There are sometimes currency triads - A, B, and C, where AxB futures are 1% above spot and CxB futures are 1% below spot. Is it feasible to sell AxB futures, buy equivalent CxB futures and sell AxC spot for an arbitrage? Then just wait for the futures expiry (cash settlement) and unroll the AxB position? It would seem to be 2% guaranteed as the futures converged to spot. The positions would be open for about 3 weeks. With 2x leverage -which should be safe enough - it's 48% annualized. I feel I'm missing something, but what?
If this is a major currency pair on a regulated exchange I would think you are missing something. In most cases when people think there is an arbitrage these is some issue that they are missing
-A+B +C-B -A+C -2A+2C ? Surely you meant buy AxC? Either way I can almost assure you're missing something. Start with interest rate differentials and bid/ask spreads.