You're trading the conversion. The profit is a function of a positive value on the following: strike + call - [put +/- geared-swap to expiration]. The swap value will be [-] for a short swap and [+] for a long swap. Realize that the swap is embedded in the option; the call is discounted to the put = the swap if the position is +carry. The 1m atm GBPJPY vanilla straddle is currently quoted: 214.35 C = 3.20 mid P = 4.30 mid Swap = 1.10 or 110 pips There is no arb as the premium received to finance the strike is equivalent to the spot swap held to expiration. If not, you could isolate the swap with no risk. You're locking in a loss equal to the spread paid/received off Saxo's mid + comms. I'd recommend against doing that again.
No, as you lost money over simply closing the spot position. Any synthetic traded at Saxo is traded at a > loss of edge over the simple spot-offset.