Market observations retain their individual dates and statuses. This is dated research, not a live price feed.
Rates / short-term interest rates · Hold one SR3H27 — add zeroMarch SOFR: fewer hikes than priced
Hold the existing limited-tightening position. Inflation pass-through from energy remains a counterweight; CPI is still ahead.
Timestamped native observations; no new execution
Entry conditions
Existing position only; no add or new conditional entry
Target framework
95.850 or February 12 time exit
Fundamental invalidation
Persistent underlying inflation and Fed guidance supporting a March–June 2027 average funding rate near 4.90 % or higher; exit on 95.100 observation or fundamental invalidation. Review after CPI; no automatic three-hour blackout.
Stop and risk limitation
95.100; gap losses can exceed the stop
Strongest counterargument
Energy escalation can sustain inflation; Fed forecasts are not promises, and SOFR includes repo basis and futures risk premia. Forward-compounded rates are not literal counts of 25 bp hikes.
Next catalyst
October 14 CPI and Beige Book; October 15 PPI; October 27–28 FOMC; December projections; January 2027 policy meeting.
Roll and delivery
March contract references March 17–June 16,2027 and last trades June 15. Exit February 12,2027 before the research horizon ends; no roll or final-settlement exposure intended.
Market evidence
One contract:$2,500 perpoint, $25 perbp, current 0.005 tick=$12.50. Buffered post-fill stop risk about $1,191.38 including remaining exit friction,0.119 % NAV. One standard contract fits; no micro needed. Modeled margin reserve $5,000, not a broker initial-margin claim.
Expected return: interpretation
Original entry 95.475, current exact 95.480: +$12.50 open gross. The original position is not re-entered.
Source references
- Federal Reserve September16 statement
- September Fed projections
- CME SOFR specifications
- FRED/NYFed overnight SOFR
- AMP public maintenance margin
How the view evolved
- Hold one SR3H27 — add zero — Hold the existing limited-tightening position. Inflation pass-through from energy remains a counterweight; CPI is still ahead.
- Hold one SR3H27 — add zero — Hold one SOFR long: a limited further-tightening path remains less hawkish than spring funding priced in, while energy risk argues against an add.
- Enter starter — long one SR3H27 — Enter one March SOFR starter: the forward funding rate allows for more tightening than the central policy path; the edge survives a meaningful probability stress.