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CCY Sprd/Bfly Enhancement | Weekly Release 5/31/2024

Added a way to create name alias for assigned strategies and weights


Traders have the option to create strategies and give them an alias in the Sprd/Bfly to use as a custom structure. By creating these structures, traders can use them as a single leg in strategies.

From “Tools” – “Strategy Alias” create the custom structures. For example, in the screenshot below, the headliner OIS spread strategies have been created for the 10, 20, and 30 year on the runs. In the “Set Strategy Alias”, the bond leg is shorted for each strategy and long the swap leg. Then the trader has the option to create the fly using all three headliners with its own weight.

In addition, traders can create other spreads to monitor, such as the calendar roll by creating the front contract’s price spread to the back contract’s price, also in the screenshot.


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