The index, which tracks home prices in 11 Canadian cities, showed Calgary home prices were down 3.3 per cent from April, the largest monthly drop since the index was created in 1999.
"It's a big change month over month," said Marc Sykes, strategic product manager at Teranet Inc.
Sykes said normally he would expect the market to balance itself out after sudden drops, but with oil prices remaining low, Calgary might not bounce back so quickly.
"Because we know that there is likely an economic driver to this I'd be a little concerned, but not panicking yet."
Nationally, prices were up 0.9 per cent from the previous month to reach a new high for the index. The record would have been even higher if Calgary's numbers hadn't cut the average by 0.3 percentage points.
Year over year, Calgary home prices showed a 1.4 per cent drop according to the index.
The Teranet–National Bank index only includes homes that have sold at least twice, with the index showing the difference in the sale price of the same home.
Sykes said that using a simple average of home sale prices can be skewed by a greater number of high-priced homes selling in a strong economy, or more lower-priced homes selling in a weak economy.