Sprd/Bfly Enhancements | Weekly Release 2/7/20


Enhancement #1


Price Ratio: added an option to keep the first leg positive or consistent with the weight on the strategy. Also available in the Swap Box


Traders now have the choice between two options; first when the price ratio is set to be consistent with the weight the ratio will adjust automatically to align with the weight signs. In the example below (TUH0 vs TUM0 spread strategy) flipping the weighting between -1/1 and 1/-1 flips the signage of the ratio as well (between -1/0.8797 and 1/-0.8797).

When the price ratio sign is set to keep the first leg positive it will ignore the signage of the weighting and keep the first leg as a positive number regardless of the second.

To set the behavior of the price ratio sign, click “Preferences” then hover over “Px Ratio Sign” and choose either “consistent with wgt” or “keep 1st leg positive”. The example below shows an ultra 10yr future spread strategy (UXYH0 vs UXYM0) where the weighting is -1/1 while the price ratio is 1/-0.9836

Enhancement #2


Seasonality: Added USD TIPS Auctions


Traders can now set US TIPs auctions for the 5, 10, and 30-year TIPs as the anchor economic calendar event in the Seasonality tool. This will allow traders to conduct better historical analysis for US TIPs by providing the same seasonality data for TIPs auctions as is already present for regular treasury auctions.


To set a US TIP auction as the eco calendar event in the Seasonality tool first double click on a historical graph for any security. In the pop-up historical graph click the “Seasonality” button, then set the Anchor as “Eco Event”. Set the following drop-down as “UST Auctions” and choose either 5Y, 10Y, or 30Y then click “Apply”. The example below shows the 5y TIP vs 10y TIP spread strategy with seasonal analysis around the 10y TIP auction cycle.


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