CME Case Shiller Home Price Index Futures -post Tues AM #'s

The CME Case Shiller home price index futures are about unchanged (at an aggregate level). The table below illustrates quotes for the Nov '19 expiration (X19) for the ten-city index contract (HCI) as well as the ten regional components. Bids, Asks, and Mid-market levels are shown from late yesterday and earlier this morning.

Some markets (e.g. MIA and NYM) are slightly higher, while others (e.g. LAV and SFR) are lower. On average. the mid-market values are up 0.1.

Bid/ask spreads are wider(typical of post #'s trading), but today is a bit wider than typical.

It's not shown in this table, but each of the expiration curves has changed slightly. Bids are weaker on some May '19 (K19) contracts as this morning's index values were lower than (I) expected. On the other hand Aug (Q19) contracts are a bit higher reflecting lower mortgage rates since the Treasury market rally earlier this week. (Recall that the Q19 contract references closings from April-May -June). Finally, longer-dated contracts (i.e. beyond Nov 2020) pulled in as more pundits talk about growing prospects for a recession.

While there have been no trades today (as of 11 AM Eastern) there have been 32 contracts traded MTD making this month the second busiest since markets turned in May 2012. It seems that volume picks up when sharp differences arise in the outlook for forward home prices. Between lower interest rates (+), lower home sales (-), equity IPOs (+), and recession chatter (-), there's plenty to debate, so I'm hopeful for continued trading interest.

Please feel free to contact me if you have any questions about this blog, or any aspect of hedging home price indices.

Thanks, John