Post Case Shiller #'s, New Benchmark Expiration -Feb '21

The CME Case Shiller home price index futures inched higher today (Tuesday, Jan 28th) after this morning's release of activity through November. The table below -contrasting quotes on the 11 Feb '21 contracts from yesterday, and today, at the close - illustrates the changes. Based on mid-market values, the BOS (+0.8 points) and WDC (+0.6) contracts had the strongest upside reaction, while the NYM (-0.2) and SFR (-0.3) contracts slid slightly lower.

Note that -consistent with yesterday's announcement by the CME of a shift to longer-dated February expirations - that I've shifted the benchmark contract to Feb '21 (G21). The contract is a year forward, and references 2020 year-end values, so it should useful for debating clearing levels for risk, and projections of HPA. I've also begun to tighten G21 bid/ask spreads as it also will be a good foundation for yearly calendar spreads (e.g. G21 vs G22) when the new expirations are launched on Feb 10. Finally, I also shifted Inter City (IC) spread quotes to Feb '21 (from X20) to show other ways that outlooks on forward home price moves between regions, can be debated. (BTW - I've left IC quotes for X22 for now, as the Nov '22 contracts will be longest contracts until Feb 10.)

There were no trades post today's numbers, and only five contracts have traded MTD.

Feel free to contact me if you have questions about this blog, or any aspect of home price index derivatives.