Performance of regional contracts in 2018

The performance of the CME Case Shiller home price Nov ’19 futures contracts varied by region during 2018.  (I picked Nov ’19 (X19) as the Nov. cycles tend to have the best liquidity.)

Six of the ten regions were higher (with LAVX19 posting, by far, the largest gains of 16.o points, and DEN and SFR also up), while four of the regions were lower (with CHI and NYM falling the most).  Given the larger weights in the 10-city index of the CHI and NYM contracts (and LAX which also fell), the HCI X19 contract was also off 4 points, or 1.7%.

Notably, six of the eleven contracts closed at levels below spot index values.  (See the Close/Spot-1 ratio in the “Mid/Spot-1” column).   This inversion has not been seen since before 2013.

There were 110 contracts traded last year with >50% in SFR.  Two of the “quietest” contracts (LAX +0.9%, MIA +0.5%) had no trades for 2018.  One of my resolutions f0r 2019 is to change that, so please reach out ( if you have a trading idea for those regions, or if you’d like to discuss this blog, or any aspect of hedging home price indices.

Thanks,  John



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