Quote from filter_sweep:
It seems to me that the most likely scenario is that someone out there did some research and identified that there are arbitrage opportunities between the European and US markets, and they are executing trades according to their models every night. Maybe they have an edge, maybe they don't, but they're doing it.
The real question is, what are you going to do about it?
Personally, I'm not going to do anything. I don't trade either market, and I don't attempt to play the arbitrage game.