Sprd/Bfly Enhancements | Weekly Release 8/27/21


Enhancement #1


Added the 1 Standard Deviation Mean Reversion Frequency, “1Std MR Freq” column, which counts the number of times a trade goes from +/- 1 Stdev level back to the mean


Traders can add “1Std MR Freq” column from “Table” – “Manage Columns”. Additionally, traders can customize the column order from “Manage Columns” menu.


This newly added column counts the number of times a trade goes from +/- 1 Stdev level back to the mean. In the historical spread chart, traders can check “Mean” and “+/-1 Stdev” boxes to easily see the Standard Deviation Mean Reversion Frequency.

Enhancement #2


Added a column to show the Annualized Carry and Roll over the annual Vol, “Ann C+R/Ann Vol”


To add this column, click on “Table” – “Manage Columns”. This column is also available in the Forward Swap Matrix.


Ann C+R / Ann Vol = [X month C+R * 12/X ] / [stdev_d * sqrt(252)]