Market Review

A review of Feb 2024 contract to revisit convergence and cash settlements (with third party forecasts)

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

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If five analysts say home price will rise 4%, who's the most bullish? Examining performance of home price indices

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.

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Recap for 2023

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

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Month-end status

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

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Post Oct Case Shiller #'s/ Impact of Declining Pair-Counts

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.

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The 10% drop in home prices call/ Shiller was correct....however

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

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On Vacation Aug 26-Sept 11

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

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CME Case Shiller futures trending lower- are the stars aligned for market growth?

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.

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March Recap

Recap of March activity

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Recap of Activity in CME Case Shiller Home Price Index Contracts for Jan -note changes from Feb 2

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).

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Market has repriced for further gains

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

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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.

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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.

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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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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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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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