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.


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.


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