Sprd/Bfly Enhancement | Weekly Release 10/4/19

[USD] Added Constant Maturity Treasury Real Yield RVS (CMTRY RVS) columns, including the current level, daily change, rich/cheap heatmap, and Z-score for analyzing inflation-linked strategies

Traders can leverage the CMTRY curve in the USD Sprd/Bfly to gauge the Spread of Spread to the CMTRY curve of each strategy. In the screenshot below, the trader can see which strategy stands out.

For example the below, the trader can easily see which strategy is the cheapest among the list by taking a glance at the CMTRY heat map.

By looking at the heatmap, which shows where the live level is in between the highest and lowest of the last three months’ historical data, the strategy TII 0.5 128/TII 3.625 428 stands out as the cheapest strategy.

Now that we noticed an interesting trade, we can send it “to Swap Box” for further analysis.