city index contracts. In this post I've highlighted SFR v HCI

Despite low rent growth, the ability for the tech community to work remotely, and headline homeless issues, San Francisco home prices (SFR index) have matched those of the rest of the Case Shiiler 10-city index, and are priced to do so again in 2022.

I've used Nashville to illustrate how one can express views on the relative performance of a region vs. a more national index, as well as (when combined with futures) to express an outright view.

The Feb 2022 contracts settled on today's Case Shiller #'s. Many fewer outliers that in previous quarterly expirations. More work to do before I can comment on the impact of updated indices on longer-dated CME contracts.

A comparison of moves between regional and national home price indices reminds me to be cautious when relying on correlations over a sample with outlier moves, and consider all of the tools at your disposal, when looking to hedge a regional exposure to home prices.

Addressing the risk of regional prices moving differently from national levels has become a bigger issue during Covid. I offer one way to address that risk using Pittsburgh as an example.

I've posted a recap of activity in the CME Case Shiller home price index futures for January. The markets were quiet. A key theme reviewed is the importance of an outlook in the forward performance of any region vs a national index (or other indices).

I've posted a recap of activity in the CME Case Shiller home price index futures for December. Prices were mixed, bid/ask widened slightly, and curves flattened.

I'm on vacation Dec 24-31. There may be many fewer quotes, but I am planning for a renewed effort in 2022.

I've posted a recap of activity in the CME Case Shiller home price index futures for November. In addition, I've framed a template for those looking to express a view on HPA (Home Price Appreciation) for 2022.

The Case Shiller index values released Tuesday morning were higher than "expectations" from the expiring Nov 2021 contract. In 7 of the 11 contracts, the index values fell outside the bid/ask quote from the day before. Longer-dated contract prices increased.

This quarterly recap of the expiring Case Shiller home price index contracts highlights two themes: one that users have to be careful in which data sources they use, and two that the Nov '21 contracts are priced as if nominal price MOM changes will be flat, in several regions.

The blog both addresses the question of how much the migration from California to Texas might impact the relative performance of home prices between the two areas, and offers a platform for users to financially express such views.

NAR members enjoying their annual conference might allocate ten minutes to developing an appreciation of the concepts behind home price index hedging. It might help them, and their clients.

Care to debate HPA for 2022. Consider using CME S&P Case Shiller home price index calendar spreads. The current market is consistent with ~2.5-4.0% HPA.

I've posted an update to activity in the CME S&P Case Shiller home price index contracts for October. This was the first month this year, that futures prices slipped.

Prices on CME S&P Case Shiller home price futures slid after today's release of Case Shiller indices. YOY gains for 2021 (measuring the index released in Feb 2021 with the mid-market quote on the Feb '22 contract) remain strong.

CME Calendar spread trades are one way that readers can express a view on either nationwide HPA for 2022, or on each of ten regions.

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

More trades took place in the CME Case Shiller home price index futures, and for the first time in recent memory bids were hit.

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.

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.

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

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?

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

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

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

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.

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

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.

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.

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.

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

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

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

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

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

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.

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

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.

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