Quotes on the CME Case Shiller home price index futures have been moving lower since month-end, and most notably somewhat in sync with the selloff in the stock market over the last two days. The price moves for the first two weeks of October have been larger than any monthly move in recent memory (hence this post).
The tables below show changes to individual the HCI (10-city index) contracts, as well as summaries for the price moves across regions and expirations. Note that the last two series don’t tie out as the far right column only tallies price changes on contracts where there are two-sided markets. A set of the changes for all 11 regions is included in the Reports section, or you can access here.
At a high level, prices are lower across all regions, and for all expirations (except Nov ’18, which measures activity through Sept 30), with the biggest declines in longer-dated contracts. Such price moves are consistent with declining HPA (as early as the K19 contracts). Some longer-dated calendar spreads are now bid flat (i.e. the next contract would be bid at the level of the earlier one) and I could see selling interest taking X22 contracts negative.
Price declines have been biggest in the California contracts (LAX, SDG and SFR). Bid/ask spreads have not widened as much as in the past, as third parties have been posting (a limited number) of bids and offers. Third party activity remains focused on the LAV, LAX and SFR contracts.
Other than a series of trades in the (soon-to-be) expiring SFRX18 contract, there have been no trades, but several tight selected markets.
With the stock market selloff, rise in VIX by >50%, and the price moves here, my offering levels on puts has jumped (as higher volatility, lower forward prices, and absence of third-party buyers demand additional caution.)
As with any market disturbance the current re-pricing may present some interesting trading opportunities. Please feel free to contact me (email@example.com) if you’d like to discuss any trading ideas.