Reaction of CME quotes to updated Case Shiller #'s

Quotes on the CME Case Shiller home price futures are modestly lower after this morning's release of the indices through August. (Recall, that Case Shiller indices are released with a two-month lag).

The table below shows markets from yesterday and this morning on the 11 Nov 2020 (X20) contracts. Mid-market levels are lower for 9 of the 11 contracts, with only MIA up and NYM even (and that after almost a half point upward revision in the NYM index for last month).  I'd note that MIA had the largest seasonally adjusted gain (of the ten traded regions) of 1.2 points, while NYM had the biggest decline of -0.89.

Bid/ask spreads average the same as yesterday.

There have been two trades in WDCX19 this morning bringing the MTD total across all contracts to 15. (Regions traded include: BOS, NYM, LAX, WDC and the HCI/10-city contract).

There is still no open interest in MIA (as well as DEN and SDG) so given that MIA is today's outlier move, I'm open to trading proposals.

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

Thanks, John