So if two different exchanges have different put prices for the same strike price wouldn't the arbitrage play be to buy both of them and wait for them to converge or expiration and pocket the difference? I'm just getting familiar with options so I just want to make sure I got it right.
No. First of all you are taking risk in so many ways I don't even care to elaborate. Arbitrage is always riskless, so buying two put options there is obvious risk there right? How is buying options and letting their premium decay and crossing the spread arbitrage profit meanwhile having a directional position both with underlying and vol? If you could buy the cheaper one from the other exchange and simultaneously sell it on the other exchange for a profit, that would be arbitrage.
Ok so that makes much more sense. Do you mind if I shoot you a PM so I can show you what I'm looking at? The scenario I'm talking about currently exists on multiple exchanges for a particular asset. Just want to make sure I'm looking at this right.
No such thing as “put prices”. There is a bid and an ask, and you don’t know what’s the actual price you may be able to get. In fact, the bid/ask may be different at different exchanges for the purpose of confusing and robbing newbie traders. There are some advanced bots playing this game. But in theory yes, that would be arbitrage.