In a large soup pot, melt butter and olive oil. Add the mushrooms and onion and cook over medium heat until the onions are translucent, and the mushrooms are tender, about 5 minutes.
Sprinkle the flour and add the cream of sherry to the mushrooms, stirring constantly. Add the thyme, nutmeg, and chicken broth.
Bring to a boil and then lower the heat to simmer. Simmer until the mushrooms are completely tender and soup slightly thickened. About 25 minutes.
Let it cool before adding it to a blender. Puree the soup and return it to the soup pot to simmer.
Add the heavy cream to the soup and gently simmer to low. Taste and adjust the seasoning and serve.