It might be useful to walk through the calculation of the CUS (The 10-city Nationwide) index once, as the index presents an opportunity for possible trading strategies. To start, the table (below) lists the weights of the index and shows the weighted average price of the 10-cities for the May CS release. (Weights are from S&P report on Case-Shiller index archived here under reports tab.) Thankfully, the weighted average for this exercise equals the published index result.
With these weights in mind, one can attempt to trade forward values of the index or the key underlying cities in an attempt to take advantage of discrepancies, trends or relative liquidity. For example note that two cities (NY and LAX) make up more than 50% of the index (weighted by price index). Changes in those two cities alone may dominate the value of the CUS -particularly if others (say Denver) remain relatively quiet.
Recently NY and LA have been moving in opposite directions (NY one of two cities that fell in value last month) while LA, and the West Coast cities of SF and SD that in total make up 40% of the index by weighted average, have been the stars. Those offsetting effects have somewhat dampened price moves in the CUS. As such there may be trading opportunities if the bullishness of certain markets spills 1:1 into the CUS index while NY lags. However should California and NY ever begin to move strongly together (up or down) look for the CUS to become more volatile.