The Case Shiller numbers that were released this morning were generally in line with prices on the expiring CME Case Shiller futures.
As illustrated in the table below, four regions posted updates that were above the offered side of the Feb '21 contracts, while one region had a number that was lower. In defense of these five contracts, the "surprises" (an index outside the bid/ask range on the last day of the expiring contracts) were: a) small, and b) were impacted by revisions from prior months. That is last month's CHI index was revised lower by 0.39, while last month's NYM index was revised higher by 1.14. As such, only the MIA variance (0.41= 269.81-269.4), and the WDC variance (0.30- 259.0-258.6) were true "adjusted" surprises. Further, the average bid/ask spread from yesterday of ~1.6 points was the most narrow spread in over a year.
Net, the contracts and index values converged.
Prices on longer-dated contracts rose slightly, averaging a gain of about 1.0. (See line showing mid-mid change). However this table was produced after noon, by which time there had been trades (offers lifted) in MIA and NYM, so the gains in the hour after Case Shiller numbers were released were lower.
With expiration of the Feb '21 contract, the CME opened the May '22 (K22). This is another of the contracts that had been open pre-Jan 2019 (when the contract rollout schedule changed) so be wary of using historical prices (pre-today). I've put bids in each contract to bring closes closer to reality and will be populating calendar spreads (e.g. May '21-May '22) over the next few days.
With February expiring, Open Interest (OI) is likely to drop to historically low levels (unless we get more trades like today). While I'd like to have quotes across all regions and all expirations, my focus through month-end will be: 1) trying to keep the G22 contract as tight as possible, as many quotes on other expirations use G22 as an anchor in a calendar spread, 2) facilitating inquiries on BOS and WDC as neither region has any OI, and c) working to tighten up the new front contract (May '21, K21).
Please feel free to contact me should you have any questions about this blog, if you have any trading ideas, or if you want to learn more about using home price index derivatives in hedging strategies.
Thanks, John