High Dynamic Range (HDR) imaging is able to capture a wide range of luminance values, closer to what the human visual system can perceive. It is believed by many that HDR is a technology that will revolutionize TV and cinema industry similar to how color television did. However, the complexity of HDR requires reinvention of the whole chain from capture to display. In this paper, HDR images compressed with the upcoming JPEG XT HDR image coding standard are used to investigate the correlation between thirteen well known full-reference metrics and perceived quality of HDR content. The metrics are benchmarked using ground truth subjective scores collected during quality evaluations performed on a Dolby Pulsar HDR monitor. Results demonstrate that objective quality assessment of HDR image compression is challenging. Most of the tested metrics, with exceptions of HDR-VDP-2 and FSIM computed for luma component, poorly predict human perception of visual quality.