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.

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

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

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.

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

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

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.

Recap of March activity

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).

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

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.

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

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.

Volatility seems to drive volume higher in home price derivatives.

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