They buy the big contract and sell the mini contract. One big = 5 mini's. The big contract trades in tenths, the mini in quarters creating some good opportunites for the locals in the pit. Get some new brokers if they can't understand or don't know about the arbitrage that goes on between the big contract and the mini.
Thanks. Can you recommend a website or book that tells more about arbitrage and the big contracts and emini's? I would like to read more about it.
You don't really need a book or website. Just trade 5 minis against 1 big. However, make sure you work out the costs first as this may make the strategy non-profitable. Also, you'll probably lose a lot getting legged out and I don't think such a strategy would be profitable. If it was, why would anyone be willing to discuss it on this forum?