adam.. was just going to ask that myself! I guess that 100% winners sports arb got you thinking huh? Okay, here is my take. I do not think there are any arb opportunities in the markets except for those with deep pockets. Arb is defined as a risk free transaction/trade. Some people call pairs trading arb but it really isn't because you are exposed to several types of risk: fundamental, non correlation, etc. HFT is another type of arb but one is still exposed to liquidity risk. Either way the barrier to entry is high. I'm not stating that arb doesn't exist in the markets. But, I've never heard of a small trader doing that. Most arb opportunities probably exist for those who act as brokers or market makers.
There are still some index arb opportunities, but in reality you are arbing funding levels, margin financing etc. It gets especially hairy on quanto index futures etc where you are trying to arb convexity. To make the long story short - it's not worth the effort unless you have a balance sheet. Even then, there are some significant risks. There are no free lunches. There are some cheap lunches. Even with cheap lunches, however, you frequently will discover that it's not a potato but a large rock.
Not indexes, but I do arb FX futures with the Spot cash FX. If FX futures are trading lower than spot i buy the futures and sell the spot. Eventually (towards futures expiration) the prices converge and i take my profits!
Ok martin.. i know you swore me to secrecy when you taught me this method, i promise not to give any more details away.