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[New] USD SFR Fly | Weekly Release 10/2/20

Created a new floating window which displays SOFR Future butterfly strategies

Created a new table, similar to the ED$ Fly table, to construct SOFR Flies and monitor their performance in the market.

  1. Traders have the option to choose the Fly Interval, which selects the distance in maturity between each of the legs.

  2. Traders can also choose to either get the live market data or implied by the FF v. SOFR basis

In the screenshot above, see the butterflies created using an interval of 3-month pulling in live market data.


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