Case Shiller index results v CME Futures Prices from T minus 1

The Case Shiller index numbers released this morning (Tuesday Feb 22) were about in line with the values of the Case Shiller futures contracts on the day prior to expiration. This should not be unusual, as the Feb 2022 contracts cash-settle on today's index values, but index and contract values have been inconsistent in recent past quarterly expirations. (e.g. See Dec 1 post on November expiration where nine of the eleven index values were either outside the bid/ask spread of the expiring contract, or where there were large revisions to prior index values).

As illustrated in the table below, in seven of the eleven contracts (the one 10-city index contract and the ten regional components) the index value was within the bid/ask spread of the expiring contract during part of the last day of trading (Friday Feb 18). ( I missed the last few hours of trading so there may have been other trades). In three (NYM, SDG and SFR) the index value was higher than the offered side. The NYM index was revised up for last month by 0.65 (therefore somewhat shifting the goal posts) and the SFR index was only slightly outside the 3.0 bid/ask spread. only SDG was a blow-out surprise.

I hope to follow up tomorrow with details on how longer-dated contracts reacted (specifically the G23 series) but I need a few more hours to review results and to update quotes (on these contracts and "other 10" Case Shiller indices for OTC agreements). As a preview, SDG and SFR were up, giving those looking to hedge even-better bids.

There were no trades today (but 10 lots have traded this month).

FYI - I will be traveling overseas Friday Feb 24-Thursday Mar 3 with limited access to screens where I make markets. I will leave some, wide GTC markets, so anyone wanting to get anything done beyond a 1x1 quote should contact me Wednesday or Thursday.

Feel free to contact me if you have any questions.

Thanks, John