Bond Roll Enhancement | Weekly Release 11/12/21


When selecting 2 or 3 “CT Sprd”/ “Comp Sprd” columns & selecting “ToSprdBfly”, will send over as 4 or 6-legged strategy with weight (1/-1/-1/1) or (1/-1/-2/2/1/-1), respectively


Traders can select two or three Bonds under the “Comp Sprd” or “CT Sprd” columns, <right click> to send them to the Sprd/bfly. This will result with strategies containing four legs for two bond spreads or a 6-legged strategy for three bond spreads. See screenshot below.

Note: The weight for these strategies is (1/-1/-1/1) or (1/-1/-2/2/1/-1) for the four-legged strategy and the six-legged strategy, respectively