Today’s Case Shiller #’s vs CME quotes

The quarterly expiration cycle of Case Shiller futures (traded on the CME) may be a useful tool in allowing people to compare what the market expected from home price gains versus actual index gains.   For example (and as highlighted in the following table), the market prices of the SFR (San Fran) contract was 258.0/259.8 on Friday, but today’s index value was 261.8.  Since the contracts settle on the numbers released today (much like the S&P 500 stock index futures), someone who “knew” today’s numbers could have bought contracts at 259.8 and pocketed a 2-point gain (at $250/ point/contract).  Since that didn’t happen, I label today’s SFR index as a “surprise” to the market.  (Note that such surprises work both ways as someone knowing that the NYM index would be 196.97, could have done the opposite in profiting by selling May ”18 contracts at 197.4.)

Net the market was positively “surprised” as in five cases the index values were above the offered side of the market on Friday (with DEN and SFR having larger differences) while in the case of NYM, the market was surprised to the downside.  (Note that the NYM index last month was restated to be 0.33 lower than reported last month, but not enough to account for the outlier nature of today’s NYM index.

No surprise then, that today quotes on the CME futures are slightly higher (despite the large sell-off in the stock market).

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

Thanks,  John