The CME Case Shiller home price index futures are modestly higher after this morning's release of the index values through February. Using the Nov 2020 expiration (X20) as new benchmark, bids and offers of all contracts (except BOS) are higher. The DEN and SDG contracts saw the biggest gains (using mid-market values.
Bid/ ask spreads are almost a point wider (but those should tighten up as: a) other traders see the market settling down, and b) I get out my sharp pencil for month-end marks (today).
Price changes for some of the shorter expirations are more exaggerated (e.g. BOSK19 are down even more). Forward curves are slightly steeper (i.e. consistent with improving HPA).
As of 11 (Eastern) there have been no trades today, however I've tallied 17 for the month.
In addition to the price changes, this month I've added a quick calculation showing how the mid-market level of the Nov 2020 contracts compare with spot values for each region. (Note that this contrasts April and November releases so some seasonal impacts will be picked up). The BOS and LAV contracts are quoted at levels consistent with the highest gains, while NYM and SDG levels are the lowest. Note that while the three California contracts (LAX, SDG and SFR) are priced to similar gains, the Northeast contracts (BOS, NYM, and WDC) have a much wider range. I'll discuss further in an upcoming blog.
In contrast to my recaps from Jan/Feb, all of these forward contracts are quoted at a premium to spot. Also all of the even more distant expirations (e.g. Nov 2021, '22 and "23) are quoted above Nov 2020 markets. This positive forward curve shoudl be of interest to those concerned about, or looking to bet on, falling home prices.
Feel free to contact me if you'd like to discuss this blog or any aspect of hedging home price indices.