It's not Red Arrow or Speedy.
Executive producer and writer on [Arrow](series:720988), Marc Guggenheim, reveals it's Arsenal.
"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."
In the comics, Roy Harper dropped the name Speedy and became Arsenal. Eventually Harper would drop Arsenal as well and become Red Arrow. Arrow airs Wednesdays at 8pm ET on the CW.