When asked on calling Roy 'Speedy' in episode 17, Guggenheim stated that "We did it because we want to keep inching Roy towards an Arsenal place. One of the runnings gags is that he keeps getting called Speedy and says, “I don’t like that nickname. Come up with another nickname for me.” When the time is right, eventually the nickname that will stick will be Arsenal, but the time has to be right".
Source: Superhero Movie News
How do you feel about Roy's identity becoming Arsenal?