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S&P/Case-Shiller Boston Snapshot: Nov 29, 2011
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admin
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PostPosted: Fri Dec 09, 2011 3:52 pm GMT    Post subject: S&P/Case-Shiller Boston Snapshot: Nov 29, 2011 Reply with quote

On Tuesday, November 29th, Standard & Poor's released the S&P/Case-Shiller housing price index data for September 2011. Boston area single family home prices fell 1.20% from one year earlier, in nominal terms, which was a decrease of 4.98% when adjusted for inflation.

The November 2011 futures contracts for the index, which cover prices in the third quarter of 2011, were also settled on the same day. When the extended S&P/Case-Shiller futures were first introduced, Mike suggested that somebody archive the predictions of the futures contracts, and I proposed that a good time to do that would be each day that a futures contract is settled (i.e., quarterly), although in practice the snapshots may be less frequent. This post is an attempt to provide such a time capsule for the future.

Below are two graphs of the S&P/Case-Shiller Index for Boston from 1987 through the present (shown in solid purple), with the expected future values added using the values of the futures contracts on the indicated dates:





The market is pricing in the following with respect to nominal housing prices through 2014 Q3:

  • A nominal decline of 0.66% from most recent prices by 2012 Q1.
  • The nominal bottom was hit in March 2009 and was a 20.07% decline from the peak.


Of course, for an accurate picture of how housing values change, inflation must be considered. As of June 30, 2010, The Federal Reserve Bank of Cleveland has introduced a new year by year measure of inflation expectations which is used below to adjust future Boston home price expectations. In past reports before November 25, 2008, the futures contracts were corrected for inflation using the adjusted 10-year TIPS-derived expected inflation also published by The Federal Reserve Bank of Cleveland. Unfortunately, they discontinued publication of this series on October 31, 2008 citing an "extreme rush to liquidity" as making the estimates no longer accurate. Consequently, future inflation during interim reports was estimated using the yield on 5 year Treasuries.

Here is the same housing data adjusted for inflation, expressed as a percentage of real prices from the most recent month:





The market is pricing in the following with respect to real housing prices through 2014 Q3:

  • An additional decline from the most recent month of 3.26% by 2012 Q1.
  • A total decline from the peak of 30.20%.
  • The real bottom was hit in April 2011, although the projected additional decline by 2012 Q1 will come very close to repeating it.


Note that the volume on the futures contracts is currently very sparse, and so using them to predict future housing prices should be viewed as unreliable. However, bear in mind that other sources of predictions are most likely even less reliable, especially organizations like The NAR which have a disincentive for accuracy and the track record to prove it. The futures markets are probably the least biased predictor available, given that those trading the contracts have a direct financial incentive to be accurate (real money rides on the accuracy).

Also note that the contract values might not necessarily reflect the expected value of the index if there are unaccounted opportunity costs involved. This was discussed in some detail in the original thread when the extended futures debuted. It is my current understanding that both the buyer and seller would have the same opportunity costs (a performance bond and transaction costs), and these costs would therefore offset each other when viewing the value as predictive. This could be wrong, though. If you would like to discuss this point, please read the original thread first since there are some references there to support the assumption of symmetry.

The settlement data for the futures contracts on the 31st was:

  • Nov 30, 2011: 152.00
  • Feb 29, 2012: 153.60
  • May 31, 2012: 150.00
  • Nov 30, 2012: 152.00
  • Nov 30, 2013: 154.00
  • Nov 30, 2014: 158.40

While charts were not published for the previous futures settlement on August 30, 2011, settlement data was captured and was:

  • Aug 31, 2011: 150.00
  • Nov 30, 2011: 148.20
  • Feb 29, 2012: 150.40
  • Nov 30, 2012: 152.00
  • Nov 30, 2013: 154.00
  • Nov 30, 2014: 158.40

Previous snapshots are available for:

Please do try this at home, in order to bring to light any errors. The data used for the above report was obtained from the following sources:

The text of this post and the associated graphs are Copyright 2011 by bostonbubble.com with all rights reserved, except as stated here. You may reproduce the graphs individually or the text of the entire post as a whole (including graphs) under the Creative Commons Attribution-No Derivative Works 3.0 Unported License. You may additionally scale the graphs to fit your work. Alternatively, if you remove the bostonbubble.com signature from the bottom left hand corner of the images within this post, those modified images (and only those modified images) can then be distributed under the Creative Commons Attribution 3.0 Unported License. In all cases, attribution should be made via a hyperlink to http://www.bostonbubble.com/forums/viewtopic.php?t=3835 or http://www.bostonbubble.com/ Quoting excerpts of the text is also allowed provided that the quotes would normally fall under fair use. To request other terms for reproduction, please post your request in the original thread at http://www.bostonbubble.com/forums/viewtopic.php?t=3835

The latest version of this report can be found at http://www.bostonbubble.com/latest.php?id=spcsi_bos_snapshot

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FreedomCM
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PostPosted: Fri Dec 09, 2011 6:54 pm GMT    Post subject: Thanks Reply with quote

excellent!

I wonder how much closer to 70 the market would have come in this downturn without the interest rate interventions?

It would be even more interesting (for me, at least) if the futures had been set up to track the 25%, median, and 75% segments of the CS index.
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MathMan
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PostPosted: Mon Feb 20, 2012 10:13 pm GMT    Post subject: Vertical scale should be logrithmic, not linear Reply with quote

A longterm price chart plotted using a linear scale is (1) deceptive and (2) misleading. The vertical axis should be logrithmic, not linear, in order to present the price evolution over time in a meaningful way. Intelligent people who own stocks and chart their prices know this very well ... and the same is true for people plotting home price charts.
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PostPosted: Mon Feb 20, 2012 10:34 pm GMT    Post subject: Re: Vertical scale should be logrithmic, not linear Reply with quote

MathMan wrote:
A longterm price chart plotted using a linear scale is (1) deceptive and (2) misleading. The vertical axis should be logrithmic, not linear, in order to present the price evolution over time in a meaningful way. Intelligent people who own stocks and chart their prices know this very well ... and the same is true for people plotting home price charts.


That's 1) rude, 2) redundant, and 3) doesn't make a very good case for your point given that you didn't actually explain what would make a logarithmic scale more "meaningful". Usually, they are preferable because they show exponential growth and decay as linear changes, which make growth rates visually easier to see by humans. The purpose of the charts in this post is to compare the predictions of the futures contracts with the actual prices - that isn't especially tied to growth rates. Perhaps a logarithmic scale would still be a little bit better, but it's hardly essential for the task at hand, and absent a lot of time to spend on this, it's not going to be perfect. Why don't you post your charts and we can compare and see how "intelligent" people do it?

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admin
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PostPosted: Tue Feb 21, 2012 1:05 am GMT    Post subject: Reply with quote

You should also contact Yale Professor Robert Shiller (as in Case-Shiller) and inform him that his US home price chart, which is quite possibly the most well known and highly informative US home price chart ever, is bunk because it uses a linear scale. Tell him that it needs to look more like a stock chart for you to be able to feign intelligence and wealth. Perhaps also write to S&P so that they can replace his housing index with yours.

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Renting in Mass



Joined: 26 Jun 2008
Posts: 381
Location: In a house I bought in December 2011

PostPosted: Thu Feb 23, 2012 7:25 pm GMT    Post subject: Reply with quote

Quote:
Perhaps also write to S&P so that they can replace his housing index with yours.


That made me laugh Laughing

Admin, you should make a chart that illustrates the inverse correlation between a passion for logarithmic scales and social skills.
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Lindachan
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PostPosted: Sat May 19, 2012 10:58 am GMT    Post subject: suffolk downs Reply with quote

obviousy the suffold downs option is going to materialize and will change
the entire structure of the realestate market arount the north of
Boston. Is anyone addressing this potential impact? If so I havn't read
anything>
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admin
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PostPosted: Sat May 19, 2012 11:13 am GMT    Post subject: Re: suffolk downs Reply with quote

I take it you mean the Suffolk Downs Casino? Good question. I don't know that the impact will be noticeable on the S&P/Case-Shiller Boston Index above, because that is for the Boston Metropolitan Statistical Area, which is geographically large, but yes, I would expect some ramifications around the north of Boston Proper. What those ramifications will be exactly, I don't know.

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J1mbo01
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PostPosted: Thu Aug 02, 2012 6:03 pm GMT    Post subject: Update Reply with quote

Any chance we might see an updated chart anytime soon? Love the website and analysis.
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PostPosted: Sun Aug 05, 2012 8:37 pm GMT    Post subject: Re: Update Reply with quote

J1mbo01 wrote:
Any chance we might see an updated chart anytime soon? Love the website and analysis.


Thanks for the encouragement. I would very much like to update this report and many of the others that are stale (the price-to-income report is particularly overdue). I unfortunately have negative free time right now without much visibility into when that situation will improve. If enough people ask for it here, that might help me bump it up in priority, although I do expect it will be awhile, even then. You can sign up for RSS updates for the site news feed at http://www.bostonbubble.com/#news , and any updates will be linked from there (though general news links will be too).

In the meantime, if you or anybody else would like the raw data, I have still been capturing the futures quotes quarterly and would be glad to post the raw quotes, if anybody wants them.

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wuslane
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PostPosted: Tue Sep 25, 2012 6:28 pm GMT    Post subject: Updated Report Reply with quote

Hi!

I have been using this report for several years to track the market and I would very much like to see the latest data. Any chance you could include at least the raw data?
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PostPosted: Wed Sep 26, 2012 3:34 am GMT    Post subject: Re: Updated Report Reply with quote

wuslane wrote:
Hi!

I have been using this report for several years to track the market and I would very much like to see the latest data. Any chance you could include at least the raw data?


Thanks, I'm glad you like the reports. I wish I did have time to update them more frequently. I do hope to do so again once I get some free time, but that is not now, alas. In the meantime, I'd be glad to give you the raw data. Most of the inputs are still available from the references linked in the original post. I think the one exception is the values for the futures contracts since those are updated daily and I haven't seen an option for historical data on the Futures.Quotes.com site. I've included below the snapshots of the futures that I've taken on the days when contracts have been settled.

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February 28, 2012

  • Feb 29, 2012: 153.60
  • May 31, 2012: 150.00
  • Nov 30, 2012: 152.00
  • Nov 30, 2013: 154.00
  • Nov 30, 2014: 158.40


May 29, 2012

  • May 31, 2012: 150.00
  • Nov 30, 2012: 152.00
  • May 31, 2013: 152.40
  • Nov 30, 2013: 154.00
  • Nov 30, 2014: 158.40



August 28, 2012

  • Nov 30, 2012: 160.00
  • Feb 28, 2013: 159.00
  • May 31, 2013: 152.40
  • Nov 30, 2013: 157.00
  • May 31, 2014: 157.00
  • Nov 30, 2014: 163.00
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homepricefuturesguy



Joined: 15 Aug 2010
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PostPosted: Mon Apr 08, 2013 1:09 pm GMT    Post subject: Boston Futures Reply with quote

Homepricefuturesguy back (after a few years).

BOS markets on the CME are where the focus is today (Mon. Apr 8, 2013). BOSX13 (Nov 2013) 161.8/162.4 = best market across ten contracts.

Happy to discuss BOS here, or you can join LinkedIn group "CME Case Shiller home price futures" or follow me at www.homepricefuture.com.

Very open to trading inside (or more contracts) that posted BOS prices.
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homepricefuturesguy



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PostPosted: Tue Sep 03, 2013 1:50 pm GMT    Post subject: Reply with quote

Trading in BOS Case Shiller futures has been quiet. (Any action has been in strong West Coast or CHI markets). Here's an update to futures prices as of Sept 3
Contract Mkt Bid Mkt Ask
BOS
BOSX13 169.2 170.4
BOSG14 165.2 169.2
BOSK14 162.0 168.0
BOSQ14 170.2 175.2
BOSX14 176.0 179.0
BOSG15 169.0 178.0
BOSK15 166.8 177.0
BOSX15 181.0 186.6
BOSK16 172.2 185.0
BOSX16 186.6 196.2
BOSX17 189.8 203.6
If someone shows me how to insert a graph I'll show that next time.
Please feel free to reach out for any hedging proposals on BOS index.
John
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admin
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PostPosted: Tue Sep 03, 2013 2:01 pm GMT    Post subject: Reply with quote

Thanks for the update. You can include an image like this:

[img]http://www.bostonbubble.com/sup/csi_boxr_real_futures_zoom.20111129.gif[/img]

The image has to have a public URL already for that to work. You can use your own blog/server to give it one, or use a free image hosting service like ImageShack if that won't work for whatever reason.

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