Preheat the oven to 375°. Line a sheet pan with foil or parchment paper. Wash butternut squash and cut in half long ways. Use a spoon to remove the seeds. Lay on the sheet pan flesh side up. Drizzle very lightly with olive oil and use a brush to make sure it is fully coated. Season with a pinch of salt, pepper, nutmeg, and paprika. A pinch of each goes a long way, and the measured spices will be added to the broth. Place butternut squash in the oven and let cook for 1 hour or until the squash is completely tender. This could take up to 1 hour 30 minutes if your squash is really large or a little under-ripe.
While the butternut squash halves are roasting, put a large soup pot on the stove and heat on medium. Peel and rough chop one medium onion. Peel and rough chop 2 carrots. Wash and chop 3 celery stalks be sure to remove the ends, but keep any leaves for extra flavor.
Add 2 Tbsp olive oil to the pan and drop the roughly chopped vegetables in. Stir and let the vegetables get a good coating of oil. Add salt, pepper, nutmeg, paprika, chili powder, thyme, and sage to the vegetables and let them warm with the vegetables so they will release their full flavor.
Once the onions have started to soften and become translucent, add the water and vegetable broth. Bring the pot to a simmer, turn the heat to low, cover, and let cook for 30-40 minutes.
Once the butternut squash is cooked and completely tender, remove it from the oven and let it cool some so you can handle it. Once it has cooled a bit, use a spoon to scoop the roasted squash flesh away from the skin and add it to the soup pot.
Once the squash is in the pot you can use an immersion blender to puree the soup. Be sure to blend it until it is perfectly smooth. Alternatively, you can put all of the ingredients into a blender and blend until it is very smooth and then return the soup to the pot.
Finally, add ¼ cup of heavy cream and stir until it is fully mixed.
Served with a side of crostini or crackers for a delicious fall meal.