Trade Idea: SOFR Spread
Why Going Long Sep25/Mar26 SOFR at -44.5 Is a Strategic Trade Ahead of Tonight’s CPI Release
As we approach tonight's U.S. Consumer Price Index (CPI) release, the Sep25/Mar26 SOFR futures spread trading at -44.5 basis points presents an intriguing opportunity. This spread implies that the market expects the average SOFR rate in the three months ending March 2026 to be 44.5 basis points lower than in the three months ending September 2025. In other words, the market anticipates a rate cut during that period.
Understanding the Spread
