For example, take the ES contract vs the S&P500 contract sold on the BM&F. When both the CME and BM&F are open, the intraday prices between these two still often differ by a decent amount (and not a constant amount). Why is that? Shouldn't arbitrage result in these two contracts always being priced the same?
http://www.bmfbovespa.com.br/en_us/...es/equities/s-p-500-index-futures.htm#panel7a Looks like there's a variation in there based on Brazilian Real vs USD. No time to dive into it, since I'm watching The Big Short