CME markets post Case Shiller #’s

Quotes on CME Case Shiller home price index futures are slightly lower after this morning’s release of index values for the period ending May.    The table below highlights changes from yesterday across the X19 (Nov 2019) expirations.  Note (in Mid-Mid change line) that the LAX and NYM futures are about 1 point lower, while the LAV and WDC contracts are slightly higher.   (Note that last month’s NYM #’s were revised higher.)

While bid/ask spreads on Nov ’19 contract are relatively wide (this being the first month I’ve used it as the benchmark contract) bid/ask spreads on the front contract (Aug. 2018) narrowed to 1.3 points (across the 11 regions) -about average with one month to expiration, and the average spread on Nov ’18 contract is 2.0 points.

Net (across all 121 contracts) bids are down ~35 points, in aggregate (so on average about 1/4 point per contract) while offers are lower by ~14 points.

July has been a relatively quiet month with only 5 trades.  No trades (as of 11:30 AM) post today’s Case Shiller #’s.

Please feel free to contact me ( if you have any questions about this blog, or any aspect of hedging home price indices.

Thanks, John




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