Post Case Shiller #'s (July 30)

The S&P Case Shiller home price index futures are slightly lower after this morning's release of CS #'s. Mid-market levels are lower on nine of the eleven contracts that expire in Nov 2020 (X20), with DEN, LAV, and MIA all down by at least one point. The two outliers with higher prices are LAX and SDG.

Bid/Ask spreads have almost worked their way back to yesterday's levels. (Bid/asks typically are wider the day of an index update as I and other users digest the data).  The average Nov 2020 spread o f< 3.0 points (or ~1.2-1.6%) is slightly tight by historical standards. Separately (not shown here), the average bid/ask spread on the expiring Aug '19 (Q19) contract (of 1.6) is above average for a contract with one month to run.

There has been no trades or third-party quotes today (as of 11 AM) but 6 NYM lots traded yesterday.

While activity has been quiet, tomorrow's Fed meeting, and possible action on "The Patch" may both spark interest in home price hedging.

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

Thanks, John