CME 3-Month SOFR Exchange-Traded Spreads

This Microsoft Excel® spreadsheet presents 3-Month SOFR market data. The data includes nearly ten years of quarterly contracts for outrights and exchange-traded three-month and six-month calendar spreads.

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The best bid and ask, queue volume size, last, net change, and traded volume are displayed. The traded volume columns are heat-mapped. Contract symbols will automatically roll each quarter.

Make sure to lower your Excel RealTimeData (RTD) throttle to 50 milliseconds. Learn how to do that here.

Requires CQG Integrated Client or CQG QTrader, data enablement for the Globex 3-Month SOFR market, and Excel 2010 or more recent.

Downloads

File
cqg_globex_3-mo_sofr_calendar_spreads.xlsx
Tags
CME Group
SOFR
Excel/RTD
Calendar Spreads

Disclaimer

Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. The opinions expressed here are solely those of the author and do not reflect the opinions of CQG, Inc. or its affiliates.