Quotes on the CME Case Shiller home price index futures are generally lower by about 1/2 point per contract, after this morning’s release of the monthly Case Shiller numbers. The table below shows prices for the 11 Nov. 2019 contracts (X19) comparing yesterday versus today. The LAV and WDC contracts are higher (based on mid-markets) but all nine other contracts are lower. Home price indices on the coasts (BOS/NYM and LAX/SDG/SFR) faired worse than those inland. (This despite substantial upward revisions in last month’s NYM index.)
Forward curves continue to come under pressure. While the S&P press release led with the headline “Annual gains fall below 6% for the first time in 12 months”, year-on-year price differences on several contracts are consistent with HPA dropping to <2% by 2020.
There have been no trades yet today, but 22 contracts have traded this month, the largest monthly total since Jan. 2017. (My sense is that volume picks up when markets change direction. The biggest volumes were in the first months of the Financial Crises and in Spring 2012 when home price bottomed.)
Feel free to contact me (firstname.lastname@example.org) if you have any questions on this blog, or any aspect of hedging home price indices.