Hi great read as always, I truly appreciate you and all of the primers that you have been writing.
I just wanted to clear my some misunderstanding that I might have, you wrote "If we talk about SFRZ5, we’re talking about the SOFR Futures contract expiring in December 2025."
Upon searching the ticker on BBG, I came to notice that SFRZ5's last trade date is on 03/17/2026 while valuation date is on 03/18/2026, despite it being a contract that expires in Dec'25. Can you help me wrap my head around as of why does the contract continues to trade and even value 3 months after the contract expiry? Or am I reading somethings wrong .
While "Z5" indicates December 2025, this marks the beginning of the SOFR futures reference period. The trading and settlement extend into March 2026 because the contract values the compounded SOFR rate over the three months following December 2025.
"If SOFR trades persistently below EFFR (Effective Federal Funds Rate), a trader might short EFFR futures and go long SOFR futures to capture the spread narrowing."
I am asking a stupid question that it should be "a trader might long EFFR futures and go short SOFR futures to capture the spread narrowing"
If SOFR was trading below, you’d want to be long the SOFR leg if you’re anticipating the spread would narrow (in this case, SOFR move higher relative to EFFR). The image in the article should help visualise the trade. You want to orange line to move higher towards the white line (or white line move lower towards the orange line).
Awsome, Thank you both. Many questions but my main problem.
Emotions: DCP- with the SOFR curve pricing in Cut and Raises, back to back how does this make you feel? When a cut is moved forward in '26 how do you feel? When cuts are priced consecutively how do u feel? When the cut on Dec 26th and all of the sudden there are -50. How does this make you feel. Supply and demand feelings. :)
I like ZB so have been averaging cuts per year, but I feel this maybe missing the point? 2/yr, 2.5/yr. And just using SOFR morning moves like LIBOR premarket data talked about in some book as being a indicator for sovergin debt demand.
Point: Could you please grade the SOFR curve like Andy does the Auctions.
Thank you both great primer. Look forward to being able to taste this market in the future.
Hi great read as always, I truly appreciate you and all of the primers that you have been writing.
I just wanted to clear my some misunderstanding that I might have, you wrote "If we talk about SFRZ5, we’re talking about the SOFR Futures contract expiring in December 2025."
Upon searching the ticker on BBG, I came to notice that SFRZ5's last trade date is on 03/17/2026 while valuation date is on 03/18/2026, despite it being a contract that expires in Dec'25. Can you help me wrap my head around as of why does the contract continues to trade and even value 3 months after the contract expiry? Or am I reading somethings wrong .
While "Z5" indicates December 2025, this marks the beginning of the SOFR futures reference period. The trading and settlement extend into March 2026 because the contract values the compounded SOFR rate over the three months following December 2025.
"If SOFR trades persistently below EFFR (Effective Federal Funds Rate), a trader might short EFFR futures and go long SOFR futures to capture the spread narrowing."
I am asking a stupid question that it should be "a trader might long EFFR futures and go short SOFR futures to capture the spread narrowing"
Thanx for the post, excellent!!
If SOFR was trading below, you’d want to be long the SOFR leg if you’re anticipating the spread would narrow (in this case, SOFR move higher relative to EFFR). The image in the article should help visualise the trade. You want to orange line to move higher towards the white line (or white line move lower towards the orange line).
Excellent. Very Useful.
Thank you for the kind words.
Great primer! very insightful and useful info for someone hoping to eventually get into STIR trading.
Awsome, Thank you both. Many questions but my main problem.
Emotions: DCP- with the SOFR curve pricing in Cut and Raises, back to back how does this make you feel? When a cut is moved forward in '26 how do you feel? When cuts are priced consecutively how do u feel? When the cut on Dec 26th and all of the sudden there are -50. How does this make you feel. Supply and demand feelings. :)
I like ZB so have been averaging cuts per year, but I feel this maybe missing the point? 2/yr, 2.5/yr. And just using SOFR morning moves like LIBOR premarket data talked about in some book as being a indicator for sovergin debt demand.
Point: Could you please grade the SOFR curve like Andy does the Auctions.
Thank you both great primer. Look forward to being able to taste this market in the future.