As Mark mentioned in his comment, "You can make the drive case sensitive but then some apps will not work" and Matteo showing you a list from Disk Utility, let me offer you an alternative to changing the format of the existing physical volume.
I use a sparse bundle (.sparsebundle) formatted as Mac OS Extended (Case-sensitive, Journaled) to maintain a case sensitive volume that's accessible on my Mac. It could also be a sparse or regular disk image file (.sparseimage/.dmg) vs. the sparse bundle, whichever suits your needs better.
In macOS Sierra's Disk Utility, click File > New Image > Blank Image... then in the settings sheet you can define the properties of the image file.
You can have it mount automatically when you login by adding it to your Login Items (System Preferences > User & Groups > $USER > Login Items).
Note that I use the sparse bundle because I find its easier to compact using
hdiutil compact filename.sparsebundle to regain disk space as needed because it uses 8 MiB bands vs. a single file, which works better when the physical disk is getting to full.