S&P euro index arbitrage at work

Here’s one for all those would-be algo traders out there – the euro-denominated e-mini S&P 500 contract, has seen a sudden and unexpected upsurge in trading in the last few days.

Here’s a breakdown of recent activity courtesy of the CME:



The CME’s thoughts on what might be behind the sudden demand for the euro-priced contract?

From what we can see, this looks like index traders using the Euro-denominated contract in conjunction with the dollar-denominated one to gain a little exposure to Euro volatility vs the dollar.

So that’s at least one good old-fashioned index arbitrage opportunity spotted.

Any arbitrageurs out there ?[/b]

http://ftalphaville.ft.com/blog/2010/03/15/175441/sp-euro-index-arbitrage-at-work/