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Future Calendar Roll Enhancement | Weekly Release 6/5/20

Revamped window to include lower panel table and charts to increase readability and add more functionality

In the Future Calendar Roll monitor, traders can enable the lower panel table and corresponding graphs by clicking “Preferences” – “Show Hedge”.

Once the lower panel table and graphs have been enabled, traders can change the displayed graphs by clicking over new cells like in the Invoice Spread monitor (IVSP). The example below shows the new lower panel when looking at the front IVSP T for the USD TY contract.

In the table on the lower left swap hedge and position, DV01, PV01, start and maturity date, the corresponding index, and bond spot DV01 have been added to allow traders to access this information more quickly and without having to change sheets.

Additionally, an explanation for both R/C ASW and Theoretical B/E Calendar Roll have been placed above the R/C ASW graph for reference (or OIS depending on which measure is set). The invoice spread graph functions similarly to the graph in the IVSP monitor. However, rather than individual contracts it shows the generic front, back, and difference between the two.

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