Yesterday, with the huge ramp I saw something like this: ES 1095 (end of month ES futures options that expire today) 1080 Puts - 2.50 x 3.75 1080 Calls - 18.75 x 20.00 Is this situation "free" arbitrage money? One could buy the ES and sell the calls, then buy the puts. Above 1080, puts would expire worthless and ES would be called away. Below 1080, puts would limit the downside on the ES. I must be missing something? I don't usually see this. Perhaps it was because of the big up day that call options had unusually higher premiums than the calls. Since the end of month options expire today, the setup is gone as almost all the options are par. This does use up a lot of margin just to capture only a point or two.